On Dec 19, 2:49 pm, sturlamolden <sturlamol...@yahoo.no> wrote: > On 19 Des, 11:05, Carl Johan Rehn <car...@gmail.com> wrote: > > > I plan to port a Monte Carlo engine from Matlab to Python. However, > > when I timed randn(N1, N2) in Python and compared it with Matlab's > > randn, Matlab came out as a clear winner with a speedup of 3-4 times. > > This was truly disappointing. I ran tthis test on a Win32 machine and > > without the Atlas library. > > This is due to the algorithm. Matlab is using Marsaglia's ziggurat > method. Is is the fastest there is for normal and gamma random > variates. NumPy uses the Mersenne Twister to produce uniform random > deviates, and then applies trancendental functions to transform to the > normal distribution. Marsaglia's C code for ziggurat is freely > available, so you can compile it yourself and call from ctypes, Cython > or f2py. > > The PRNG does not use BLAS/ATLAS.
Thank you, this was very informative. I know about the Mersenne Twister, but had no idea about Marsaglia's ziggurat method. I will definitely try f2py or cython. Well, I guess I knew that random numbers were not handled by BLAS/ ATLAS, but wasn't 100% sure. Carl -- http://mail.python.org/mailman/listinfo/python-list
