Re: [Boost-users] [math] gamma distribution's quantile performance

Subject: Re: [Boost-users] [math] gamma distribution's quantile performance
From: Mike Marchywka (marchywka_at_[hidden])
Date: 2009-09-05 08:13:17

----------------------------------------
> From: john_at_[hidden]
> To: boost-users_at_[hidden]
> Date: Sat, 5 Sep 2009 11:11:51 +0100
> Subject: Re: [Boost-users] [math] gamma distribution's quantile performance
>
>> Hi there, I have created a test which times the performance of
>> boost::math::quantile( ... ) when using a gamma distribution. I ran it
>> against source code we use here at work, for ages. It can be found
>> here:
>>
>> http://people.sc.fsu.edu/~burkardt/cpp_src/dcdflib/dcdflib.html
>>
>> The old source code is about 2x times faster than the boost version.
>>
>> MS Visual Studio 2005:
>> boost: 35.4sec
>> att_bell:19sec
>>
>> Intel 11.1:
>> boost: 21.4sec
>> att_bell: 11.2sec
>>
>> Question is if there is a way to incorporate such a function into
>> boost::math? As far, as I can tell the results are almost identical.
>
> I'll need to investigate this some more and perhaps incorporate testing
> dcdflib into my own test suite - however:
>
> * I notice we're actually using the same algorithm internally, I'll need to
> investigate the dcdflib code in more detail to figure out why it's faster,
> but I suspect it may be down to what the chosen accuracy is.

Forgive the simple question but what compiler options did you use? My concern with OO code is that it
always relies on compilers to "fix" things and it is possible that
debug builds of C code will be much faster than those of OO code.
In particular, simple things like inlining in inner loops etc.
Fully optimized this is no problem but otherwise could be a big deal.

> * The Boost version is known to be robust and tested over a very wide range
> of inputs, it produces accurate results even when the result is very small
> or close to 1.
> * The Boost version is ~twice as fast as the R lib version.
>
> Of course #2 and #3 above may be of little consolation to you :-(
>
> I'm going to be offline shortly for at least a couple of weeks (we have
> builders coming in), but I'll try and get back to you on this then -
> actually it might help if you file a bug report on the Trac at svn.boost.org
> so I can't forget :-)
>
> Cheers, John.
>
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