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Optimize NORTA setup #12

@matherealize

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@matherealize

The NORTA method implemented via simdesign_norta() requires a one time setup to compute the initial correlations for the normal distributions which are then transformed to the final marginals. This setup requires naively p(p-1) univariate optimization problems (where p is the number of desired variables), resulting in a quadratic scaling behaviour.

Can this be optimized?

  • by e.g. re-using simulated normal data
  • by re-using results for same marginal structures
  • by optimizing the solver?

Feasible steps:

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