Propose normal random variables using vdRngGaussian - mex

Question

I want to draw n random variables form the Normal(mean, sigma2) using the function vdRngGaussian.
One way to do this is with the command
vdRngGaussian(VSL_RNG_METHOD_GAUSSIAN_ICDF, stream, n, x, mean, sqrt(sigma2) )
Instead of this I want to use a for-loop. The mex-code I wrote is
#include <math.h>
#include <stdio.h>
#include <stdlib.h>
#include <mkl.h>
#include "mkl_vml.h"
#include "mex.h"
#include "matrix.h"
#include "mkl_vsl.h"
#include <time.h>
#define SEED time(NULL)
double normal(double mean, double sigma2, VSLStreamStatePtr stream);
/* main fucntion */
void mexFunction(int nlhs, mxArray *plhs[], int nrhs, const mxArray *prhs[])
{
double *x, mean, sigma2;
VSLStreamStatePtr stream;
vslNewStream( &stream, VSL_BRNG_MT19937, SEED );
/* make pointers to input data */
mean = (double)mxGetScalar(prhs[0]);
sigma2= (double)mxGetScalar(prhs[1]);
/* make pointers to output data */
plhs[0] = mxCreateDoubleMatrix(1, 1, mxREAL);
x = mxGetPr(plhs[0]);
x[0] = normal( mean, sigma2, stream);
/* Deleting the stream */
vslDeleteStream( &stream );
return;
}
double normal(double mean, double sigma2, VSLStreamStatePtr stream)
{
double x[1];
vdRngGaussian(VSL_RNG_METHOD_GAUSSIAN_ICDF, stream, 1, x, mean, sqrt(sigma2) );
return(x[0]);
}
When I run the code with the command
for i=1:5
out(i) = normalc(0.0, 1.0);
end
I get the following results:
-1.1739 -1.1739 -1.1739 -1.1739 -1.1739
If I call my function 5 times without a for-loop I get these results
-0.2720, 2.1457, -1.2397, 0.7501, 0.1490
Could you please help me.
Thank you very much.

Answer 1

The stream you are creating with vslNewStream takes a seed (the initial condition of the random number generator) as an argument, and you are basing this on the output of the time function from the C time library. The problem is it returns a number of seconds. This is resolution too coarse, and you end up with the same seed when you call it in a for loop. (Assuming the for loop executes quickly and you are lucky with the start time.)
Perhaps use a different seed, like the high_resolution_clock from the C++11 <chrono> header. You may still get the epoch time, but in different units:
using namespace std::chrono;
system_clock::time_point now = high_resolution_clock::now();
system_clock::duration epoch = now.time_since_epoch();
long long ns = duration_cast<nanoseconds>(epoch).count();
long long mic = duration_cast<microseconds>(epoch).count();
long long ms = duration_cast<milliseconds>(epoch).count();
Demo (cpp.sh).
Alternatively, you can use elapsed CPU clocks from MKL's mkl_get_cpu_clocks function, but this goes back to zero when you shutdown your machine. Or just the time in seconds as a double with MKL's dsecnd.