[R] Matrix/Vector manipulation
David Reiner
David.Reiner at xrtrading.com
Mon Oct 3 17:56:58 CEST 2011
sum(ifelse(cumsum(W)<=v, W, 0) * R)
HTH,
David L. Reiner
-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On Behalf Of fernando.cabrera at nordea.com
Sent: Monday, October 03, 2011 9:50 AM
To: r-help at r-project.org
Subject: [SPAM] - [R] Matrix/Vector manipulation - Bayesian Filter detected spam
Hi guys,
Have the following problem computing vectors with pure vector algebra and end up reverting to recursion or for-looping.
Function my_cumsum calculates a weighted average (W) of ratios (R), but only up to the given size/volume (v). Now I recurse into the vector (from left to right) with what you have left from the difference of volume minus current weight, and stop when the difference is less than or equal to the current weight.
Vectors W and R have the same length, and v is always a positive integer.
W: {w_1 w_2 .. w_m}
R: {r_1 r_2 .. r_m}
my_cumsum <- function(v, R, W) {
if (v <= W[1]) # check the head
v*R[1]
else
W[1]*R[1] + my_cumsum(v - W[1], R[2:length(R)], W[2:length(W)]) # recurse the tail }
Any help is greatly appreciated!
Fernando Alvarez
"Great ideas originate in the muscles." ~ Thomas A. Edison
______________________________________________
R-help at r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
This e-mail and any materials attached hereto, including, without limitation, all content hereof and thereof (collectively, "XR Content") are confidential and proprietary to XR Trading, LLC ("XR") and/or its affiliates, and are protected by intellectual property laws. Without the prior written consent of XR, the XR Content may not (i) be disclosed to any third party or (ii) be reproduced or otherwise used by anyone other than current employees of XR or its affiliates, on behalf of XR or its affiliates.
THE XR CONTENT IS PROVIDED AS IS, WITHOUT REPRESENTATIONS OR WARRANTIES OF ANY KIND. TO THE MAXIMUM EXTENT PERMISSIBLE UNDER APPLICABLE LAW, XR HEREBY DISCLAIMS ANY AND ALL WARRANTIES, EXPRESS AND IMPLIED, RELATING TO THE XR CONTENT, AND NEITHER XR NOR ANY OF ITS AFFILIATES SHALL IN ANY EVENT BE LIABLE FOR ANY DAMAGES OF ANY NATURE WHATSOEVER, INCLUDING, BUT NOT LIMITED TO, DIRECT, INDIRECT, CONSEQUENTIAL, SPECIAL AND PUNITIVE DAMAGES, LOSS OF PROFITS AND TRADING LOSSES, RESULTING FROM ANY PERSON'S USE OR RELIANCE UPON, OR INABILITY TO USE, ANY XR CONTENT, EVEN IF XR IS ADVISED OF THE POSSIBILITY OF SUCH DAMAGES OR IF SUCH DAMAGES WERE FORESEEABLE.
More information about the R-help
mailing list