[R] Matrix

[Douglas Bates]

Uwe Ligges wrote:
> salvati nicola wrote:
> 
>> I have a matrix 2900X2900 and I have to solve it. But R says that it 
>> can't allocate 67899kb.
>> How can I do?
> 
> 
> a) Clean up your workspace before trying to work on the matrix
> b) Is this an outdated R version on Windows? Then (i) please upgrade and 
> (ii) please read the R for Windows FAQs and ?Memory.
> c) Buy more memory, if you have less than 512MB. 512 MB suffices for me 
> (in a clean workspace!) in ~5 min. using Rblas.dll linked against ATLAS. 
> You probably want to have ~1GB of memory for serious other calculations 
> with those matrices.
> 
> Uwe Ligges

5 Min?

On a modest desktop system (Athlon XP 2500+, approx 1.8 GHz) it took 
about 20 seconds for the inversion and about 8 seconds for the LU 
decomposition.  This is using the Matrix package.

 > mm <- Matrix(rnorm(2900*2900), ncol = 2900)
 > object.size(mm)
[1] 67280636
 > system.time(rcond(mm))
[1] 7.73 0.10 7.96 0.00 0.00
 > object.size(mm)
[1] 134573052
 > system.time(minv <- solve(mm))
[1] 19.93  0.10 20.04  0.00  0.00
 > rcond(mm)
[1] 2.466351e-07

The initial call to rcond calculates and stores the LU decomposition. 
That is why the size of the object approximately doubles.

I get similar results without the matrix package except that the 
decomposition must be recomputed for each such operation on the matrix.

 > m1 <- matrix(rnorm(2900*2900), ncol = 2900)
 > system.time(minv1 <- solve(m1))
[1] 30.08  0.86 32.32  0.00  0.00