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Random problems with R

Published 18 Sep 2018 in cs.MS and stat.CO | (1809.06520v3)

Abstract: R (Version 3.5.1 patched) has an issue with its random sampling functionality. R generates random integers between $1$ and $m$ by multiplying random floats by $m$, taking the floor, and adding $1$ to the result. Well-known quantization effects in this approach result in a non-uniform distribution on ${ 1, \ldots, m}$. The difference, which depends on $m$, 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 $m$. 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()).

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