Beginner’s guide

Installation

The package mkl_random is available in conda ecosystem on “conda-forge”, “main”, and “intel” channels (i.e. locations).

Install mkl_random from conda-forge channel

    $ conda install -c conda-forge mkl_random

Install mkl_random from intel channel

    $ conda install -c intel mkl_random

Install mkl_random from default channel main

    $ conda install mkl_random

The package can also be installed via pip package manager, either from central Python package index (PyPI) repository, or from index maintained by Intel(R):

Install mkl_random using pip from intel channel on Anaconda

$ pip install -i https://pypi.anaconda.org/intel/simple mkl_random

Install mkl_random using pip from PyPI

$ pip install mkl_random

The mkl_random is also distributed as part of Intel(R) Distribution for Python*.

First steps

The mkl_random package has followed the design of numpy.random package to make mkl_random easy to use for those already familiar with the numpy.random module.

Note

Since the first release of mkl_random, NumPy introduced new classes numpy.random.Generator and numpy.random.BitGenerator, while also retaining numpy.random.RandomState for backwards compatibility. mkl_random, at present, does not provide classes mirroring Generator or BitGenerators.

The state of pseudo-random number generator is stored in mkl_random.RandomState class, so using mkl_random begins with creating an instance of this class:

Construct random number generator

    import mkl_random
    rs = mkl_random.RandomState(seed=1234)

Sampling from difference probability distribution is done by calling the class methods on the constructed instance:

Generate one million variates from standard continuous uniform distribution

    s = rs.uniform(0, 1, size=1_000_000)

Drawing samples updates the state of pseudo-random number generator so that next sample is statistically independent from the previous one (with caveats of using pseudo-random generators implied).

Here is an example of estimating value of \(\pi\) by using Monte-Carlo method:

Using Monte-Carlo method to estimate value of pi

    import numpy as np
    import mkl_random

    rs = mkl_random.RandomState(seed=1234)

    sample_size = 10**8
    batch_size = 10**6
    accepted = 0
    sampled = 0
    while sampled < sample_size:
        sampled += batch_size
        x = rs.uniform(0, 1, size=batch_size)
        y = rs.uniform(0, 1, size=batch_size)
        accepted += np.sum(x*x + y*y < 1.0)

    print("Pi estimate: ", 4. * (accepted / sample_size))

Sample output of running such an example:

Sample output after executing above script

    $ python pi.py
    Pi estimate:  3.14167732

Pseudo-random vs. non-deterministic generators

Stochastic computations often need to work with independent samples from either the same probability distribution, or a set of probability distributions of interest.

True random generator relies on laws of physics to provide those, leveraging dedicated hardware providing a source of entropy.

Psuedo-random generator is an algorithm that outputs a sequence that emulates true randomness. The quality of emulation is tested statistically through a battery of test, e.g. Diehard tests. These tests check if various statistical tests can separate the pseudo-random sequence from a true random one.

Pseudo-random generators usually have an internal state and require its initialization, also sometimes known as seeding. States initialization algorithms take user provided _seed_ value, usually an integer or a finite seqeuence of integers, and scramble it to populate the internal state of the pseudo-random generator.

The sequence from the pseudo-random generator, unlike from true random generator, is repeatable, provided the internal state can be saved and restored, or initialized to the same state.