Deterministic Rayon monte carlo example (#1236)

* Deterministic Rayon monte carlo

* Update deterministic mt with a batching example

* discuss determinism in the context of rayon + rand

* reword the discussion

Co-authored-by: Mason Kramer <[email protected]>

Author: masonk

Cargo.toml

@@ -83,3 +83,4 @@ libc = { version = "0.2.22", optional = true, default-features = false }
 rand_pcg = { path = "rand_pcg", version = "0.3.0" }
 # Only to test serde1
 bincode = "1.2.1"
+rayon = "1.5.3"

examples/rayon-monte-carlo.rs

@@ -0,0 +1,79 @@
+// Copyright 2018 Developers of the Rand project.
+// Copyright 2013-2018 The Rust Project Developers.
+//
+// Licensed under the Apache License, Version 2.0 <LICENSE-APACHE or
+// https://www.apache.org/licenses/LICENSE-2.0> or the MIT license
+// <LICENSE-MIT or https://opensource.org/licenses/MIT>, at your
+// option. This file may not be copied, modified, or distributed
+// except according to those terms.
+
+//! # Monte Carlo estimation of π with a chosen seed and rayon for parallelism
+//!
+//! Imagine that we have a square with sides of length 2 and a unit circle
+//! (radius = 1), both centered at the origin. The areas are:
+//!
+//! ```text
+//!     area of circle  = πr² = π * r * r = π
+//!     area of square  = 2² = 4
+//! ```
+//!
+//! The circle is entirely within the square, so if we sample many points
+//! randomly from the square, roughly π / 4 of them should be inside the circle.
+//!
+//! We can use the above fact to estimate the value of π: pick many points in
+//! the square at random, calculate the fraction that fall within the circle,
+//! and multiply this fraction by 4.
+//!
+//! Note on determinism:
+//! It's slightly tricky to build a parallel simulation using Rayon
+//! which is both efficient *and* reproducible.
+//!
+//! Rayon's ParallelIterator api does not guarantee that the work will be
+//! batched into identical batches on every run, so we can't simply use
+//! map_init to construct one RNG per Rayon batch.
+//!
+//! Instead, we do our own batching, so that a Rayon work item becomes a
+//! batch. Then we can fix our rng stream to the batched work item.
+//! Batching amortizes the cost of constructing the Rng from a fixed seed
+//! over BATCH_SIZE trials. Manually batching also turns out to be faster
+//! for the nondeterministic version of this program as well.
+
+#![cfg(all(feature = "std", feature = "std_rng"))]
+
+use rand::distributions::{Distribution, Uniform};
+use rand_chacha::{rand_core::SeedableRng, ChaCha8Rng};
+use rayon::prelude::*;
+
+static SEED: u64 = 0;
+static BATCH_SIZE: u64 = 10_000;
+static BATCHES: u64 = 1000;
+
+fn main() {
+    let range = Uniform::new(-1.0f64, 1.0);
+
+    let in_circle = (0..BATCHES)
+        .into_par_iter()
+        .map(|i| {
+            let mut rng = ChaCha8Rng::seed_from_u64(SEED);
+            // We chose ChaCha because it's fast, has suitable statical properties for simulation,
+            // and because it supports this set_stream() api, which lets us chose a different stream
+            // per work item. ChaCha supports 2^64 independent streams.
+            rng.set_stream(i);
+            let mut count = 0;
+            for _ in 0..BATCH_SIZE {
+                let a = range.sample(&mut rng);
+                let b = range.sample(&mut rng);
+                if a * a + b * b <= 1.0 {
+                    count += 1;
+                }
+            }
+            count
+        })
+        .reduce(|| 0usize, |a, b| a + b);
+
+    // prints something close to 3.14159...
+    println!(
+        "π is approximately {}",
+        4. * (in_circle as f64) / ((BATCH_SIZE * BATCHES) as f64)
+    );
+}