[Rcpp-devel] Eigen vs Arma -- was: Re: Ceres nonlinear least squares solver

[Dirk Eddelbuettel]

On 3 May 2012 at 08:20, Whit Armstrong wrote:
| Doug,
| 
| Apologies for my question, it's a little off topic from your original
| post (hence the modified subject).
| 
| I've integrated Armadillo into the new mcmc packages I've been
| developing without giving much thought to Eigen.
| 
| Unfortunately, the benchmarks page on the Armadillo site doesn't
| provide an Eigen benchmark: http://arma.sourceforge.net/speed.html
| 
| Likewise, for the Eigen benchmark page:
| http://eigen.tuxfamily.org/index.php?title=Benchmark
| 
| In your experience, do you find it to be faster than Armadillo?  Have
| you done any benchmarking? If so, can you share the results (or the
| code)?

I have two data points for you:

 a) Section 4.7 of the RcppEigen vignette has a fairly extensive timing
    comparison which includes a table:
    http://cran.r-project.org/web/packages/RcppEigen/vignettes/RcppEigen-intro-nojss.pdf    That code is in the package.

 b) The CRAN package robustHD implements robust high-dimensional data methods
    using RcppArmadillo; Andreas Alfons also chose to provide an RcppEigen based
    'drop-in' that can be used where Eigen works and as I recall he stated
    issues on OS X.  Andreas sent me some comparisons which generally showed
    another slight pick-up from Eigen comparable to what a) shows.  Andreas
    also posted here, though no real benchmarks.
 
Hope this helps,  Dirk

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