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2015 Mar 24
0
Faster version of rgeom()
...)) and (-log U)/lambda
for U ~ U[0,1]). I thought I could easily beat the (more complicated)
algorithms that R uses for these two distributions. Even Ahrens and
Dieter (1972) (the paper describing the algorithm rexp() uses; see
below) report that the inversion method for sampling Exp(lambda) is
not beatable).
With a student, I put together a small package (attached) comparing
some run times in
the form of a demo (original version R uses vs the above stochastic
representations in both pure R implementations and pure C
implementations). Here are the results (simple screenshots from the
demo attached):...