[R] R and Multi threading

[Prof Brian Ripley]

On Tue, 7 Oct 2008, pejpm wrote:

>
> I will preface this message by saying that I am not an R developer and no
> very little about R...but here is my situation:
>
> One of my users has developed a model for analysing commodity prices. At the
> moment when he runs this model on his daily data set it takes roughly 5
> hours to complete. He is using a quad core PC with 2gb of RAM. The R process
> only uses 1 core..i.e. the overall CPU usage tops out at around 25%. This
> has been a managable situation for a while, but he would now like to run
> this model on 5 years of historical data. He has a colleague who ran the
> model on a 16 core Redhat Linux box, but it took even longer to run. He has
> asked me for assistance in speeding up this process. I have a couple of
> questions:
>
> 1) Is is possible to run the Windows version of R across all four
> processors?

No.

> 2) I was under the impression that R for Linux supported multi-threading by
> default. Am I correct in this assumption? If not, is it possible for Linux R
> to multi thread, and how do I go about configuring this?

Your impression/assumption is wrong.

> Apologies for the lack of detailed info in this post. I work in trade floor
> support and engineering and we dont really have much demand for this kind of
> heavy duty computational work so I am learning as I investigate this issue.

R runs as a single task.  It is possible that some of the the support 
functions (notably the BLAS) can be multithreaded, and this will often 
(but not always) help if the task is intensive numerical linear algebra.
But even if a multithreaded BLAS is used (and it is not the default 
build), the effect on a typical R task is very small.

If you want to exploit multiple processors/cores you need to split up your 
R job amongst multiple processes.  There are ways to help you do that 
(packages snow and Rmpi, amongst others), but they need recoding of the 
job to make use of them.

-- 
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 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595