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From "Darren Wilkinson (JIRA)" <j...@apache.org>
Subject [jira] [Commented] (MATH-585) Very slow generation of gamma random variates
Date Fri, 10 Jun 2011 10:00:59 GMT

    [ https://issues.apache.org/jira/browse/MATH-585?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13047112#comment-13047112
] 

Darren Wilkinson commented on MATH-585:
---------------------------------------

That's great. Even if it makes little difference to the gamma generator, it is worth speeding
up exponential generation - it is very important in many applications. In fact, in my own
applications it is even more important than (general) gamma generation...

> Very slow generation of gamma random variates
> ---------------------------------------------
>
>                 Key: MATH-585
>                 URL: https://issues.apache.org/jira/browse/MATH-585
>             Project: Commons Math
>          Issue Type: Improvement
>    Affects Versions: 2.2, 3.0
>         Environment: All
>            Reporter: Darren Wilkinson
>            Assignee: Mikkel Meyer Andersen
>              Labels: Gamma, Random
>         Attachments: MATH585-1.patch
>
>   Original Estimate: 6h
>  Remaining Estimate: 6h
>
> 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. 

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