Time Comparisons

All samplers run for 1024 iterations.

C++

X <- bench::mark(
    "Metropolis-Hastings" = {samplr::sampler_mh(1, "norm", c(0,1), sigma_prop=1)},
    "MC3" = {samplr::sampler_mc3(1, "norm", c(0,1), sigma_prop=1)},
    "Hamiltonian Monte-Carlo" = {samplr::sampler_hmc(1, "norm", c(0,1))},
    "REC" = {samplr::sampler_rec(1, "norm", c(0,1))},
    "MCHMC" = {samplr::sampler_mchmc(1, "norm", c(0,1), )},
    "MCREC" = {samplr::sampler_mcrec(1, "norm", c(0,1))},
    check = FALSE, iterations = 50
)
knitr::kable(as.data.frame(X[,c("expression", "min", "median")]))
expression min median
Metropolis-Hastings 1.09ms 1.13ms
MC3 10.34ms 11.02ms
Hamiltonian Monte-Carlo 8.7ms 9.92ms
REC 9.09ms 10.27ms
MCHMC 66.14ms 69.69ms
MCREC 66.48ms 69.54ms

MATLAB

tests timeit
Metropolis-Hastings 6.22ms
MC3 55.13ms