Doesn't svd in R by default compute D, U and V? http://stat.ethz.ch/R-manual/R-patched/library/base/html/svd.html
On Wed, Jun 13, 2012 at 4:07 PM, Douglas Bates <ba...@stat.wisc.edu> wrote: > On Wed, Jun 13, 2012 at 5:16 PM, Dirk Eddelbuettel <e...@debian.org> wrote: > > > > On 13 June 2012 at 15:05, Julian Smith wrote: > > | I agree that RcppEigen is a little bit faster, but ease of use is > important to > > | me, so I feel like RcppArmadillo might win out in my application. > > > > Yup, that my personal view too. > > > > | | RcppArmadillo will use the very same LAPACK and BLAS libs your R > session > > | | uses. So MKL, OpenBlas, ... are all options. Eigen actually has its > own > > | code > > | | outperforming LAPACK, so it doesn't as much there. > > | > > | Why do you think R outperforms RcppArmadillo in this example below? > Anyway to > > | speed this up? > > > > That is odd. "I guess it shouldn't." I shall take another look -- as I > > understand it both should go to the same underlying Lapack routine. I > may > > have to consult with Conrad on this. > > > > Thanks for posting a full and reproducible example! > > > > Dirk > > > > | require(RcppArmadillo) > > | require(inline) > > | > > | arma.code <- ' > > | using namespace arma; > > | NumericMatrix Xr(Xs); > > | int n = Xr.nrow(), k = Xr.ncol(); > > | mat X(Xr.begin(), n, k, false); > > | mat U; > > | vec s; > > | mat V; > > | svd(U, s, V, X); > > | return wrap(s); > > | ' > > Because the arma code is evaluating the singular vectors (U and V) as > well as the singular values (S) whereas the R code is only evaluating > the singular values. There is considerably more effort required to > evaluate the singular vectors in addition to the singular values. > > > | rcppsvd <- cxxfunction(signature(Xs="numeric"), > > | arma.code, > > | plugin="RcppArmadillo") > > | > > | A<-matrix(rnorm(5000^2), 5000) > > | > > | > system.time(rcppsvd(A)) > > | user system elapsed > > | 1992.406 4.862 1988.737 > > | > > | > system.time(svd(A)) > > | user system elapsed > > | 652.496 2.641 652.614 > > | > > | On Wed, Jun 13, 2012 at 11:43 AM, Dirk Eddelbuettel <e...@debian.org> > wrote: > > | > > | > > | On 13 June 2012 at 10:57, Julian Smith wrote: > > | | I've been toying with both RcppArmadillo and RcppEigen the past > few days > > | and > > | | don't know which library to continue using. RcppEigen seems > really slick, > > | but > > | | appears to be lacking some of the decompositions I want and > isn't nearly > > | as > > | | fast to code. RcppArmadillo seems about as fast, easier to code > up etc. > > | What > > | | are some of the advantages/disadvantages of both? > > | > > | That's pretty close. I have been a fan of [Rcpp]Armadillo which I > find > > | easier to get my head around. Doug, however, moved from > [Rcpp]Armadillo > > | to > > | [Rcpp]Eigen as it has some things he needs. Eigen should have a > "larger" > > | API > > | than Armadillo, but I find the code and docs harder to navigate. > > | > > | And you should find Eigen to be a little faster. Andreas Alfons > went as far > > | as building 'robustHD' using RcppArmadillo with a drop-in for > RcppEigen (in > > | package 'sparseLTSEigen'; both package names from memmory and I > may have > > | mistyped). He reported a performance gain of around 25% for his > problem > > | sets. On the 'fastLm' benchmark, we find the fast Eigen-based > > | decompositions > > | to be much faster than Armadillo. > > | > > | | Can you call LAPACK or BLAS from either? Is there a wrapper in > RcppEigen > > | to > > | | call LAPACK functions? Want some other decomposition methods, > dont like > > | the > > | | JacobiSVD method in Eigen. > > | > > | You need to differentiate between the Eigen and Armadillo docs > _for their > > | libraries_ and what happens when you access the Rcpp* variant from > R. > > | > > | RcppArmadillo will use the very same LAPACK and BLAS libs your R > session > > | uses. So MKL, OpenBlas, ... are all options. Eigen actually has > its own > > | code > > | outperforming LAPACK, so it doesn't as much there. > > | > > | Hope this helps, Dirk (at useR!) > > | > > | | > > | | > ---------------------------------------------------------------------- > > | | _______________________________________________ > > | | 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 > > | -- > > | Dirk Eddelbuettel | e...@debian.org | http://dirk.eddelbuettel.com > > | > > | > > > > -- > > Dirk Eddelbuettel | e...@debian.org | http://dirk.eddelbuettel.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 >
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