# Performance of modified Ziggurat samplers

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#### Details

• Improvement
• Status: Resolved
• Minor
• Resolution: Implemented
• 1.4
• None

#### Description

The modified ziggurat algorithm implemented in RNG-151 has a variation for sampling from the overhang regions at the ziggurat edges, region A below:

```            \
----------+\
| \
B      |A \
-------------+\
| \
```

Note: Region B is the ziggurat layer which is entirely within the distribution PDF.

These overhangs can be convex, concave or an inflection (change from convex to concave). Samples from the region A must be below the distribution density curve (PDF). When sampling from region A, the sampler will create a random point (x,y) uniformly within the rectangle. This is tested to determine if it is below the curve. Convex and concave curves can use a fast method that knows the largest possible triangle that fits above or below the curve. If a sampled point (x,y) is within these triangles then the actual curve position (pdf( x)) for the point x does not need to be computed. This can save time if the pdf is computationally expensive. In the case of exponential (exp(-x)) or Gaussian (exp(-0.5 * x * x)) this involves a call to Math.exp.

The current sampler implements the fast look-up method. The alternative is to always compute pdf( x) and determine if y is below the curve. This is known as 'simple overhangs'.

Investigate the use of simple overhangs on the performance of the sampler.

Note: The Marsaglia version of the ziggurat sampler uses the 'simple overhangs' method.

#### Attachments

1. exp_normal.jpg
133 kB
Alex Herbert
2. exp_overhang.jpg
179 kB
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3. Exp.jpg
101 kB
Alex Herbert
4. gauss_normal.jpg
108 kB
Alex Herbert
5. gauss_overhang.jpg
182 kB
Alex Herbert
6. Gaussian.jpg
84 kB
Alex Herbert

#### People

Alex Herbert
Alex Herbert