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From "Thomas Neidhart (JIRA)" <j...@apache.org>
Subject [jira] [Commented] (MATH-1153) Sampling from a 'BetaDistribution' is slow
Date Thu, 30 Apr 2015 20:39:06 GMT

    [ https://issues.apache.org/jira/browse/MATH-1153?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=14522216#comment-14522216
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Thomas Neidhart commented on MATH-1153:
---------------------------------------

Looking at the wikipedia page I found another way to sample from a beta distribution:

{code}
  sample X from a gamma distribution with parameters (alpha, 1)
  sample Y from a gamma distribution with parameters (beta, 1)
  return X / (X + Y)
{code}

I quickly tested this method and it is even faster than the Cheng method, succeeding the tests.
The same method is also implemented in mahout (see https://github.com/apache/mahout/blob/master/mr/src/main/java/org/apache/mahout/clustering/UncommonDistributions.java)

> 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: 4.0
>
>         Attachments: ChengBetaSampler.java, 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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