[R] Question about multiple regression

[Bert Gunter]

 Disclaimer: I have **NO IDEA** of the details of what you want to do or why
-- but I am willing to bet that there are better ways of doing it than  1.8
mm multiple refressions that take 270 secs each!! (which I find difficult to
believe in itself -- are you sure you are doing things right? Something
sounds very fishy here: R's regression code is typically very fast).

-- Bert Gunter

-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On
Behalf Of Dimitri Liakhovitski
Sent: Monday, September 08, 2008 9:56 AM
To: Prof Brian Ripley
Cc: R-Help List
Subject: Re: [R] Question about multiple regression

Yes, see my previous e-mail on how long R takes (270 seconds for one
of the 1,800,000 sets I need) - using system.time.
Not sure how to test the same for Fortran...

On Mon, Sep 8, 2008 at 12:51 PM, Prof Brian Ripley
<ripley at stats.ox.ac.uk> wrote:
> Are you sure R's ways are not fast enough (there are many layers
underneath
> lm)?  For an example of how you might do this at C/Fortran level, see the
> function lqs() in MASS.
>
> On Mon, 8 Sep 2008, Dimitri Liakhovitski wrote:
>
>> Dear R-list,
>> maybe some of you could point me in the right direction:
>>
>> Are you aware of any FREE Fortran or Java libraries/actual pieces of
>> code that are VERY efficient (time-wise) in running the regular linear
>> least-squares multiple regression?
>
> A lot of the effort is in getting the right answer fast, including for
e.g.
> collinear inputs.
>
>> More specifically, I have to run small regression models (between 1
>> and 15 predictors) on samples of up to N=700 but thousands and
>> thousands of them.
>>
>> I am designing a simulation in R and running those regressions and R
>> itself is way too slow. So, I am thinking of compiling the regression
>> run itself in Fortran and Java and then calling it from R.
>
> I think Java is unlikely to be fast compared to the Fortran R itself uses.
>
> Have you profiled to find where the time is really being spent (both R and
> C/Fortran profiling if necessary).
>
>>
>> Thank you very much for any advice!
>>
>> Dimitri Liakhovitski
>> MarketTools, Inc.
>> Dimitri.Liakhovitski at markettools.com
>>
>> ______________________________________________
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>> PLEASE do read the posting guide
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>>
>
> --
> 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
>



-- 
Dimitri Liakhovitski
MarketTools, Inc.
Dimitri.Liakhovitski at markettools.com

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