[R] Need some vectorizing help

[David Winsemius]

On Nov 24, 2011, at 4:52 AM, Scott Tetrick wrote:

> So I have a problem that I'm trying to get through, and I just can't  
> seem to get it to run very fast in R.
>
> What I'm trying to do is to find in a vector a local peak, then the  
> next time that value is crossed later.  I don't care about peaks  
> that may be lower than this first one - they can be ignored.  I've  
> tried some sapply methods along the way, but they all are slower.   
> The best solution I have is a loop, and I just know there are smart  
> R folks that could help me eliminate it.

It looks as though you are reinventing hte function:

?cummax


>
> Peak2Return <- function(v) {
>  Q <- (1:m)[diff(v)<0]                            ; find all the peaks
>  L <- Q[c(TRUE,v[Q[-1]] > v[Q[-length(Q)]])]
>                                                                   ;  
> eliminate lower peaks
>  R <- sapply(L,function (x,v) { ((x+1):length(v))[v[x] < v[(x+1):m]] 
> [1]; }, v)
>                                                                    ;  
> find the next crossing
>  out <- data.frame(peak=L,Return=R)
>  out
> }
>
> Thanks in advance!
>

David Winsemius, MD
West Hartford, CT