RcppZiggurat 0.1.3: Faster Random Normal Draws

July 26, 2015
By

(This article was first published on Thinking inside the box , and kindly contributed to R-bloggers)

ziggurats

After a slight hiatus since the last release in early 2014, we are delighted to announce a new release of RcppZiggurat which is now on the CRAN network for R.

The RcppZiggurat package updates the code for the Ziggurat generator which provides very fast draws from a Normal distribution.

The package provides a simple C++ wrapper class for the generator improving on the very basic macros, and permits comparison among several existing Ziggurat implementations. This can be seen in the figure where Ziggurat from this package dominates accessing the implementations from the GSL, QuantLib and Gretl—all of which are still way faster than the default Normal generator in R (which is of course of higher code complexity).

This release contains a few internal cleanups relative to the last release. It was triggered by a very helpful email from Brian Ripley who notices compiler warnings on the Solaris platform due to my incorrect use of on integer variables.

The NEWS file entry below lists all changes.

Changes in version 0.1.3 (2015-07-25)

  • Use the SHR3 generator for the default implementation just like Leong et al do, making our default implementation identical to theirs (but 32- and 64-bit compatible)

  • Switched generators from float to double ensuring that results are identical on 32- and 64-bit platforms

  • Simplified builds with respect to GSL use via the RcppGSL package; added a seed setter for the GSL variant

  • Corrected use of fabs() to abs() on integer variables, with a grateful nod to Brian Ripley for the hint (based on CRAN checks on the beloved Slowlaris machines)

  • Accelerated Travis CI tests by relying exclusively on r-cran-* packages from the PPAs by Michael Rutter and myself

  • Updated DESCRIPTION and NAMESPACE according to current best practices, and R-devel CMD check --as-cran checks

Courtesy of CRANberries, there is also a diffstat report for the most recent release. More information is on the RcppZiggurat page.

This post by Dirk Eddelbuettel originated on his Thinking inside the box blog. Please report excessive re-aggregation in third-party for-profit settings.

To leave a comment for the author, please follow the link and comment on their blog: Thinking inside the box .

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