fastLMviaGSL.r

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#!/usr/bin/env r
#
# A faster lm() replacement based on GNU GSL
#
# This first appeared in the 'Intro to HPC tutorials'
# but has been wrapped in inline::cfunction() here
#
# Copyright (C) 2010 Dirk Eddelbuettel and Romain Francois
#
# This file is part of Rcpp.
#
# Rcpp is free software: you can redistribute it and/or modify it
# under the terms of the GNU General Public License as published by
# the Free Software Foundation, either version 2 of the License, or
# (at your option) any later version.
#
# Rcpp is distributed in the hope that it will be useful, but
# WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
# GNU General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with Rcpp.  If not, see <http://www.gnu.org/licenses/>.
 
source("lmGSL.R")
 
checkLmGSL <- function(y, X) {
    fun <- lmGSL()
    res <- fun(y, X)
    fit <- lm(y ~ X - 1)
    rc <- all.equal( res[[1]], as.numeric(coef(fit))) &
          all.equal( res[[2]], as.numeric(coef(summary(fit))[,2]))
    invisible(rc)
}
 
timeLmGSL <- function(y, X, N) {
    fun <- lmGSL();
    meantime <- mean(replicate(N, system.time(fun(y, X))["elapsed"]), trim=0.05)
}
 
set.seed(42)
n <- 5000
k <- 9
X <- cbind( rep(1,n), matrix(rnorm(n*k), ncol=k) )
truecoef <- 1:(k+1)
y <- as.numeric(X %*% truecoef + rnorm(n))
 
N <- 100
 
stopifnot(checkLmGSL(y, X))
mt <- timeLmGSL(y, X, N)
cat("GSL: Running", N, "simulations yields (trimmed) mean time", mt, "\n")