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From "Darren Wilkinson (JIRA)" <j...@apache.org>
Subject [jira] [Commented] (MATH-585) Very slow generation of gamma random variates
Date Thu, 09 Jun 2011 13:22:59 GMT

    [ https://issues.apache.org/jira/browse/MATH-585?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13046528#comment-13046528
] 

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

That looks great. I will be happy to do a bit of testing when the new version makes it into
the snapshot. Thanks!

> 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
>              Labels: Gamma, Random
>   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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