[Numpy-discussion] Quick Question about Optimization

Robert Kern robert.kern@gmail....
Mon May 19 18:52:27 CDT 2008


On Mon, May 19, 2008 at 6:39 PM, Charles R Harris
<charlesr.harris@gmail.com> wrote:
>
> On Mon, May 19, 2008 at 4:36 PM, Robert Kern <robert.kern@gmail.com> wrote:
>>
>> On Mon, May 19, 2008 at 5:27 PM, Charles R Harris
>> <charlesr.harris@gmail.com> wrote:
>> > The latest versions of Matlab use the ziggurat method to generate random
>> > normals and it is faster than the method used in numpy. I have ziggurat
>> > code
>> > at hand, but IIRC, Robert doesn't trust the method ;)
>>
>> Well, I outlined the tests that would satisfy me, but I don't think
>> you ever responded.
>>
>>  http://projects.scipy.org/pipermail/scipy-dev/2005-December/004405.html
>>  which references
>>  http://projects.scipy.org/pipermail/scipy-dev/2005-December/004400.html
>
> It's been tested in the literature.

And it happened to fail such tests. Hence the Doornik paper which
improves Marsaglia's method to pass the appropriate tests.
Consequently, I want to see the tests performed on the actual
implementation before using it. It's a complicated algorithm that is
*demonstrably* easy to get wrong.

-- 
Robert Kern

"I have come to believe that the whole world is an enigma, a harmless
enigma that is made terrible by our own mad attempt to interpret it as
though it had an underlying truth."
 -- Umberto Eco


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