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. * 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.