[Rcpp-devel] RcppArmadillo: Building with Inline

[Savitsky, Terrance]

Hello,  I take the same fastLm code implemented in fastLmPure in
RcppArmadillo, but built and execute through inline.  There is an
overhead of a little over 4 seconds to execute a single iteration.  By
overhead, I mean that as I increase the row size of X, the marginal
increase in runtime seems roughly comparable to the fastLmPure
implementation in RcppArmadillo (as executed on my machine) so that the
4 seconds seems like a fixed add.  Then I write this post to make sure
that the overhead is driven by 'plugin = RcppArmadillo' in cxxfunction
(and not something I'm doing incorrectly).  I'm in process of testing my
Windows XP hardware/software set-up before committing the work to code
with RcppArmadillo.  The code and cxxfunction use are shown, below:

lmArma = function()
{
src <- '
	Rcpp::NumericVector yr(ys);			// creates Rcpp
vector from SEXP
	Rcpp::NumericMatrix Xr(Xs);			// creates Rcpp
matrix from SEXP
	int n = Xr.nrow(), k = Xr.ncol();

	arma::mat X(Xr.begin(), n, k, false);   	// reuses memory
and avoids extra copy
	arma::colvec y(yr.begin(), yr.size(), false);

	arma::colvec coef = arma::solve(X, y);      	// fit model y ~
X
	arma::colvec res = y - X*coef;			// residuals

	double s2 = std::inner_product(res.begin(), res.end(),
res.begin(), double())/(n - k);
							// std.errors of
coefficients
	arma::colvec std_err = arma::sqrt(s2 * arma::diagvec(
arma::inv(arma::trans(X)*X) ));

	return Rcpp::List::create(Rcpp::Named("coefficients") = coef,
				  Rcpp::Named("stderr")       = std_err,
				  Rcpp::Named("df")           = n - k
				  );
'

fun <- cxxfunction(signature(ys="numeric", Xs="numeric"), src,
plugin="RcppArmadillo")
}

checkLmArma = function(y,X)
{
  fun = lmArma()
  res = fun(y,X)
  return(res)
}

set.seed(42)
n <- 10000
k <- 9
X <- cbind( rep(1,n), matrix(rnorm(n*k), ncol=k) )
truecoef <- 1:(k+1)
y <- as.numeric(X %*% truecoef + rnorm(n))
# N <- 100

tic()
ff = checkLmArma(y,X)
toc()

tic()
gg = lm(y ~ X - 1)
toc()

Thanks, Terrance Savitsky

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