Re: [Gretl-users] random number generation
Am 16.11.2016 um 01:03 schrieb Allin Cottrell:
I don't have much to say about that reference since I'm not sure from
looking at Dirk's slides how the timings were obtained. That said, I can
say that my timings for 200 replications of (1 million random normals)
show R's rnorm() function -- from the current R release -- as taking
about 5 times as long as gretl and Octave. Not in the ballpark.
That would seem to be compatible with the comparison of R's "BM" on a
previous slide with gretl's Ziggurat, roughly 350ms vs. 70ms. (I think
Box-Muller is the default on R, at least in the past.)
Maybe Dirk is using a "souped up" alternative to R's standard rnorm().
That wasn't clear to me.
My impression is that it's an additional package ("RcppZiggurat"?),
which then perhaps provides this function zrnorm() on slide 22.
The difference between "Zigg" and "ZiggGretl" on hte slide 13 is about
20ms vs. 70ms. When you wrote "considerably slower than Octave", what
was the factor you had found?
thanks,
sven