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From "Luc Maisonobe (JIRA)" <j...@apache.org>
Subject [jira] [Commented] (MATH-1153) Sampling from a 'BetaDistribution' is slow
Date Tue, 16 Dec 2014 21:00:13 GMT

    [ https://issues.apache.org/jira/browse/MATH-1153?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=14248928#comment-14248928
] 

Luc Maisonobe commented on MATH-1153:
-------------------------------------

I have reworked the patch in order to integrate it directly into the BetaDistribution class.
This involved a few variable renames, and I am clearly not sure I did it properly.

It seems the goodness of fit test failed in many cases. I finally selected some seeds for
which it succeeded, just to make some progress here. This
is clearly not satisfaying. However, the patch has a side effect of making most random generator
tests fail, as they share a common test based on beta distribution sampling. They all inherit
this test from RandomDataGeneratorTest, the test is testNextInversionDeviate.

So my current state of mind is that I broke something while updating the patch, but I do not
have the necessary skills to analyze it and even less to fix it.

Could someone look at my attempts. They are available on a MATH-1153 branch in the git repository.

In the meantime, I propose to postpone this issue after 3.4.

> Sampling from a 'BetaDistribution' is slow
> ------------------------------------------
>
>                 Key: MATH-1153
>                 URL: https://issues.apache.org/jira/browse/MATH-1153
>             Project: Commons Math
>          Issue Type: Improvement
>            Reporter: Sergei Lebedev
>            Priority: Minor
>             Fix For: 3.4
>
>         Attachments: ChengBetaSampler.java, ChengBetaSamplerTest.java
>
>
> Currently the `BetaDistribution#sample` uses inverse CDF method, which is quite slow
for sampling-intensive computations. I've implemented a method from the R. C. H. Cheng paper
and it seems to work much better. Here's a simple microbenchmark:
> {code}
> o.j.b.s.SamplingBenchmark.algorithmBCorBB       1e-3    1000  thrpt        5  2592200.015
   14391.520  ops/s
> o.j.b.s.SamplingBenchmark.algorithmBCorBB       1000    1000  thrpt        5  3210800.292
   33330.791  ops/s
> o.j.b.s.SamplingBenchmark.commonsVersion        1e-3    1000  thrpt        5    31034.225
     438.273  ops/s
> o.j.b.s.SamplingBenchmark.commonsVersion        1000    1000  thrpt        5    21834.010
     433.324  ops/s
> {code}
> Should I submit a patch?
> R. C. H. Cheng (1978). Generating beta variates with nonintegral shape parameters. Communications
of the ACM, 21, 317–322.



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