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https://issues.apache.org/jira/browse/MATH-585?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13047223#comment-13047223
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Brent Worden commented on MATH-585:
-----------------------------------
Here is a performance improvement suggestion to the implementation in the patch:
Since the loop in calculateQ is always a fixed number of iterations, eliminate
it and compute the polynomial directly. Also, instead of computing is as a1*v
+ a2*v^2 + a3*v^3 + ... a9*v^9 use the equivalent form v*(a1 + v*(a2 + v*(a3 +
... + v*(a8 + a9*v)))))))). This method eliminates about half of the
multiplications needed to compute the polynomial.
Apply the same technique to the loops found in Step 4 (lines 244-250 of
MATH585-1.patch) and in Step 11 (lines 307-318).
> Very slow generation of gamma random variates
> ---------------------------------------------
>
> Key: MATH-585
> URL: https://issues.apache.org/jira/browse/MATH-585
> Project: Commons Math
> Issue Type: Improvement
> Affects Versions: 2.2, 3.0
> Environment: All
> Reporter: Darren Wilkinson
> Assignee: Mikkel Meyer Andersen
> Labels: Gamma, Random
> Attachments: MATH585-1.patch
>
> Original Estimate: 6h
> Remaining Estimate: 6h
>
> The current implementation of gamma random variate generation works, but uses
> an inversion method. This is well-known to be a bad idea. Usually a carefully
> constructed rejection procedure is used. To give an idea of the magnitude of
> the problem, the Gamma variate generation in Parallel COLT is roughly 50
> times faster than in Commons Math.
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