Speeding up R code using Rcpp and foreach packages. · Speeding up R code using Rcpp and foreach...

Speeding up R. foreach package. Rcpp package. Exercises.

Speeding up R code using Rcpp and

foreach packages.

Pedro Albuquerque

Universidade de Brasília

February, 8th 2017

Pedro Albuquerque pedroa@unb.br Universidade de Brasília

Speeding up R code using Rcpp and foreach packages. 1

1 Speeding up R.

2 foreach package.

Bootstrap.

3 Rcpp package.

isPrime function.

4 Exercises.

R is a good choice as open source and free software.

But R has some disadvantages:

• Limited memory for big datasets.

• Inefficient standard loops.

There are some solutions for both disadvantages, especially to

speed up:

• Using apply family functions and vectorized operations.

• Using parallel processing.

• Using C++ (Rcpp package).

speed up:

foreach package.

Suppose we are interested in estimate a variance of a

complicated function of parameters, for example, the coefficient

of variation:

θ =µ

where µ and σ are the population mean and standard

deviation.

We can estimate the variance of θ using, for example, the

bootstrap estimator.

foreach package.

of variation:

θ =µ

deviation.

foreach package.

of variation:

θ =µ

deviation.

Bootstrap.

Aplication.

1 # Set the seed

2 s e t . seed ( 1 )

3 #Generate fake data

4 data <− rnorm ( n=10000 , mean=10 , sd =10)

5 # T rue c o e f f i c i e n t of v a r i a t i o n

6 CV. t r u e <− 10 / 10

7 # Es t imated c o e f f i c i e n t of v a r i a t i o n

8 CV. hat <− mean( data ) / sd ( data )

Algorithm 1: Generating fake data.

The estimate is θ̂ ≈ 0.9813.

Bootstrap.

Aplication.

1 #Create the boot s t rap vector

2 r e s u l t <− rep (NA, 100000)

3 # S t a r t the c lock

4 ptm <− proc . t ime ( )

5 f o r (b i n 1 :100000) {

6 #Generate the random sample w i th replacement

7 i d s <− sample ( x= length ( data ) , s i z e = length ( data ) , replace

8 sample <− data [ i d s ]

9 # Calcu late the CV

10 r e s u l t [ b ] <− mean( sample ) / sd ( sample )

12 #Stop the clock − Time elapsed 2 0 . 4 0 .

13 proc . t ime ( ) − ptm

Algorithm 2: Time elapsed 20.40.Pedro Albuquerque pedroa@unb.br Universidade de Brasília

Bootstrap.

Aplication.

1 l i b r a r y ( foreach )

2 l i b r a r y ( d o P a r a l l e l )

3 #See how many cores we have

4 nc l<−detectCores ( )

5 # R e g i s t e r the cores

6 c l <− makeCluster ( nc l )

7 r e g i s t e r D o P a r a l l e l ( c l )

Algorithm 3: Using foreach package.

Bootstrap.

Aplication.

1 # S t a r t the c lock

2 ptm <− proc . t ime ( )

3 #Create the boot s t rap vector

4 r e s u l t <− rep (NA, 100000)

5 # Boot s t rap us i ng foreach

6 r e s u l t <− foreach (b=1:100000 , . combine=c ) %dopar% {

7 #Generate the random sample w i th replacement

8 i d s <− sample ( x= length ( data ) , s i z e = length ( data ) , replace=T )

9 sample <− data [ i d s ]

10 # Calcu late the CV

11 mean( sample ) / sd ( sample )

13 #Stop the clock − Time elapsed 5 . 3 2 .

14 proc . t ime ( ) − ptm

15 # Release the cores

16 s t o p C l u s t e r ( c l )

Algorithm 4: Time elapsed 5.32.

Rcpp package.

Another solution is to use the Rcpp package:

Rcpp package.

We need to compile the functions before use in R:

isPrime function.

Suppose we are interested in find if a number is prime or not.

1 #Create the i s P r i m e f u n c t i o n

2 i s P r i m e <− f u n c t i o n (num) {

3 prime <− TRUE

4 den <− num −1

5 wh i l e ( pr ime==TRUE & den >1) {

6 #Remainder of the d i v i s i o n

7 i f (num%%den==0) {

8 prime <− FALSE

10 #Decrease the number

11 den <− ( den − 1)

13 r e t u r n ( pr ime )

15 #Example i s P r i m e ( 12 )

Algorithm 5: isPrime function.

isPrime function.

Using the same idea with the Rcpp:

1 # inc lude <Rcpp . h>

2 u s i ng namespace Rcpp ;

3 / / [ [ Rcpp : : expor t ] ]

4 bool i sPr imeCpp ( i n t num) {

5 bool pr ime = t r u e ;

6 i n t den = num −1;

7 wh i l e ( pr ime== t r u e & den >1) {

8 / / T e s t i f i s d iv ided

9 i f (num % den== 0) {

10 prime = f a l s e ;

12 / / Decrease the number

13 den = ( den − 1) ;

15 r e t u r n ( pr ime ) ;

isPrime function.

You can save your functions in a cpp file and invoke using:

1 #Rcpp l i b r a r y

2 l i b r a r y ( Rcpp )

3 # Ca l l the f u n c t i o n s

4 sourceCpp ( " MyF i l e . cpp " )

5 #Example

6 i sP r imeCpp ( 1 2 )

Algorithm 6: isPrime function.

• Create a Rcpp function to calculate the sample mean of a

vector.

• Create a Rcpp function to calculate the k Fibonacci

numbers.

• Use foreach and the bootstrap technique to estimate an

arbitrary parameter function: g(θ) =√θ/2.

Speeding up R code using Rcpp and foreach packages. · Speeding up R code using Rcpp and foreach...

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