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From "Darren Wilkinson (JIRA)" <j...@apache.org>
Subject [jira] [Created] (MATH-585) Very slow generation of gamma random variates
Date Sat, 04 Jun 2011 18:38:47 GMT
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


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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