As the MCMCpack and rcppbugs packages were built on Linux, I can't install them on my Windows box. I'll have to get the sources and try to make them when I have time.
Thanks, Dale Smith, Ph.D. Senior Financial Quantitative Analyst Risk & Compliance Fiserv. 107 Technology Park Norcross, GA 30092 Office: 678-375-5315 Mobile: 678-982-6599 Mail: dale.sm...@fiserv.com www.fiserv.com -----Original Message----- From: rcpp-devel-boun...@r-forge.wu-wien.ac.at [mailto:rcpp-devel-boun...@r-forge.wu-wien.ac.at] On Behalf Of Dirk Eddelbuettel Sent: Thursday, April 26, 2012 11:28 PM To: Whit Armstrong Cc: rcpp-devel Subject: Re: [Rcpp-devel] RcppArmadillo -- crude benchmark of various mcmcvs rcppbugs On 26 April 2012 at 15:58, Whit Armstrong wrote: | Slightly off topic, but Dirk kindly allowed me to make a quick | benchmark post on rcppbugs. "Allowed" ? Come on, benchmarks are always ok, as are posts on Rcpp. This is after all the Rcpp list... | | Just a short post to the list showing some performance numbers (for | running a simple linear regression) of rcppbugs (with an RcppArmadillo | core) vs MCMCpack (Scythe core) vs JAGS (?? core). | | I was fairly optimistic about the speed of rcppbugs, yet this exceeds | my expectations by so much that I fear there may be a bug in my | benchmark code. | | I'm gearing up for my presentation at R/Finance, so I would be | grateful to anyone who wants to kick the tires a bit. The core has | been tested (we've been using the pure c++ implementation for over a | year), but the R binding (via rcppbugs) is completely new. | | Thanks in advance. Code below (you'll need to install MCMCpack, | rjags, and rcppbugs (now on CRAN) to run it). | | The quick summary is a 5x speedup over MCMCpack and a 77x speedup (I'm | not sure I believe this yet) over JAGS. A bit more modest here (two-year old i7 running Ubuntu amd64) R> print(round(all.times.ratio,2)) time ratio lm 0.09 0.08 rcppbugs 1.18 1.00 mcmcpack 4.05 3.45 jags 57.06 48.56 But still pretty good compared to MCMCpack. That is possibly legit -- modern C++ versus a C++ design from a decade ago. Jags is a little harder to believe. Maybe time to write an email to Martyn? Thanks for sharing this. Looking forward to your talk next month. Dirk | Comments welcome. | | -Whit | | | library(rcppbugs,quietly=TRUE,verbose=FALSE) | library(rjags,quietly=TRUE,verbose=FALSE) | library(MCMCpack,quietly=TRUE,verbose=FALSE) | | NR <- 1e2L | NC <- 2L | | y <- rnorm(NR,1) + 10 | X <- matrix(nr=NR,nc=NC) | X[,1] <- 1 | X[,2] <- y + rnorm(NR)/2 - 10 | | | lm.time <- system.time(lm.res <- lm.fit(X,y)) | ##print(coef(lm.res)) | | b <- mcmc.normal(rnorm(NC),mu=0,tau=0.0001) | tau.y <- mcmc.uniform(sd(as.vector(y)),lower=0,upper=100) | ##y.hat <- deterministic(function(X,b) { X %*% b }, X, b) y.hat <- | linear(X,b) y.lik <- mcmc.normal(y,mu=y.hat,tau=tau.y,observed=TRUE) | m <- create.model(b, tau.y, y.hat, y.lik) | | | iterations <- 1e5L | burn <- iterations | adapt <- 1e3L | thin <- 10L | | cat("running rcppbugs model...\n") | rcppbugs.time <- system.time(ans <- run.model(m, | iterations=iterations, burn=burn, adapt=adapt, thin=thin)) | rcppbugs.coefs <- apply(ans[["b"]],2,mean) | ##print(rcppbugs.coefs) | print(rcppbugs.time) | | cat("running MCMCpack model...\n") | mcmcpack.time <- system.time(mcmcpack.out <- MCMCregress(y ~ | X.2,data=data.frame(y=y,X=X),burnin = burn, mcmc = iterations, | thin=thin)) | print(mcmcpack.time) | | cat("running jags model...\n") | | bug.model <- ' | model { | for (i in 1:NR){ | y[i] ~ dnorm(y.hat[i], tau.y) | y.hat[i] <- inprod(b, X[i,]) | } | for (j in 1:NC){ | b[j] ~ dnorm(0, .0001) | } | tau.y ~ dunif(0, 100) | } | ' | bug.file <- tempfile(fileext=".bug") | cat(bug.model,file=bug.file) | | jags.time1 <- system.time( | jags <- jags.model(bug.file, | data = list('X' = X, | 'y' = y, | 'NR' = NR, | 'NC' = NC), | n.chains = 1, | n.adapt = adapt, | quiet=TRUE | )) | jags.time2 <- system.time(update(jags, n.iter=burn, | progress.bar="none")) | jags.time3 <- system.time(jags.trace <- | jags.samples(jags,c('b','tau.y'),n.iter=iterations,thin=thin,progress. | bar="none")) | | jags.time <- jags.time1 + jags.time2 + jags.time3 | print(jags.time) | jags.coefs <- apply(jags.trace$b,1,mean) | | ##print(jags.trace) | | cat("rcppbugs speedup:\n") | all.times <- | rbind(lm.time["elapsed"],rcppbugs.time["elapsed"],mcmcpack.time["elaps | ed"],jags.time["elapsed"]) all.times.ratio <- | cbind(all.times,all.times/rcppbugs.time["elapsed"]) | colnames(all.times.ratio) <- c("time","ratio") | rownames(all.times.ratio) <- c("lm","rcppbugs","mcmcpack","jags") | print(round(all.times.ratio,2)) | | cat("coef comparison:\n") | coef.compare <- | rbind(coef(lm.res),rcppbugs.coefs,summary(mcmcpack.out)$statistics[,"M | ean"][1:2],jags.coefs) | rownames(coef.compare) <- c("lm","rcppbugs","mcmcpack","jags") | print(coef.compare) | _______________________________________________ | Rcpp-devel mailing list | Rcpp-devel@lists.r-forge.r-project.org | https://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/rcpp-deve | l -- 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 _______________________________________________ Rcpp-devel mailing list Rcpp-devel@lists.r-forge.r-project.org https://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/rcpp-devel _______________________________________________ Rcpp-devel mailing list Rcpp-devel@lists.r-forge.r-project.org https://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/rcpp-devel
