On 11/6/13 6:57 PM, Douglas Bates wrote:
By default Eigen does not use BLAS, which can be good or bad,
depending on the situation. I notice that the second largest total
time is spent in t.default which may mean that you are using an
operation like
t(X) %*% X
If so, you can save yourself time by using the crossprod or tcrossprod
functions. For example, the expression above is more cleanly written as
crossprod(X)
or, for t(X) %*% Y,
crossprod(X, Y)
Eigen or Armadillo could help you avoid making unnecessary copied but
if your calculation does end up being dominated by matrix
multiplications you can't expect to gain much speed relative to R.
You may want to check the type of BLAS you are using. For Intel
processors MKL is generally the fastest (but proprietary) with
OpenBLAS in second place.
I see that I am, as often happens, giving you similar advice to Dirk's
response.
t(X) %*% Y is indeed a very frequent operation. Thanks for pointing out
the crossprod function, I was unaware of its existence.
Xavier
On Wed, Nov 6, 2013 at 11:35 AM, Xavier Robin <xav...@cbs.dtu.dk
<mailto:xav...@cbs.dtu.dk>> wrote:
Hi,
I have a pure-R code that spends most of the time performing
vector and matrix operations, as shown by the summary of Rprof:
self.time self.pct total.time total.pct
"%*%" 903.24 77.67 903.24 77.67
"t.default" 76.26 6.56 76.26 6.56
"-" 36.60 3.15 36.60 3.15
"+" 24.44 2.10 24.44 2.10
"/" 24.22 2.08 24.22 2.08
"exp" 20.26 1.74 20.26 1.74
"predict.myClass" 17.68 1.52 503.82 43.32
"*" 11.90 1.02 11.90 1.02
"t" 9.38 0.81 811.94 69.82
"update.batch" 8.04 0.69 654.68 56.30
...
So mostly matrix %*% matrix multiplications, transpositions,
vector +-/* matrix operations and exponentiations, representing
>95% of the computation time.
I have very few loops and if/else blocks.
I want to speed up this code, and I am considering reimplementing
it (or part of it) with RcppEigen or RcppArmadillo.
However, I read that both Eigen and Amarillo use the underlying
BLAS, like R.
My question is, can I expect any significant speed-up from an Rcpp
re-implementation in this case, given it is already mostly matrix
algebra (which are supposed to be pretty efficient in R)?
Thanks,
Xavier
--
Xavier Robin, PhD
Cellular Signal Integration Group (C-SIG) - http://www.lindinglab.org
Center for Biological Sequence Analysis (CBS) - http://www.cbs.dtu.dk
Department of Systems Biology - Technical University of Denmark (DTU)
Anker Engelundsvej, Building 301, DK-2800 Lyngby, DENMARK.
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--
Xavier Robin, PhD
Cellular Signal Integration Group (C-SIG) - http://www.lindinglab.org
Center for Biological Sequence Analysis (CBS) - http://www.cbs.dtu.dk
Department of Systems Biology - Technical University of Denmark (DTU)
Anker Engelundsvej, Building 301, DK-2800 Lyngby, DENMARK.
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