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 1.44ms 1.46ms
MC3 13.24ms 13.59ms
Hamiltonian Monte-Carlo 10.61ms 10.73ms
REC 10.86ms 11.02ms
MCHMC 73.42ms 74.02ms
MCREC 73.11ms 73.68ms

MATLAB

tests timeit
Metropolis-Hastings 6.22ms
MC3 55.13ms