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From "Mikkel Meyer Andersen (JIRA)" <j...@apache.org>
Subject [jira] [Resolved] (MATH-585) Very slow generation of gamma random variates
Date Wed, 10 Aug 2011 06:57:27 GMT

     [ https://issues.apache.org/jira/browse/MATH-585?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
]

Mikkel Meyer Andersen resolved MATH-585.
----------------------------------------

    Resolution: Fixed

> 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
>             Fix For: 3.0
>
>         Attachments: MATH585-1.patch, MATH585-4-gamma.patch, MATH585-MT2001-1.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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