Testing RNGs with PractRand

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PractRand is a random number generator test suite, somewhat like the DIEHARDER and NIST tests I’ve written about before, but more demanding.

Rather than running to completion, it runs until it a test fails with an infinitesimally small p-value. It runs all tests at a given sample size, then doubles the sample and runs the tests again.

32-bit generators

LCG

A while back I wrote about looking for an RNG that would fail the NIST test suite and being surprised that a simple LCG (linear congruential generator) did fairly well. PractRand, however, dismisses this generator with extreme prejudice:

RNG_test using PractRand version 0.93
RNG = RNG_stdin32, seed = 0x4a992b2c
test set = normal, folding = standard (32 bit)

rng=RNG_stdin32, seed=0x4a992b2c
length= 64 megabytes (2^26 bytes), time= 2.9 seconds
Test Name Raw Processed Evaluation
BCFN(2+0,13-3,T) R=+115128 p = 0 FAIL !!!!!!!!
BCFN(2+1,13-3,T) R=+105892 p = 0 FAIL !!!!!!!!
...
[Low1/32]FPF-14+6/16:(8,14-9) R= +25.8 p = 1.5e-16 FAIL
[Low1/32]FPF-14+6/16:(9,14-10) R= +15.5 p = 8.2e-9 very suspicious
[Low1/32]FPF-14+6/16:(10,14-11) R= +12.9 p = 1.8e-6 unusual
[Low1/32]FPF-14+6/16:all R=+380.4 p = 8.2e-337 FAIL !!!!!!!
[Low1/32]FPF-14+6/16:all2 R=+33954 p = 0 FAIL !!!!!!!!
[Low1/32]FPF-14+6/16:cross R= +33.6 p = 6.4e-25 FAIL !!
...and 9 test result(s) without anomalies

I don’t recall the last time I saw a p-value of exactly zero. Presumably the p-value was so small that it underflowed to zero.

MWC

Another 32 bit generator, George Marsaglia’s MWC generator, also fails, but not as spectacularly as LCG.

RNG_test using PractRand version 0.93
RNG = RNG_stdin32, seed = 0x187edf12
test set = normal, folding = standard (32 bit)

rng=RNG_stdin32, seed=0x187edf12
length= 64 megabytes (2^26 bytes), time= 2.9 seconds
Test Name Raw Processed Evaluation
DC6-9x1Bytes-1 R= +6.3 p = 2.2e-3 unusual
Gap-16:A R= +33.3 p = 1.6e-28 FAIL !!!
Gap-16:B R= +13.6 p = 7.9e-12 FAIL
...and 105 test result(s) without anomalies

64-bit generators

Next let’s see how some well-regarded 64-bit random number generators do. We’ll look at xorshift128+ and xoroshira128+ by Sebastiano Vigna and David Blackman, the famous Mersenne Twister, and PCG by Melissa O’Neill.

The numbers generated by xhoroshira128+ and xorshift128+ are not random in the least significant bit and so the PractRand tests end quickly. The authors claim that xoroshira128+ “passes the PractRand test suite up to (and included) 16TB, with the exception of binary rank tests.” I’ve only run PractRand with its default settings; I have not tried getting it to keep running the rest of the tests.

A lack of randomness in the least significant bits is inconsequential if you’re converting the outputs to floating point numbers, say as part of the process of generating Gaussian random values. For other uses, such as reducing the outputs modulo a small number, a lack of randomness in the least significant bits would be disastrous. (Here numerical analysis and number theory have opposite ideas regarding which parts of a number are most “significant.”)

At the time of writing, both Mersenne Twister and PCG have gone through 256 GB of generated values and are still running. I intend to add more results tomorrow.

Update: Mersenne Twister failed a couple of tests with 512 GB of input.

xoroshira128+

RNG_test using PractRand version 0.93
RNG = RNG_stdin64, seed = 0xe15bf63c
test set = normal, folding = standard (64 bit)

rng=RNG_stdin64, seed=0xe15bf63c
length= 128 megabytes (2^27 bytes), time= 2.8 seconds
Test Name Raw Processed Evaluation
[Low1/64]BRank(12):256(2) R= +3748 p~= 3e-1129 FAIL !!!!!!!!
[Low1/64]BRank(12):384(1) R= +5405 p~= 3e-1628 FAIL !!!!!!!!
...and 146 test result(s) without anomalies

xorshift128+

RNG_test using PractRand version 0.93
RNG = RNG_stdin64, seed = 0x8c7c5173
test set = normal, folding = standard (64 bit)

rng=RNG_stdin64, seed=0x8c7c5173
length= 128 megabytes (2^27 bytes), time= 2.8 seconds
Test Name Raw Processed Evaluation
[Low1/64]BRank(12):256(2) R= +3748 p~= 3e-1129 FAIL !!!!!!!!
[Low1/64]BRank(12):384(1) R= +5405 p~= 3e-1628 FAIL !!!!!!!!
...and 146 test result(s) without anomalies

Mersenne Twister

RNG_test using PractRand version 0.93
RNG = RNG_stdin64, seed = 0x300dab94
test set = normal, folding = standard (64 bit)

rng=RNG_stdin64, seed=0x300dab94
length= 256 megabytes (2^28 bytes), time= 3.7 seconds
no anomalies in 159 test result(s)

rng=RNG_stdin64, seed=0x300dab94
length= 512 megabytes (2^29 bytes), time= 7.9 seconds
Test Name Raw Processed Evaluation
BCFN(2+2,13-2,T) R= -7.0 p =1-1.2e-3 unusual
[Low1/64]BCFN(2+2,13-6,T) R= -5.7 p =1-1.0e-3 unusual
...and 167 test result(s) without anomalies

...

rng=RNG_stdin64, seed=0x300dab94
length= 256 gigabytes (2^38 bytes), time= 3857 seconds
  no anomalies in 265 test result(s)

rng=RNG_stdin64, seed=0x300dab94
length= 512 gigabytes (2^39 bytes), time= 8142 seconds
 Test Name Raw Processed Evaluation
 BRank(12):24K(1) R=+99759 p~= 0 FAIL !!!!!!!!
 [Low16/64]BRank(12):16K(1) R= +1165 p~= 1.3e-351 FAIL !!!!!!!
 ...and 274 test result(s) without anomalies

PCG

RNG_test using PractRand version 0.93
RNG = RNG_stdin64, seed = 0x82f88431
test set = normal, folding = standard (64 bit)

rng=RNG_stdin64, seed=0x82f88431
length= 128 megabytes (2^27 bytes), time= 2.0 seconds
  Test Name                         Raw       Processed     Evaluation
  [Low1/64]DC6-9x1Bytes-1           R=  +6.6  p =  1.6e-3   unusual
  ...and 147 test result(s) without anomalies

rng=RNG_stdin64, seed=0x82f88431
length= 256 megabytes (2^28 bytes), time= 4.7 seconds
  no anomalies in 159 test result(s)

rng=RNG_stdin64, seed=0x82f88431
length= 512 megabytes (2^29 bytes), time= 9.5 seconds
  no anomalies in 169 test result(s)

...

rng=RNG_stdin64, seed=0x82f88431
length= 256 gigabytes (2^38 bytes), time= 4007 seconds
 no anomalies in 265 test result(s)
Data http://ift.tt/2vDE436 August 15, 2017 at 05:58AM

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