[Rcpp-devel] Input on code design implementing a MCMC algorithm in R and improving performance with RcppArmadillo

[Jeff Newmiller]

Translating reference-based OOP designs from other languages into R seems like a bad idea, and on the surface looks like re-inventing the wheel. Are you sure this couldn't be done with one of the existing packages for doing MCMC?

On April 10, 2020 2:21:13 AM PDT, eva lehner <eva-valerie at gmx.at> wrote:
>Hi Dirk, 
>Below is my question in text format since there were troubles with the
>html formating. 
>
>I want to „translate“ a MCMC algorithm written in matlab to R to
>eventually release it in a package. In the matlab version model input,
>state of the chain and chain output is stored in structs. Updating
>different parameters of the underlying model is performed with
>different functions. I already have a very raw R version where these
>structs are implemented as S4 classes and updates are performed with
>generic functions taking both classes as input. I would like to
>increase performance with RcppArmadillo. However, I struggle to choose
>a good approach since I am not very experienced in any of the above
>subjects and have difficulties putting together the different concepts.
>It would be very helpful if you could give me your thoughts on what I
>think my main options are, tell me in case I misunderstood some
>concepts or point me into a better direction.
> 
>Option 1: mainly R
>Keeping R S4 classes (or rewrite them as Reference Classes since I
>think they would have been a better choice for defining a class storing
>states of a model) and the algorithm written in R and write updating
>functions in RcppArmadillo. These functions can be exposed to R with
>Rcpp modules or attributes.
>+ possibly the easiest version since I only have to rewrite the
>functions in Rcpp
>- Still a lot of R which could come with performance costs
> 
>Option2: mainly Rcpp
>Define one Cpp class which stores input and updated parameters as
>member variables and the updating functions as member functions. Then I
>could write the main MCMC algorithm as a separate function that creates
>an instance of this class, calls the updating functions and returns a
>list containing the output. I could only expose this main algorithm
>(with Rcpp modules or attributes) to R and avoid exposing the internal
>classes. (Currently I don’t think exposure of the classes is necessary
>and seems more difficult than exposing functions).The part involving
>the class is taken from the Kalman filter example (RcppArmadillo-intro
>vignette) and I imagine the structure of the algorithm function and
>returned list similar to the gallery entry on the EM Algorithm for
>Probit Regressions
>(https://gallery.rcpp.org/articles/EM-algorithm-example/#attempt-1[https://deref-gmx.net/mail/client/Q6JdcN6Rp84/dereferrer/?redirectUrl=https%3A%2F%2Fgallery.rcpp.org%2Farticles%2FEM-algorithm-example%2F%23attempt-1]).
>+ probably faster
>+ possibly cleaner
>- more difficult and I have very little Cpp experience (especially with
>classes)
> 
>Personally, I aim for a compromise between performance, implementation
>difficulty and the best approach since this is for my master’s thesis
>and I also have to consider the deadline. I think this compromise would
>be to stay with the main R version but rewrite the S4 classes as
>Reference Class.
>I'm looking forward to hearing your feedback, thoughts and experiences,
>Eva
>
> 
>
>Gesendet: Donnerstag, 09. April 2020 um 14:51 Uhr
>Von: "Dirk Eddelbuettel" <edd at debian.org>
>An: "eva lehner" <eva-valerie at gmx.at>
>Cc: rcpp-devel at lists.r-forge.r-project.org
>Betreff: Re: [Rcpp-devel] Input on code design implementing a MCMC
>algorithm in R and improving performance with RcppArmadillo
>Hi Eva,
>
>My email client doesn't display you html email, possibly a fault at my
>end.
>But text-only email is still a default in most places. Can you maybe
>resend
>text-only please? Thanks!
>
>Cheers, Dirk
>
>--
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>@eddelbuettel | edd at debian.org
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-- 
Sent from my phone. Please excuse my brevity.