[Octave-bug-tracker] [bug #44130] [octave forge] (statistics) mvncdf algorithm needs performance and accuracy improvement

[Nicholas Jankowski]

Update of bug #44130 (project octave):

                Severity:              3 - Normal => 1 - Wish               
                  Status:                    None => Confirmed              
        Operating System:               GNU/Linux => Any                    
                 Summary: [octave forge] (statistics) mvncdf outputs different
results for same input parameters => [octave forge] (statistics) mvncdf
algorithm needs performance and accuracy improvement

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Follow-up Comment #2:

The differences are confirmed, but so is the explanation. The current
implementation of mvncdf uses a method with inherent variability in output
within the tolerances allowed.  It is already extremely slower than the matlab
equivalent (the comment #0 test code takes ~5000x longer in octave, i tried
the multidimensional matlab example that matlab solved in a millisecond and
thought octave had crashed), and even if tightening the tolerances would
provide acceptable convergent levels of discrepancy, the performance penalty
would likely be extreme.

Noting that octave has adaptive quadrature integration routines available, the
best think is probably to rework this function for performance improvement. 
Retitling and dropping severity, but leaving it open. 



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