Re: [Boost-users] Random library, discrete distribution

Subject: Re: [Boost-users] Random library, discrete distribution
From: er (erwann.rogard_at_[hidden])
Date: 2009-08-17 22:29:07

Kevin Martin wrote:
>> I think you should rename it categorical distribution though as it 

Thanks, done so.

>> only samples a single trial from the distribution. I believe the 
> 
> It's called discrete_distribution in the new standard.
> Also, the alias algorithm is more efficient.  See attached.
> (Note that I haven't tried to make this implementation
> numerically bulletproof.)
> 

discrete does not sort the weights, so this step has to be carried out 
beforehand to get a comparable basis. I've added a small test file to 
compare categorical and discrete, where discrete is 10x faster than 
categorical at initialization and is equally fast at sampling.

However, the weights that I work with usually come like this:
w <- exp(lw+offset), where offset satisties sum{w}<inf, which depends on 
the ordering of w (machine precision). So sorting has to be carried out 
first, before finding offset...