[Rcpp-devel] [R] fast rowCumsums wanted for calculating the cdf

[Douglas Bates]

Although I know there is another message in this thread I am replying
to this message to be able to include the whole discussion to this
point.

Gregor mentioned the possibility of extending the compiled code for
cumsum so that it would handle the matrix case.  The work by Dirk
Eddelbuettel and Romain Francois on developing the Rcpp package make
it surprisingly easy to create compiled code for this task.  I am
copying the Rcpp-devel list on this in case one of the readers of that
list has time to create a sample implementation before I can get to
it.  It's midterm season and I have to tackle the stack of blue books
on my desk before doing fun things like writing code.

On Fri, Oct 15, 2010 at 2:23 AM, Joshua Wiley <jwiley.psych at gmail.com> wrote:
> Hi,
>
> You might look at Reduce().  It seems faster.  I converted the matrix
> to a list in an incredibly sloppy way (which you should not emulate)
> because I cannot think of  the simple way.
>
>> probs <- t(matrix(rep(1:10000000), nrow=10)) # matrix with row-wise probabilites
>> F <- matrix(0, nrow=nrow(probs), ncol=ncol(probs));
>> F[,1] <- probs[,1,drop=TRUE];
>> add <- function(x) {Reduce(`+`, x, accumulate = TRUE)}
>>
>>
>> system.time(F.slow <- t(apply(probs, 1, cumsum)))
>   user  system elapsed
>  36.758   0.416  42.464
>>
>> system.time(for (cc in 2:ncol(F)) {
> +  F[,cc] <- F[,cc-1,drop=TRUE] + probs[,cc,drop=TRUE];
> + })
>   user  system elapsed
>  0.980   0.196   1.328
>>
>> system.time(add(list(probs[,1], probs[,2], probs[,3], probs[,4], probs[,5], probs[,6], probs[,7], probs[,8], probs[,9], probs[,10])))
>   user  system elapsed
>  0.420   0.072   0.539
>>
>
> .539 seconds for 10 vectors each with 1 million elements does not seem
> bad.  For 30000 each, on my system it took .014 seconds, which for
> 200,000 iterations, I estimated as:
>
>> (200000*.014)/60/60
> [1] 0.7777778
>
> (and this is on a stone age system with a single core processor and
> only 756MB of RAM)
>
> It should not be difficult to get the list back to a matrix.
>
> Cheers,
>
> Josh
>
>
>
> On Thu, Oct 14, 2010 at 11:51 PM, Gregor <mailinglist at gmx.at> wrote:
>> Dear all,
>>
>> Maybe the "easiest" solution: Is there anything that speaks against generalizing
>> cumsum from base to cope with matrices (as is done in matlab)? E.g.:
>>
>> "cumsum(Matrix, 1)"
>> equivalent to
>> "apply(Matrix, 1, cumsum)"
>>
>> The main advantage could be optimized code if the Matrix is extreme nonsquare
>> (e.g. 100,000x10), but the summation is done over the short side (in this case 10).
>> apply would practically yield a loop over 100,000 elements, and vectorization w.r.t.
>> the long side (loop over 10 elements) provides considerable efficiency gains.
>>
>> Many regards,
>> Gregor
>>
>>
>>
>>
>> On Tue, 12 Oct 2010 10:24:53 +0200
>> Gregor <mailinglist at gmx.at> wrote:
>>
>>> Dear all,
>>>
>>> I am struggling with a (currently) cost-intensive problem: calculating the
>>> (non-normalized) cumulative distribution function, given the (non-normalized)
>>> probabilities. something like:
>>>
>>> probs <- t(matrix(rep(1:100),nrow=10)) # matrix with row-wise probabilites
>>> F <- t(apply(probs, 1, cumsum)) #SLOOOW!
>>>
>>> One (already faster, but for sure not ideal) solution - thanks to Henrik Bengtsson:
>>>
>>> F <- matrix(0, nrow=nrow(probs), ncol=ncol(probs));
>>> F[,1] <- probs[,1,drop=TRUE];
>>> for (cc in 2:ncol(F)) {
>>>   F[,cc] <- F[,cc-1,drop=TRUE] + probs[,cc,drop=TRUE];
>>> }
>>>
>>> In my case, probs is a (30,000 x 10) matrix, and i need to iterate this step around
>>> 200,000 times, so speed is crucial. I currently can make sure to have no NAs, but
>>> in order to extend matrixStats, this could be a nontrivial issue.
>>>
>>> Any ideas for speeding up this - probably routine - task?
>>>
>>> Thanks in advance,
>>> Gregor
>>>
>>> ______________________________________________
>>> R-help at r-project.org mailing list
>>> https://stat.ethz.ch/mailman/listinfo/r-help
>>> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
>>> and provide commented, minimal, self-contained, reproducible code.
>>
>> ______________________________________________
>> R-help at r-project.org mailing list
>> https://stat.ethz.ch/mailman/listinfo/r-help
>> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
>> and provide commented, minimal, self-contained, reproducible code.
>>
>
>
>
> --
> Joshua Wiley
> Ph.D. Student, Health Psychology
> University of California, Los Angeles
> http://www.joshuawiley.com/
>
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>