
Boost : 
From: Topher Cooper (topher_at_[hidden])
Date: 20071227 11:03:39
At 02:26 PM 12/26/2007, I wrote:
>I was implying (when I should have been saying) that at some point
>the error of generating a *normal* random variant with a mean and
>standard deviate of lambda instead of a "for real" Poisson becomes
>too small to have any practical significance. If large lambdas are
>causing problems then one solution is to see if this is only
>occurring sufficiently far into that regime then it might make sense
>to just generate a normal instead. Scaling and shifting by 750 is
>not likely to cause much rounding errors for a standard normal
>deviate, but many direct algorithms for that extreme a value are
>likely to run into numerical problems.
>
>Topher
I checked this out. The difference between the two curves
(Poisson[750] and Normal[750, Sqrt(750)]) is very small  when
plotted, almost indistinguishable to the eye. In total, the absolute
difference between the two is about 1%. The largest single error was
that using the normal generator would result in 729 being generated
with a probability of 0.01086
instead of 0.01098. While that is unlikely to have much effect on
most applications, it is possible that a large simulation that is
very sensitive to the precise probabilities might be thrown off, so I
withdraw this suggestion.
Topher
Boost list run by bdawes at acm.org, gregod at cs.rpi.edu, cpdaniel at pacbell.net, john at johnmaddock.co.uk