[R] No speed effect by using RcppArmadillo compared to R in matrix operations

[Andreas Recktenwald]

Hi,

another option if you're using Linux AND an Intel processor would be  
linking R against Intel MKL (Math Kernel Library). Under Linux you can  
get a (free) non-commercial licence for it.

Here I'm using an Intel(R) Core(TM) i5-3210M CPU @ 2.50GHz laptop  
processor with R 3.0.2 build with intel compilers and linked against  
Intel MKL 11 and get the following times:

> set.seed(123)
> n <- 2000
> A<-matrix(rnorm(n^2,0,1), n,n)
> system.time(D<-A%*%A%*%A+A)
        User      System verstrichen
       1.480       0.004       1.482

PS: I'm using the sequential version of Intel MKL.


Zitat von Timo Schmid <timo_schmid at hotmail.com>:

> Hello,
>
> I am looking for a way to do fast matrix operations (multiplication,  
> Inversion) for
> large matrices (n=8000) in R. I know R is not that fast in linear  
> algebra than
> other software.
> So I wanted to write some code in C++ and incorporate this code in  
> R. I have used the
> package RcppArmadillo, because a lot of people write that it is  
> really fast in
> doing matrix algebra. So I have run a short example. See the code below.
> I was wondering that I got almost the same CPU time for the matrix  
> algebra in my
> example. I expect that using C++ Code in R is faster than using the standard
> matrix operations in R.
>
> Is there a way to do matrix algebra in R faster as the standard  
> command (e.g. %*%) using
> the Rcpp or RcppArmadillo packages? I would be happy about any idea  
> or advice.
> Thanks in advance
>
>
>  > library(Rcpp)
>> library(RcppArmadillo)
>> library(inline)
>> library(RcppEigen)
>> library(devtools)
>>
>> # Generation of the matrix
>> n=2000
>> A<-matrix(rnorm(n^2,0,1), n,n)
>>
>> # Code in R
>> system.time(
> +     D<-A%*%A%*%A+A)
>    user  system elapsed
>   12.29    0.01   12.33
>>
>> # Code using RcppArmadillo
>> src <-
> +     '
> + arma::mat X = Rcpp::as<arma::mat>(X_);
> + arma::mat ans = X * X * X + X;
> + return(wrap(ans));
> + '
>> mprod6_inline_RcppArma <- cxxfunction(signature(X_="numeric"),
> +                                       body = src, plugin="RcppArmadillo")
>>
>> system.time(
> +     C<-mprod6_inline_RcppArma(X=A))
>    user  system elapsed
>   12.30    0.08   12.40
>
>
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