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

[Dirk Eddelbuettel]

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.

YMMV.

Dirk
 
| 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.
| 
| Cheers,
| Whit
| 
| 
| 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