about randomness (im Hamburg)

exhibit in DESY campus, Hamburg, Germany, Feb. 19, 2013True randomness was the topic of the `Random numbers; fifty years later’ talk in DESY by Frederick James from CERN. I had discussed a while ago a puzzling book related to this topic. This talk went along a rather different route, focussing on random generators. James put this claim that there are computer based physical generators that are truly random. (He had this assertion that statisticians do not understand randomness because they do not know quantum mechanics.) He distinguished those from pseudo-random generators: “nobody understood why they were (almost) random”, “IBM did not know how to generate random numbers”… But then spent the whole talk discussing those pseudo-random generators. Among other pieces of trivia, James mentioned that George Marsaglia was the one exhibiting the hyperplane features of congruential generators. That Knuth achieved no successful definition of what randomness is in his otherwise wonderful books! James thus introduced Kolmogorov’s mixing (not Kolmogorov’s complexity, mind you!) as advocated by Soviet physicists to underlie randomness. Not producing anything useful for RNGs in the 60′s. He then moved to the famous paper by Ferrenberg, Landau and Wong (1992) that I remember reading more or less at the time. In connection with the phase transition critical slowing down phenomena in Ising model simulations. And connecting with the Wang-Landau algorithm of flipping many sites at once (which exhibited long-term dependences in the generators). Most interestingly, a central character in this story is Martin Lüscher, based in DESY, who expressed the standard generator of the time RCARRY into one studied by those Soviet mathematicians,

X’=AX

showing that it enjoyed Kolmogorov mixing, but with a very poor Lyapunov coefficient. I partly lost track there as RCARRY was not perfect. And on how this Kolmogorov mixing would relate to long-term dependencies. One explanation by James was that this property is only asymptotic. (I would even say statistical!) Also interestingly, the 1994 paper by Lüscher produces the number of steps necessary to attain complete mixing, namely 15 steps, which thus works as a cutoff point. (I wonder why a 15-step RCARRY is slower, since A15 can be computed at once… It may be due to the fact that A is sparse while A15 is not.) James mentioned that Marsaglia’s Die Hard battery of tests is now obsolete and superseded by Pierre Lecuyer’s TestU01.

In conclusion, I did very much like this presentation from an insider, but still do not feel it makes a contribution to the debate on randomness, as it stayed put on pseudorandom generators. To keep the connection with von Neumann, they all produce wrong answers from a randomness point of view, if not from a statistical one. (A final quote from the talk: “Among statisticians and number theorists who are supposed to be specialists, they do not know about Kolmogorov mixing.”) [Discussing with Fred James at the reception after the talk was obviously extremely pleasant, as he happened to know a lot of my Bayesian acquaintances!]

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s

Follow

Get every new post delivered to your Inbox.

Join 700 other followers