[Rcpp-devel] Differences between RcppEigen and RcppArmadillo
Julian Smith
hilbertspaces at gmail.com
Thu Jun 14 19:14:36 CEST 2012
That's useful to know about what svd_econ() exactly does. I will give that
a shot and report back.
Has anyone looked at integrating something like SLEPc, Anasazi(via
Trilinos) or ARPACK++ into rcpp? These would be some really cool tools to
have available.
http://www.grycap.upv.es/slepc/description/summary.htm
http://trilinos.sandia.gov/packages/anasazi/
http://www.ime.unicamp.br/~chico/arpack++/<http://www.ime.unicamp.br/%7Echico/arpack++/>
Someone actually wrote a wrapper for ARPACK++ for Eigen
https://github.com/beam2d/arpaca/blob/master/README.md
On Thu, Jun 14, 2012 at 9:04 AM, Conrad Sand <conradsand at gmail.com> wrote:
> On Jun 15, 2012 12:11 AM, "Dirk Eddelbuettel" <edd at debian.org> wrote:
> > Thanks for that earlier hint re 'thin' and 'full' SVDs.
>
> armadillo has the standard svd() and the thin version too: svd_econ().
>
> > Conrad, any interest in switching to dgesdd?
>
> yes, but probably not simply changing svd() directly to dgedd(). lapack
> gave the function a different name for a reason: the results may be
> slightly different. if armadillo starts giving different results all of a
> sudden, there would be a lot of displeased people. a big no no, given that
> armadillo is used for critical stuff.
>
> I'll probably add an option to svd() to optionally use dgedd().
>
> I've done something very similar for eig_sym() in armadillo 3.2, where an
> alternative faster algorithm for eigen decomposition can be optionally used.
>
> > Dirk, at useR and across the room from Doug
> >
> > | > On Wed, Jun 13, 2012 at 4:07 PM, Douglas Bates <bates at stat.wisc.edu>
> wrote:
> > | >>
> > | >> On Wed, Jun 13, 2012 at 5:16 PM, Dirk Eddelbuettel <edd at debian.org>
> wrote:
> > | >> >
> > | >> > On 13 June 2012 at 15:05, Julian Smith wrote:
> > | >> > | I agree that RcppEigen is a little bit faster, but ease of use
> is
> > | >> > important to
> > | >> > | me, so I feel like RcppArmadillo might win out in my
> application.
> > | >> >
> > | >> > Yup, that my personal view too.
> > | >> >
> > | >> > | | RcppArmadillo will use the very same LAPACK and BLAS libs
> your R
> > | >> > session
> > | >> > | | uses. So MKL, OpenBlas, ... are all options. Eigen actually
> has its
> > | >> > own
> > | >> > | code
> > | >> > | | outperforming LAPACK, so it doesn't as much there.
> > | >> > |
> > | >> > | Why do you think R outperforms RcppArmadillo in this example
> below?
> > | >> > Anyway to
> > | >> > | speed this up?
> > | >> >
> > | >> > That is odd. "I guess it shouldn't." I shall take another look --
> as I
> > | >> > understand it both should go to the same underlying Lapack
> routine. I
> > | >> > may
> > | >> > have to consult with Conrad on this.
> > | >> >
> > | >> > Thanks for posting a full and reproducible example!
> > | >> >
> > | >> > Dirk
> > | >> >
> > | >> > | require(RcppArmadillo)
> > | >> > | require(inline)
> > | >> > |
> > | >> > | arma.code <- '
> > | >> > | using namespace arma;
> > | >> > | NumericMatrix Xr(Xs);
> > | >> > | int n = Xr.nrow(), k = Xr.ncol();
> > | >> > | mat X(Xr.begin(), n, k, false);
> > | >> > | mat U;
> > | >> > | vec s;
> > | >> > | mat V;
> > | >> > | svd(U, s, V, X);
> > | >> > | return wrap(s);
> > | >> > | '
> > | >>
> > | >> Because the arma code is evaluating the singular vectors (U and V)
> as
> > | >> well as the singular values (S) whereas the R code is only
> evaluating
> > | >> the singular values. There is considerably more effort required to
> > | >> evaluate the singular vectors in addition to the singular values.
> > | >>
> > | >> > | rcppsvd <- cxxfunction(signature(Xs="numeric"),
> > | >> > | arma.code,
> > | >> > | plugin="RcppArmadillo")
> > | >> > |
> > | >> > | A<-matrix(rnorm(5000^2), 5000)
> > | >> > |
> > | >> > | > system.time(rcppsvd(A))
> > | >> > | user system elapsed
> > | >> > | 1992.406 4.862 1988.737
> > | >> > |
> > | >> > | > system.time(svd(A))
> > | >> > | user system elapsed
> > | >> > | 652.496 2.641 652.614
> > | >> > |
> > | >> > | On Wed, Jun 13, 2012 at 11:43 AM, Dirk Eddelbuettel <
> edd at debian.org>
> > | >> > wrote:
> > | >> > |
> > | >> > |
> > | >> > | On 13 June 2012 at 10:57, Julian Smith wrote:
> > | >> > | | I've been toying with both RcppArmadillo and RcppEigen
> the past
> > | >> > few days
> > | >> > | and
> > | >> > | | don't know which library to continue using. RcppEigen
> seems
> > | >> > really slick,
> > | >> > | but
> > | >> > | | appears to be lacking some of the decompositions I want
> and
> > | >> > isn't nearly
> > | >> > | as
> > | >> > | | fast to code. RcppArmadillo seems about as fast, easier
> to code
> > | >> > up etc.
> > | >> > | What
> > | >> > | | are some of the advantages/disadvantages of both?
> > | >> > |
> > | >> > | That's pretty close. I have been a fan of [Rcpp]Armadillo
> which I
> > | >> > find
> > | >> > | easier to get my head around. Doug, however, moved from
> > | >> > [Rcpp]Armadillo
> > | >> > | to
> > | >> > | [Rcpp]Eigen as it has some things he needs. Eigen should
> have a
> > | >> > "larger"
> > | >> > | API
> > | >> > | than Armadillo, but I find the code and docs harder to
> navigate.
> > | >> > |
> > | >> > | And you should find Eigen to be a little faster. Andreas
> Alfons
> > | >> > went as far
> > | >> > | as building 'robustHD' using RcppArmadillo with a drop-in
> for
> > | >> > RcppEigen (in
> > | >> > | package 'sparseLTSEigen'; both package names from memmory
> and I
> > | >> > may have
> > | >> > | mistyped). He reported a performance gain of around 25%
> for his
> > | >> > problem
> > | >> > | sets. On the 'fastLm' benchmark, we find the fast
> Eigen-based
> > | >> > | decompositions
> > | >> > | to be much faster than Armadillo.
> > | >> > |
> > | >> > | | Can you call LAPACK or BLAS from either? Is there a
> wrapper in
> > | >> > RcppEigen
> > | >> > | to
> > | >> > | | call LAPACK functions? Want some other decomposition
> methods,
> > | >> > dont like
> > | >> > | the
> > | >> > | | JacobiSVD method in Eigen.
> > | >> > |
> > | >> > | You need to differentiate between the Eigen and Armadillo
> docs
> > | >> > _for their
> > | >> > | libraries_ and what happens when you access the Rcpp*
> variant from
> > | >> > R.
> > | >> > |
> > | >> > | RcppArmadillo will use the very same LAPACK and BLAS libs
> your R
> > | >> > session
> > | >> > | uses. So MKL, OpenBlas, ... are all options. Eigen
> actually has
> > | >> > its own
> > | >> > | code
> > | >> > | outperforming LAPACK, so it doesn't as much there.
> > | >> > |
> > | >> > | Hope this helps, Dirk (at useR!)
> > | >> > |
> > | >> > | |
> > | >> > | |
> > | >> >
> ----------------------------------------------------------------------
> > | >> > | | _______________________________________________
> > | >> > | | Rcpp-devel mailing list
> > | >> > | | Rcpp-devel at lists.r-forge.r-project.org
> > | >> > | |
> > | >> >
> https://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/rcpp-devel
> > | >> > | --
> > | >> > | Dirk Eddelbuettel | edd at debian.org |
> http://dirk.eddelbuettel.com
> > | >> > |
> > | >> > |
> > | >> >
> > | >> > --
> > | >> > Dirk Eddelbuettel | edd at debian.org | http://dirk.eddelbuettel.com
> > | >> > _______________________________________________
> > | >> > Rcpp-devel mailing list
> > | >> > Rcpp-devel at lists.r-forge.r-project.org
> > | >> >
> https://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/rcpp-devel
> > | >
> > | >
> >
> > --
> > Dirk Eddelbuettel | edd at debian.org | http://dirk.eddelbuettel.com
>
-------------- next part --------------
An HTML attachment was scrubbed...
URL: <http://lists.r-forge.r-project.org/pipermail/rcpp-devel/attachments/20120614/1b32d111/attachment-0001.html>
More information about the Rcpp-devel
mailing list