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

Whit Armstrong armstrong.whit at gmail.com
Thu May 3 16:33:18 CEST 2012

Thanks for that.  So, roughly 2x vs arma for lm fit.

It would not be hard to test it on my logp functions in cppbugs...

Perhaps after R/Fin. I'll post back once I get around to it.  Thanks again.


On Thu, May 3, 2012 at 8:43 AM, Dirk Eddelbuettel <edd at debian.org> wrote:
> 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
> --
> R/Finance 2012 Conference on May 11 and 12, 2012 at UIC in Chicago, IL
> See agenda, registration details and more at http://www.RinFinance.com

More information about the Rcpp-devel mailing list