[R] generating multivariate normal random numbers in C

[Prof Brian Ripley]

On Tue, 26 Jun 2001, Mathieu Ros wrote:

> >>>>> "TL" == Thomas Lumley <tlumley at u.washington.edu> disait:
>
>     TL> On Tue, 26 Jun 2001, Mathieu Ros wrote:
>     >> hello all, I'm looking for a C/C++ library (or algorithm) to
>     >> compute draws from a multivariate normal distribution in order
>     >> to do block sampling.  (I'm plugging my results in an R
>     >> function so this is not really off topic ;)
>
>     TL> In that case, why not use mvrnorm() in the MASS package? It's
>     TL> not in C, but it doesn't need to be.
>
> Well, as I just replied to prof. Rossini, I'm doing about 50000
> iterations (up to 100000) with at least 88 parameters to update at each turn
> (at least 2x4 + 2x40 if I do block sampling).
> I don't know much about R/C interface but I believe it will slow down
> my program if I call an R function to do the job.
> My elementwise sampling algorithm (C code) takes between 3 and 4
> hours to run (with intermediate data sets).

Well, it's an elementary computation once you have a random normal
generator and a numerical linear algebra suite.  For 88 dimensions (if I
understand you aright) the issue is going to be the matrix decomposition.
Is this the same multivariate normal distribution at each draw?  If so
just write a binary file using writeBin: it will not slow you down.  If it
is different each time the linear algebra computations will be slow enough
to swamp the communications overhead.

-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272860 (secr)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595

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