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Posted to issues@commons.apache.org by "Thomas Neidhart (JIRA)" <ji...@apache.org> on 2015/05/01 12:01:06 UTC
[jira] [Commented] (MATH-1153) Sampling from a 'BetaDistribution'
is slow
[ https://issues.apache.org/jira/browse/MATH-1153?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=14523002#comment-14523002 ]
Thomas Neidhart commented on MATH-1153:
---------------------------------------
Committed patch to 4.0 in commit 5597ed7ea300ae3d08cd893b0133bce26038a7df.
> Sampling from a 'BetaDistribution' is slow
> ------------------------------------------
>
> Key: MATH-1153
> URL: https://issues.apache.org/jira/browse/MATH-1153
> Project: Commons Math
> Issue Type: Improvement
> Reporter: Sergei Lebedev
> Priority: Minor
> Fix For: 4.0
>
> Attachments: ChengBetaSampler.java, ChengBetaSampler.java, ChengBetaSamplerTest.java
>
>
> Currently the `BetaDistribution#sample` uses inverse CDF method, which is quite slow for sampling-intensive computations. I've implemented a method from the R. C. H. Cheng paper and it seems to work much better. Here's a simple microbenchmark:
> {code}
> o.j.b.s.SamplingBenchmark.algorithmBCorBB 1e-3 1000 thrpt 5 2592200.015 14391.520 ops/s
> o.j.b.s.SamplingBenchmark.algorithmBCorBB 1000 1000 thrpt 5 3210800.292 33330.791 ops/s
> o.j.b.s.SamplingBenchmark.commonsVersion 1e-3 1000 thrpt 5 31034.225 438.273 ops/s
> o.j.b.s.SamplingBenchmark.commonsVersion 1000 1000 thrpt 5 21834.010 433.324 ops/s
> {code}
> Should I submit a patch?
> R. C. H. Cheng (1978). Generating beta variates with nonintegral shape parameters. Communications of the ACM, 21, 317–322.
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