[SciPy-dev] Box-Muller considered slow.

Charles R Harris charlesr.harris at gmail.com
Thu Dec 8 17:33:07 CST 2005

On 12/8/05, David M. Cooke <cookedm at physics.mcmaster.ca> wrote:
> 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).

That's the Box-Muller algorithm.

I've had a look at the ziggurat algorithm; it's more complicated, so
> we'd need some code for it (hint, hint :-)

I've attached a templated version I use just to get some code out there. I
modified the original ziggurat method a bit to make it more straightforward.
I admit the code is not scipy compatible as it stands; in particular, my
default uniform doubles are thin and on the open interval (0,1).  If I get
some time I may make a genuine contribution ;)

How does one test the normal distribution ?

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