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Optimize Cauchy sampling #493

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MaximoB
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@MaximoB MaximoB commented Jun 4, 2018

Adding an implementation to a very fast algorithm for calculating Cauchy random numbers.
My basic testing of plotting some histograms seems to indicate it is about as numerically stable as the current method we are using.
Not sure about how to do paper credits so I am looking for feedback about that too.

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vks commented Jun 5, 2018

Could you please provide some before/after benchmarks?

Not sure about how to do paper credits so I am looking for feedback about that too.

For consistency, I would just go with how it was done for the normal distribution.

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dhardy commented Jun 6, 2018

  1. How accurate is this?
  2. Yes, benchmarks please
  3. Also include the DOI please

@dhardy dhardy added the D-review Do: needs review label Jun 6, 2018
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MaximoB commented Jun 6, 2018

  1. The paper is not exactly clear on this, but from what I can tell the maximum error in their approximation of the quartile function looks like ±0.002
  2. Benchmarks against the current code (current code pulled this morning)
test distr_cauchy_current        ... bench:      28,211 ns/iter (+/- 15,429) = 283 MB/s
test distr_cauchy_new            ... bench:      11,631 ns/iter (+/- 8,514) = 687 MB/s
  1. DOI is: 10.1145/50087.50094. Are you saying you would like me to add it to the credit in the documentation?

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dhardy commented Jun 7, 2018

Yes, I found the article (but didn't manage to download it yet). But I think it's worth adding to the credits.

Sounds IMO like we should treat this in line with #494; keep the current implementation for now but consider adding this as a fast approximation under distributions::fast or something (still under discussion).

@dhardy dhardy added T-distributions C-optimisation P-postpone Waiting on something else and removed D-review Do: needs review labels Jun 7, 2018
@dhardy dhardy mentioned this pull request Sep 16, 2019
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dhardy commented Jan 29, 2024

@vks any suggestion on what we do with this?

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vks commented Jan 30, 2024

I would prefer to only maintain one implementation. Can we quantify whether the accuracy of the new implementation is better or worse?

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dhardy commented Jan 30, 2024

Agreed. Then we (or someone) needs to look into the accuracy.

@dhardy dhardy mentioned this pull request Jul 10, 2024
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@dhardy dhardy added X-stale Outdated or abandoned work B-value Breakage: changes output values and removed C-optimisation T-distributions labels Jul 10, 2024
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dhardy commented Jul 10, 2024

Closing (but referenced from a tracker).

Ideally we should implement #357 before revisiting this.

@dhardy dhardy closed this Jul 10, 2024
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