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:
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?
Feasible steps: