Re: [Gretl-devel] simulation speed

On Tue, 22 Dec 2009, Berend Hasselman wrote: Not useless at all, in fact it's extremely interesting. Thanks, Sven. I have the feeling (and valgrind+callgrind seems to give supporting evidence) that gretl spends most of its time generating random numbers. The actual matrix operations take very little in comparison. Allin and I have been aware that random number generation still has margins for optimisation, only we haven't had time to pursue the matter. By the way, the algorithm we use for generating normals is polar Box-Müller (and before you all jump on me on this one: yes, I am aware of all the criticism on Box-Müller, but the fact that we are using the Mersenne Twister for uniforms instead of a plain congruential generator makes the point sort of moot). We may want to switch to Marsaglia's ziggurat method, which is said to be very fast and accurate. I don't know first-hand, as I never implemented it myself, but there seems to be a certain degree on unanimity on this by experts (beside, it was invented by George Marsaglia, who is the highest authority on RNG in this solar system). Sven, could you try to tune your script to compute the timings of random number generation and matrix operations separately? Oh, and one last thing: I'll be on holiday from tomorrow, so don't expect me to do anything on this or other stuff soon. That said, happy Christmas to everyone! Riccardo (Jack) Lucchetti Dipartimento di Economia Università Politecnica delle Marche r.lucchetti(a)univpm.it http://www.econ.univpm.it/lucchetti