I suppose that is true. But the problem does not occur in smaller examples. It only occurs when working with very large matrices. That's the whole point. And to be fair, I did warn the members of the list that this is a memory-intensive example.
On Oct 15, 2013, at 1:26 PM, Roger Koenker <[email protected]> wrote: > You would be much more likely to get a response to this if you had a > _smaller_ reproducible example. > > url: www.econ.uiuc.edu/~roger Roger Koenker > email [email protected] Department of Economics > vox: 217-333-4558 University of Illinois > fax: 217-244-6678 Urbana, IL 61801 > > On Oct 15, 2013, at 11:36 AM, Braun, Michael wrote: > >> I've come across some interesting behavior using the Matrix package, and I >> cannot seem to explain it. I have sent this issue to the Matrix >> maintainers, and Martin Maechler was unable to replicate it on his Linux >> system. Since it might be something Mac-specific, he suggested that I post >> here. The complete code is pasted at the bottom of this email, along with >> my sessionInfo() output. >> >> The function f takes 3 parameters: p, k and N. First, it creates A, a >> lower triangle of a sparse block diagonal matrix with p blocks, and each >> block being k x k. I then let S = AA', and have L be the lower Cholesky >> decomposition of L. (I use Cholesky instead of chol because, for my "real" >> application, because I need the permutation matrix also). I then multiply L >> by a matrix z, where each column in z is a standard MVN sample. >> >> None of the elements should be zero. However, if z becomes very large, I >> get lots of zero entries. >> >> Additionally, you will see that when I try to coerce a large identity matrix >> to a dtCMatrix, some of the ones are lost. >> >> A word of warning: this script does consume a lot of RAM, and it will take >> several minutes to run. But it would be helpful if someone with a Mac Pro >> with 32GB of RAM could try to replicate the problem. >> >> Thanks in advance for your help. >> >> Michael >> >> >> library(Matrix) >> >> f <- function(p,k,N) { >> A <- tril(kronecker(Diagonal(p),Matrix(1:(k^2),k,k))) >> S <- tcrossprod(A) >> CH <- Cholesky(S) >> L <- expand(CH)$L >> z <- rnorm(N*k*p) >> dim(z) <- c(p*k,N) >> y <- L %*% z >> return(sum(y==0)) >> } >> >> system.time(small <- f(p= 100, k=3, N= 200) ) >> system.time(medium <- f(p= 200, k=3, N= 5000) ) >> >> print(small ) ## 0 >> print(medium) ## 0 >> >> print( system.time(large.p <- f(p=50000, k=3, N= 5000) )) >> print( system.time(large.N <- f(p=10000, k=3, N=20000) )) >> >> print(large.p) ## I get 536870912, but it should be 0 >> print(large.N) ## I get 536870912, but it should be 0 >> >> system.time( W1 <- as(diag(10000),"dtCMatrix") ) >> print(sum(diag(W1))) ## should be 10000, and that's what I get >> >> system.time( W3 <- as(diag(30000),"dtCMatrix") ) >> print(sum(diag(W3)))## should be 30000, I get 12104 >> >> sessionInfo() >> R version 3.0.1 (2013-05-16) >> Platform: x86_64-apple-darwin12.3.0/x86_64 (64-bit) >> >> locale: >> [1] en_US.UTF-8/en_US.UTF-8/en_US.UTF-8/C/en_US.UTF-8/en_US.UTF-8 >> >> attached base packages: >> [1] stats graphics grDevices utils datasets methods base >> >> other attached packages: >> [1] Matrix_1.0-14 lattice_0.20-15 >> >> loaded via a namespace (and not attached): >> [1] grid_3.0.1 tools_3.0.1 >> >> -------------------------- >> Michael Braun >> Associate Professor of Marketing >> Cox School of Business >> Southern Methodist University >> Dallas, TX 75275 >> braunm _at_ smu.edu >> >> _______________________________________________ >> R-SIG-Mac mailing list >> [email protected] >> https://stat.ethz.ch/mailman/listinfo/r-sig-mac > _______________________________________________ R-SIG-Mac mailing list [email protected] https://stat.ethz.ch/mailman/listinfo/r-sig-mac
