[SciPy-dev] Box-Muller considered slow.
David M. Cooke
cookedm at physics.mcmaster.ca
Thu Dec 8 16:25:39 CST 2005
Charles R Harris <charlesr.harris at gmail.com> writes:
> I have done some benchmarking of the ziggurat algorithm vs the Box-Muller
> algorithm in boost/random for computing gaussian random variables. The ziggurat
> method was 6x faster. As scipy at this time uses the Box-Muller method, I would
> like to propose a switch to the ziggurat method.
boost/random looks like it uses a deterministic polar method for
gaussian RVs (at least in 1.33).
I've had a look at the ziggurat algorithm; it's more complicated, so
we'd need some code for it (hint, hint :-)
Mind you, that code could be written in Pyrex, not C, as the mtrand
module is written as a Pyrex wrapper around C code.
For those interested, Marsgalia and Wai Wan Tang's updated method
(2000) is here,
http://www.jstatsoft.org/v05/i08/ziggurat.pdf
with some comments about a problem using the single random number for
rejection in it here:
http://www.doornik.com/research/ziggurat.pdf
--
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|David M. Cooke http://arbutus.physics.mcmaster.ca/dmc/
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