[R] weighted regression inside FOREACH loop

Bos, Roger roger.bos at rothschild.com
Fri Oct 7 15:24:31 CEST 2016

I have a foreach loop that runs regressions in parallel and works fine, but when I try to add the weights parameter to the regression the coefficients don’t get stored in the “models” variable like they are supposed to.  Below is my reproducible example:

cl <- makeCluster(4)
fmla <- as.formula("y ~ .")
models <- foreach(d=1:10, .combine=rbind, .errorhandling='remove') %dopar% {
  datdf <- data.frame(y = 1:100+2*rnorm(100), x = 1:100+rnorm(100))
  weights <- rep(c(1,2), 50)
  mod <- lm(fmla, data=datdf, weights=weights)
  #mod <- lm(fmla, data=datdf)

You can change the commenting on the two “mod <-“ lines to see that the non-weighted one works and the weighted regression doesn’t work.  I tried using .export="weights" in the foreach line, but R says that weights is already being exported.

Thanks in advance for any suggestions.

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