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From "Phil Steitz (JIRA)" <j...@apache.org>
Subject [jira] [Issue Comment Deleted] (MATH-1153) Sampling from a 'BetaDistribution' is slow
Date Wed, 17 Dec 2014 17:37:13 GMT

     [ https://issues.apache.org/jira/browse/MATH-1153?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
]

Phil Steitz updated MATH-1153:
------------------------------
    Comment: was deleted

(was: Sorry I did not comment on the goodness of fit tests.  Those are more problematic, as
having to cherry-pick seeds indicates that the generated values may not follow the target
distribution.  Looking at G-tests as well would be a good idea, as would looking at a range
of different distribution parameter values.

I will have a look at the code and homogeneity tests tonight.)

> 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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