R rexp()

Following a question on X validated about the reasons for coding rexp() following Ahrens & Dieter (1972) version, I re-read Luc Devroye’s explanations. Which boils down to an optimised implementation of von Neumann’s Exponential generator. The central result is that, for any μ>0, M a Geometric variate with failure probability exp(-μ) and Z a positive Poisson variate with parameter μ

$latex \mu(M+\min(U_1,…,U_Z))$

is distributed as an Exp(1) random variate. Meaning that for every scale μ, the integer part and the fractional part of an Exponential variate are independent, the former a Geometric. A refinement of the above consists in choosing

exp(-μ) =½

as the generation of M then consists in counting the number of 0’s before the first 1 in the binary expansion of U∼U(0,1). Actually the loop used in Ahrens & Dieter (1972) seems to be much less efficient than counting these 0’s

> benchmark("a"={u=runif(1)
    while(u<.5){
     u=2*u
     F=F+log(2)}},
  "b"={v=as.integer(rev(intToBits(2^31*runif(1))))
     sum(cumprod(!v))},
  "c"={sum(cumprod(sample(c(0,1),32,rep=T)))},
  "g"={rgeom(1,prob=.5)},replications=1e4)
  test elapsed relative user.self 
1    a  32.92  557.966    32.885
2    b  0.123    2.085     0.122
3    c  0.113    1.915     0.106
4    g  0.059    1.000     0.058

Obviously, trying to code the change directly in R resulted in much worse performances than the resident rexp(), coded in C.