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https://issues.apache.org/jira/browse/MATH-585?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13047015#comment-13047015
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Mikkel Meyer Andersen commented on MATH-585:
--------------------------------------------
It is probably possible to gain a bit more by using (reference found in R's
?rexp)
{quote}
Ahrens, J. H. and Dieter, U. (1972). Computer methods for
sampling from the exponential and normal distributions.
_Communications of the ACM_, *15*, 873-882.
{quote}
instead of the currently simple inversion method to sample from the exponential
distribution (step 8-9).
> 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
> Attachments: MATH585-1.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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