[Rd] Speeding up matrix multiplies

[Göran Broström]

On 2010-08-24 05:37, Kasper Daniel Hansen wrote:
> On Mon, Aug 23, 2010 at 10:39 PM, Radford Neal<radford at cs.toronto.edu>  wrote:
>>> On Aug 23, 2010, at 7:39 PM, Radford Neal wrote:
>>
>>>> In particular, all matrix x vector and vector x matrix products will
>>>> in this version be done in the matprod routine, not the Fortran routine.
>>>> And this is the right thing to do, since the time for the ISNAN check
>>>> before calling the Fortan routine will be comparable to the time for
>>>> the matrix multiply.  So avoiding it will be desirable unless the Fortran
>>>> routine is really, really faster than the C code in matprod.
>>>
>>> It is, many times in fact, if you use threaded BLAS on a multi-core machine
>>> and large matrices.
>>
>> Well, it can't get any faster than taking zero time.  And even in that
>> case, using the C code in matprod will slow the program down (compared
>> to the existing version of R) by only about a factor of two.
>>
>>>> Of course, the real solution is to change the Fortran routine (which
>>>> seems to be in src/extra/blas/blas.f, and isn't all that complicated)
>>>
>>> Nope - it can be external and BLAS standard doesn't handle NAs.
>>
>> OK.  I see the problem if people can link in their own version of BLAS.
>> I wonder if there is any way of telling whether they did that?  Presumably
>> many people will use the BLAS routine supplied with R, which could be
>> made safe for NAs.
>
> Radford: this is highly platform dependent.  For example, all OS X
> users use a multithreaded BLAS supplied by Apple.  And I believe a
> multithreaded BLAS is used by Revolution R (all platforms).  Allowing
> a plugin BLAS is (in my opinion) an essential advantage of R and is
> used by many people who care about high performance.

How do I best achieve this on Ubuntu (10.04)?

Göran

>
> Note that the BLAS version can be swapped after R has been compiled,
> so even if there is a way to tell what BLAS you are using (and I don't
> know if there is), it has to be a run-time check.
>
> Kasper
>
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