dqrng with Rcpp for drawing from a normal and a binomial distribution

Question

I\'m trying to learn how to draw random numbers from a normal and a binomial distribution from within a Rcpp OpenMP loop.

I wrote the following code using R::rnorm

Answer 1

A simple solution would be to create a new distribution object within the loop:

// [[Rcpp::depends(dqrng, BH, RcppArmadillo)]]
#include <RcppArmadillo.h>
#include <boost/random/binomial_distribution.hpp>
#include <xoshiro.h>
#include <dqrng_distribution.h>
// [[Rcpp::plugins(openmp)]]
#include <omp.h>

// [[Rcpp::plugins(cpp11)]]

// [[Rcpp::export]]
arma::mat parallel_random_matrix(int n, int m, int ncores, double p=0.5) {
  dqrng::xoshiro256plus rng(42);
  arma::mat out(n,m);
  // ok to use rng here

#pragma omp parallel num_threads(ncores)
{
  dqrng::xoshiro256plus lrng(rng);      // make thread local copy of rng 
  lrng.jump(omp_get_thread_num() + 1);  // advance rng by 1 ... ncores jumps 

#pragma omp for
  for (int i = 0; i < m; ++i) {
    for (int j = 0; j < n; ++j) {
      // p can be a function of i and j
      boost::random::binomial_distribution<int> dist(1,p);
      auto gen = std::bind(dist, std::ref(lrng));
      out(j,i) = gen();
    }
  }
}
  // ok to use rng here
  return out;
}

/*** R
parallel_random_matrix(5, 5, 4, 0.75)
*/

This way you can make p depend on i and j. It might be more efficient to keep one global dist object and reconfigure it within the loop, see here for a similar question.