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https://issues.apache.org/jira/browse/MATH-1153?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=14520038#comment-14520038
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Thomas Neidhart commented on MATH-1153:
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After fixing the KS inference tests the respective test failures disappeared as
expected.
The remaining test failure in testNextInversionDeviate is because the Cheng
sampler uses a kind of rejection sampling method and will consume more
randomness from the provided RandomGenerator.
This is a recurring issue, as also for other distributions there are improved
sampling methods that consume more randomness (see MATH-1220 for the Zipf
distribution).
This also relates to MATH-1153 as it proposes a different way to create a
sampler for a distribution. This would probably also allow to provide different
samplers using a common interface, e.g. the default one uses the inverse
transform method while more optimized ones could be available which require
different assumptions, e.g. wrt the RandomGenerator.
> 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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