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List:       jakarta-commons-dev
Subject:    [jira] [Created] (MATH-1153) Sampling from a 'BetaDistribution' is slow
From:       "Sergei Lebedev (JIRA)" <jira () apache ! org>
Date:       2014-09-30 15:50:33
Message-ID: JIRA.12744980.1412092174000.155839.1412092233615 () Atlassian ! JIRA
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Sergei Lebedev created MATH-1153:
------------------------------------

             Summary: 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: 3.3


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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