Re: [Gretl-users] random number generation
On Tue, 15 Nov 2016, Sven Schreiber wrote:
Am 15.11.2016 um 18:16 schrieb Allin Cottrell:
> Hello all,
>
> Some news and a warning.
>
> For some time now we've been using the Marsaglia-Tsang "Ziggurat"
> algorithm for generating (pseudo-)random normal variates. Recently, Jack
> noticed that we were considerably slower than Octave at doing this, so
> we compared the respective codes.
>
> It turned out that the Octave Ziggurat code (written by David Bateman)
> was indeed better than what we had: not only faster, but also gives
> denser coverage of the real line. We checked it using l'Ecuyer's "Big
> Crush" suite and it passed with flying colors. Therefore in current git
> we have switched to Bateman's implementation.
Thanks -- could you perhaps also comment on the comparison in this (not brand
new) talk by Dirk Eddelbüttel:
http://dirk.eddelbuettel.com/papers/useR2014_rcppziggurat.pdf
Check out slide number 11 (or 13, depending on the counting), where
"ZiggGretl" appears.
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.
As regards gretl vs Octave, we're now a little faster (using
basically the same normals code, but gretl's generation of the
underlying uniform variates is faster).
Maybe Dirk is using a "souped up" alternative to R's standard
rnorm(). That wasn't clear to me.
Allin