[Numpy-discussion] random enhancement

[Robert Kern]

Neal Becker wrote:
> One thing missing from random is a mechanism to share a single underlying
> rng with other code that is not part of numpy.random.
> 
> For example, I have code that generates distributions that expect a mersenne
> twister (the shared, underlying rng) to be passed in as a constructor
> argument.
> 
> numpy.random shares a single rng amongst it's own distributions, but I don't
> see any way to share with others.

Are you talking about C or Python?

In Python, just instantiate numpy.random.RandomState() and pass it around. All 
of the functions in numpy.random are just aliases to the methods on a global 
RandomState() instance.

C is a problem because the module is implemented in Pyrex, and RandomState is an 
extension type. I've tried working on exposing the C API as a PyCObject like 
numpy does, but it is incredibly tedious and, furthermore, is unlikely to 
capture the higher-level methods like multivariate_normal(). I believe that 
Cython has a way to automatically expose the C API of a Pyrex/Cython module, but 
I haven't had the time to investigate it.

For everything but the higher level methods like multivariate_normal(), we might 
be able to expose the pointer to the rk_state struct on the RandomState object 
as a PyCObject and punt on exposing the API. The C user can copy the 
randomkit.[ch] and distributions.[ch] files into their own code and operate on 
the rk_state pointer with those functions. We may be thwarted by symbol 
conflicts on some platforms, but I'm not sure.

Contributions are, of course, welcome.

-- 
Robert Kern

"I have come to believe that the whole world is an enigma, a harmless enigma
  that is made terrible by our own mad attempt to interpret it as though it had
  an underlying truth."
   -- Umberto Eco