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 1.57ms 1.63ms
MC3 13.76ms 14.38ms
Hamiltonian Monte-Carlo 11.5ms 11.98ms
REC 11.84ms 12.19ms
MCHMC 79.02ms 79.68ms
MCREC 78.22ms 78.95ms

MATLAB

tests timeit
Metropolis-Hastings 6.22ms
MC3 55.13ms