Given the practical challenges of achieving true randomness, deterministic algorithms, known as Pseudo Random Number Generators (RNGs), are employed in science to create sequences that mimic randomness. These generators are used for simulations, experiments, and analysis where it is essential to have numbers that appear unpredictable. I want to share here what I have learned about best practices with pseudo RNGs and especially the ones available in NumPy.
A pseudo RNG works by updating an internal state through a deterministic algorithm. This internal state is initialized with a value known as a seed and each update produces a number that appears randomly generated. The key here is that the process is deterministic, meaning that if you start with the same seed and apply the same algorithm, you will get the same sequence of internal states (and numbers). Despite this determinism, the resulting numbers exhibit properties of randomness, appearing unpredictable and evenly distributed. Users can either specify the seed manually, providing a degree of control over the generated sequence, or they can opt to let the RNG object automatically derive the seed from system entropy. The latter approach enhances unpredictability by incorporating external factors into the seed.
I assume a certain knowledge of NumPy and that NumPy 1.17 or greater is used. The reason for this is that great new features were introduced in the random module of version 1.17. As numpy
is usually imported as np
, I will sometimes use np
instead of numpy
. Finally, RNG will always mean pseudo RNG in the rest of this blog post.
np.random.seed
and np.random.*
functions, such as np.random.random
, to generate random values.np.random.default_rng
function.Note that, with older versions of NumPy (<1.17), the way to create a new RNG is to use np.random.RandomState
which is based on the popular Mersenne Twister 19937 algorithm. This is also how the global NumPy RNG is created. This function is still available in newer versions of NumPy, but it is now recommended to use default_rng
instead, which returns an instance of the statistically better PCG64 RNG. You might still see np.random.RandomState
being used in tests as it has strong stability guarantees between different NumPy versions.
When you import numpy
in your Python script, an RNG is created behind the scenes. This RNG is the one used when you generate a new random value using a function such as np.random.random
. I will here refer to this RNG as the global NumPy RNG.
Although not recommended, it is a common practice to reset the seed of this global RNG at the beginning of a script using the np.random.seed
function. Fixing the seed at the beginning ensures that the script is reproducible: the same values and results will be produced each time you run it. However, although sometimes convenient, using the global NumPy RNG is a bad practice. A simple reason is that using global variables can lead to undesired side effects. For instance one might use np.random.random
without knowing that the seed of the global RNG was set somewhere else in the codebase. Quoting Numpy Enhancement Proposal (NEP) 19 by Robert Kern:
The implicit global RandomState behind the
np.random.*
convenience functions can cause problems, especially when threads or other forms of concurrency are involved. Global state is always problematic. We categorically recommend avoiding using the convenience functions when reproducibility is involved. […] The preferred best practice for getting reproducible pseudorandom numbers is to instantiate a generator object with a seed and pass it around.
In short:
np.random.seed
, which reseeds the already created global NumPy RNG, and then using np.random.*
functions, you should create a new RNG.To create a new RNG you can use the default_rng
function as illustrated in the introduction of the random module documentation:
import numpy as np
rng = np.random.default_rng()
rng.random() # generate a floating point number between 0 and 1
If you want to use a seed for reproducibility, the NumPy documentation recommends using a large random number, where large means at least 128 bits. The first reason for using a large random number is that this increases the probability of having a different seed than anyone else and thus independent results. The second reason is that relying only on small numbers for your seeds can lead to biases as they do not fully explore the state space of the RNG. This limitation implies that the first number generated by your RNG may not seem as random as expected due to inaccessible first internal states. For example, some numbers will never be produced as the first output. One possibility would be to pick the seed at random in the state space of the RNG but according to Robert Kern a 128-bit random number is large enough^{1}. To generate a 128-bit random number for your seed you can rely on the secrets module:
import secrets
secrets.randbits(128)
When running this code I get 65647437836358831880808032086803839626
for the number to use as my seed. This number is randomly generated so you need to copy paste the value that is returned by secrets.randbits(128)
otherwise you will have a different seed each time you run your code and thus break reproducibility:
import numpy as np
seed = 65647437836358831880808032086803839626
rng = np.random.default_rng(seed)
rng.random()
The reason for seeding your RNG only once (and passing that RNG around) is that with a good RNG such as the one returned by default_rng
you will be ensured good randomness and independence of the generated numbers. However, if not done properly, using several RNGs (each one created with its own seed) might lead to streams of random numbers that are less independent than the ones created from the same seed^{2}. That being said, as explained by Robert Kern, with the RNGs and seeding strategies introduced in NumPy 1.17, it is considered fairly safe to create RNGs using system entropy, i.e. using default_rng(None)
multiple times. However as explained later be careful when running jobs in parallel and relying on default_rng(None)
. Another reason for seeding your RNG only once is that obtaining a good seed can be time consuming. Once you have a good seed to instantiate your generator, you might as well use it.
As you write functions that you will use on their own as well as in a more complex script it is convenient to be able to pass a seed or your already created RNG. The function default_rng
allows you to do this very easily. As written above, this function can be used to create a new RNG from your chosen seed, if you pass a seed to it, or from system entropy when passing None
but you can also pass an already created RNG. In this case the returned RNG is the one that you passed.
import numpy as np
def stochastic_function(high=10, rng=None):
rng = np.random.default_rng(rng)
return rng.integers(high, size=5)
You can either pass an int
seed or your already created RNG to stochastic_function
. To be perfectly exact, the default_rng
function returns the exact same RNG passed to it for certain kind of RNGs such at the ones created with default_rng
itself. You can refer to the default_rng
documentation for more details on the arguments that you can pass to this function^{3}.
You must be careful when using RNGs in conjunction with parallel processing. Let’s consider the context of Monte Carlo simulation: you have a random function returning random outputs and you want to generate these random outputs a lot of times, for instance to compute an empirical mean. If the function is expensive to compute, an easy solution to speed up the computation time is to resort to parallel processing. Depending on the parallel processing library or backend that you use different behaviors can be observed. For instance if you do not set the seed yourself it can be the case that forked Python processes use the same random seed, generated for instance from system entropy, and thus produce the exact same outputs which is a waste of computational resources. A very nice example illustrating this when using the Joblib parallel processing library is available here.
If you fix the seed at the beginning of your main script for reproducibility and then pass your seeded RNG to each process to be run in parallel, most of the time this will not give you what you want as this RNG will be deep copied. The same results will thus be produced by each process. One of the solutions is to create as many RNGs as parallel processes with a different seed for each of these RNGs. The issue now is that you cannot choose the seeds as easily as you would think. When you choose two different seeds to instantiate two different RNGs how do you know that the numbers produced by these RNGs will appear as statistically independent?^{2} The design of independent RNGs for parallel processes has been an important research question. See, for example, Random numbers for parallel computers: Requirements and methods, with emphasis on GPUs by L’Ecuyer et al. (2017) for a good summary of different methods.
Starting with NumPy 1.17, it is now very easy to instantiate independent RNGs. Depending on the type of RNG you use, different strategies are available as documented in the Parallel random number generation section of the NumPy documentation. One of the strategies is to use SeedSequence
which is an algorithm that makes sure that poor input seeds are transformed into good initial RNG states. More precisely, this ensures that you will not have a degenerate behavior from your RNG and that the subsequent numbers will appear random and independent. Additionally, it ensures that close seeds are mapped to very different initial states, resulting in RNGs that are, with very high probability, independent of each other. You can refer to the documentation of SeedSequence Spawning for examples on how to generate independent RNGs from a SeedSequence
or an existing RNG. I here show how to apply this to the joblib example mentioned above.
import numpy as np
from joblib import Parallel, delayed
def stochastic_function(high=10, rng=None):
rng = np.random.default_rng(rng)
return rng.integers(high, size=5)
seed = 319929794527176038403653493598663843656
# creating the RNG that is passed around.
rng = np.random.default_rng(seed)
# create 5 independent RNGs
child_rngs = rng.spawn(5)
# use 2 processes to run the stochastic_function 5 times with joblib
random_vector = Parallel(n_jobs=2)(
delayed(stochastic_function)(rng=child_rng) for child_rng in child_rngs
)
print(random_vector)
By using a fixed seed you always get the same results each time you run this code and by using rng.spawn
you have an independent RNG for each call to stochastic_function
. Note that here you could also spawn from a SeedSequence
that you would create with the seed instead of creating an RNG. However, in general you pass around an RNG therefore I only assume to have access to an RNG. Also note that spawning from an RNG is only possible from version 1.25 of NumPy^{4}.
I hope this blog post helped you understand the best ways to use NumPy RNGs. The new Numpy API gives you all the tools you need for that. The resources below are available for further reading. Finally, I would like to thank Pamphile Roy, Stefan van der Walt and Jarrod Millman for their great feedbacks and comments which contributed to greatly improve the original version of this blog post.
check_random_state
function and RNG good practices, especially this comment by Robert Kern.SeedSequence
can and cannot do. This also explains why it is recommended to use very large random numbers for seeds.If you only need a seed for reproducibility and do not need independence with respect to others, say for a unit test, a small seed is perfectly fine. ↩︎
A good RNG is expected to produce independent numbers for a given seed. However, the independence of sequences generated from two different seeds is not always guaranteed. For instance, it is possible that the sequence started with the second seed might quickly converge to an internal state also obtained by the first seed. This can result in both RNGs producing the same subsequent numbers, which would compromise the randomness expected from distinct seeds. ↩︎ ↩︎
Before knowing about default_rng
, and before NumPy 1.17, I was using the scikit-learn function check_random_state
which is of course heavily used in the scikit-learn codebase. While writing this post I discovered that this function is now available in scipy. A look at the docstring and/or the source code of this function will give you a good idea about what it does. The differences with default_rng
are that check_random_state
currently relies on np.random.RandomState
and that when None
is passed to check_random_state
then the function returns the already existing global NumPy RNG. The latter can be convenient because if you fix the seed of the global RNG before in your script using np.random.seed
, check_random_state
returns the generator that you seeded. However, as explained above, this is not the recommended practice and you should be aware of the risks and the side effects. ↩︎
Before 1.25 you need to get the SeedSequence
from the RNG using the _seed_seq
private attribute of the underlying bit generator: rng.bit_generator._seed_seq
. You can then spawn from this SeedSequence
to get child seeds that will result in independent RNGs. ↩︎