mir.random - my GSoC project

[Seb via Digitalmars-d]

Hi all,

I am very proud to be selected as a GSoC stipend for the D 
foundation.

Most of you already know me from github (@wilzbach) and IRC 
(greenify).

In my GSoC project I will contribute to Dlang’s upcoming 
numerical library mir [1]. You probably heard about mir from the 
new ndslice [2] package in Phobos. It's also the development & 
testing spot for future math additions to Phobos. Ilya is working 
very hard to get more functionality to mir and he will also be my 
mentor for the mir.random package.

[1] https://github.com/DlangScience/mir
[2] http://dlang.org/phobos/std_experimental_ndslice.html

mir.random
----------

This project is about adding non-uniform random generators to mir 
and hopefully eventually to Phobos.

While it is intended to be similar in terms of functionality to 
C++’s <random> [3] and NumPy’s random [4], our main focus is it's 
performance. Hence I will do a lot of literature research. A 
simple example of achieving better performance is the normal 
distribution. In most implementations I looked at (<random> [5], 
NumPy [6]) the Box-Muller transform [7] is used, however there 
exists a newer, faster approach: the Ziggurat method [8, 9] which 
is about three to four times faster [9].

Moreover I plan to add a universal random generator to allow easy 
creation of arbitrary random distributions. It could be something 
like the Tinflex algorithm [10], but I still have to do more 
literature research on this topic.

[3] <random> http://en.cppreference.com/w/cpp/numeric/random
[4] numpy.random 
http://docs.scipy.org/doc/numpy/reference/routines.random.html
[5] normal in <random> 
https://github.com/llvm-mirror/libcxx/blob/master/include/random#L4312
[6] normal in NumPy 
https://github.com/numpy/numpy/blob/master/numpy/random/mtrand/distributions.c#L106 https://github.com/numpy/numpy/blob/master/numpy/random/mtrand/randomkit.c#L610
[7] Box-Muller transform 
https://en.m.wikipedia.org/wiki/Box%E2%80%93Muller_transform
[8] The Ziggurat Method for Generating Random Variables 
http://www.jstatsoft.org/v05/i08/paper
[9] An Improved Ziggurat Method to Generate Normal Random Samples 
http://www.doornik.com/research/ziggurat.pdf
[10] Tinflex 
https://cran.r-project.org/web/packages/Tinflex/Tinflex.pdf

Stay in touch
------------------

We will occasionally post updates to this newsgroup, but you can 
also follow us on Twitter (@libmir) [11] for more updates and for 
more general news @DlangScience [12] is tweeting too! Of course 
you can also directly watch us on Github [13]. For discussions 
and questions, you are cordially invited to our Gitter chat room 
[14].

During the GSoC I will also regularly post articles to my blog 
[15] - it offers email, rss and atom subscription.
Shortly before the GSoC starts, I will post the final time 
schedule here for tracking.

As mentioned mir is quite young, so contributions are very 
welcome.

Cheers,

Seb

PS: I will also be at dconf in Berlin, so maybe we can have a 
chat there :)

[11] https://twitter.com/libmir
[12] https://twitter.com/dlangscience
[13] https://github.com/libmir/mir
[14] https://gitter.im/libmir/public
[15] https://seb.wilzba.ch