[Rcpp-devel] Eigen vs Arma -- was: Re: Ceres nonlinear least squares solver
edd at debian.org
Thu May 3 18:31:25 CEST 2012
On 3 May 2012 at 10:33, Whit Armstrong wrote:
| Thanks for that. So, roughly 2x vs arma for lm fit.
I do not think you will get '2x'. I'd say between 1/5 to 1/3.
Not neglible, but not earth-shattering given that
a) Armadillo is easier to work with (IMHO, and personal taste) and
b) you'd loose OS X as a platform on CRAN (as per Alfons example and why he
added sparseLTSEigen as a plugin for robustHD) and (AFAICT) why Doug
can't move forward with the Eigen-based lme4 rewrite.
| 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
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
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