Re: [Gretl-devel] simulation speed
On Tue, 22 Dec 2009, Riccardo (Jack) Lucchetti wrote:
On Tue, 22 Dec 2009, Berend Hasselman wrote:
>
> On 22-12-2009, at 15:50, Sven Schreiber wrote:
>
>> Hi,
>> yet another useless benchmarking exercise: ...
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.
Yes, Jack is right on this. I have "borrowed" the code Jochen
Voss wrote for gsl to implement the ziggurat method for generating
random normal values. Here's what I'm seeing after making this
change:
loop vectorized
octave 2.59 0.53
gretl 0.87 0.39
ox 0.85 0.56
I've also downloaded the L'Ecuyer/Simard test suite, TestU01, and
once I've figured out how to use it I'll check that this method is
producing good values.
Allin.