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From "Mikkel Meyer Andersen (JIRA)" <j...@apache.org>
Subject [jira] [Commented] (MATH-585) Very slow generation of gamma random variates
Date Sun, 19 Jun 2011 16:13:47 GMT

    [ https://issues.apache.org/jira/browse/MATH-585?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13051702#comment-13051702
] 

Mikkel Meyer Andersen commented on MATH-585:
--------------------------------------------

Now I understand. Originally GammaRejectionSampler was not an inner class but its own, and
after I made it inner I did not give it as much thought as I should have. Thanks for clarifying.
I like the solution of removing the reference to the outer class in the constructor best.

I'm working on the constants - it's not as easy as I thought, but the hunt is kind of fun
:-).

> 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, MATH585-4-gamma.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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