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  1. Commons Math
  2. MATH-585

Very slow generation of gamma random variates

    Details

    • Type: Improvement
    • Status: Closed
    • Priority: Major
    • Resolution: Fixed
    • Affects Version/s: 2.2, 3.0
    • Fix Version/s: 3.0
    • Labels:
    • Environment:

      All

      Description

      The current implementation of gamma random variate generation works, but uses an inversion method. This is well-known to be a bad idea. Usually a carefully constructed rejection procedure is used. To give an idea of the magnitude of the problem, the Gamma variate generation in Parallel COLT is roughly 50 times faster than in Commons Math.

        Attachments

        1. MATH585-1.patch
          15 kB
          Mikkel Meyer Andersen
        2. MATH585-4-gamma.patch
          17 kB
          Mikkel Meyer Andersen
        3. MATH585-MT2001-1.patch
          5 kB
          Mikkel Meyer Andersen

          Activity

            People

            • Assignee:
              mikl Mikkel Meyer Andersen
              Reporter:
              darrenjw Darren Wilkinson
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