[Rcpp-devel] [rcpp-devel] Rcpp Gallery Example fastLm vs Rnative lm

Smith, Dale Dale.Smith at Fiserv.com
Thu Mar 21 18:46:40 CET 2013

At this point, I'm not interested in blazing speed, but in getting to know Armadillo itself.

Based on the thread


I'm not completely convinced that Eigen is faster than Armadillo on all problems. I did find some additional benchmarks, which are not perfect, but do lead me to the same conclusion.


Some of you may find this document useful.


Dale Smith, Ph.D.
Senior Financial Quantitative Analyst
Risk & Compliance
Office: 678-375-5315

-----Original Message-----
From: Dirk Eddelbuettel [mailto:edd at debian.org] 
Sent: Thursday, March 21, 2013 12:52 PM
To: Hadley Wickham
Cc: Smith, Dale; rcpp-devel at lists.r-forge.r-project.org
Subject: Re: [Rcpp-devel] [rcpp-devel] Rcpp Gallery Example fastLm vs Rnative lm

On 21 March 2013 at 10:55, Hadley Wickham wrote:
| > Should I expect the results to match? Why do fastLmProto and fastLm 
| > produce a single fitted parameter (I would expect two)? Why are they 
| > different? Am I doing something wrong here, or just being naïve in my assumptions?
| Hint:
| > coef(lm(y1 ~ x1 - 1, data = anscombe))
|        x1
| 0.7968032

Also the Gallery article may not be the most exhaustive reference -- are you aware that the packages




all carry fastLm implementations with and with formula interface?  Some of these also have timing benchmark examples.

Another hint:  If you care about speed, do NOT use the formula interface.

I have factored out the Arma version (from RcppArmadillo/src/fastLm.cpp and the related R file) a few times.

Hope this help,  Dirk

Dirk Eddelbuettel | edd at debian.org | http://dirk.eddelbuettel.com  

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