Alex D Herbert created RNG-51:
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Summary: PoissonSampler single use speed improvements using a cache
Key: RNG-51
URL: https://issues.apache.org/jira/browse/RNG-51
Project: Commons RNG
Issue Type: Improvement
Affects Versions: 1.1
Reporter: Alex D Herbert
This improvement is a follow on from RNG-50.
That improved the PoissonSampler by splitting it into two samplers for the
different algorithms (SmallMeanPoissonSampler and LargeMeanPoissonSampler) and
moving initialisation computations from the sample method into the constructor.
This improved the speed of repeat use of the same sampler by up to 3-fold. It
does not effect single-use of a sampler.
In the case of the LargeMeanPoissonSampler the initialisation 'state' computed
within the constructor involves 2 Math.log, 2 Math.exp, 2 Math.sqrt and 1
logFactorial computations. If the sampler is used to generate only 1 sample
then the cost of computing the state is a significant portion of the sample
time.
However the state is not unique to the mean of the Poisson distribution but the
{{(int)Math.floor(mean)}}. This means the initialisation state can be shared
and reused by PoissonSamplers with different means.
This was demonstrated using a JMH benchmark speed test comparing the standard
PoissonSampler verses a PoissonSamplerCache that can store the initialisation
state of the PoissonSampler.
For single-use Poisson samples with a mean within a known range the cache can
provide 1.3 to 2x speed-up as initialisation state can be reused.
The original benchmark was performed using Version 1.0. The Version 1.1.
samplers use a new faster Gaussian sampler internally. So the benchmark should
be repeated for Version 1.1.
The test project containing the V1.0 JMH benchmark is here:
[poisson-sampler-test-code|https://github.com/aherbert/poisson-sampler-test-code]
I propose to update this project to reference V1.1 of Commons RNG and repeat
the test of the PoissonSamplerCache. Results will be posted when available.
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