Random problems with R
R (Version 3.5.1 patched) has two issues with its random sampling functionality. First, it uses a version of the Mersenne Twister known to have a seeding problem, which was corrected by the authors of the Mersenne Twister in 2002. Updated C source code is available at http://www.math.sci.hiroshima-u.ac.jp/~m-mat/MT/MT2002/CODES/mt19937ar.c . Second, R generates random integers between and by multiplying random floats by , taking the floor, and adding to the result. Well-known quantization effects in this approach result in a non-uniform distribution on . The difference, which depends on , can be substantial. Because the sample function in R relies on generating random integers, random sampling in R is biased. There is an easy fix: construct random integers directly from random bits, rather than multiplying a random float by . That is the strategy taken in Python's numpy.random.randint() function, among others. Example source code in Python is available at https://github.com/statlab/cryptorandom/blob/master/cryptorandom/cryptorandom.py (see functions getrandbits() and randbelow_from_randbits()).
View on arXiv