[R-SIG-Finance] Matlab vs. R performance/convenience benchmarking for quantitative analysis business

[Eric Zivot]

Something in between free R and Matlab to consider is RevolutionR (I don't
work for them, please don't flame me). It uses optimized math libraries, has
a very nice IDE and is set-up for parallel computing out-of-the box. I don't
know what their corporate pricing is but it has to be cheaper than Matlab.
Below is a comparison (taken from the Revolution documentation) between the
optimized math libraries and the standard R libraries for certain
computations:

Calculation			Regular R			Optimized
libraries
Eigen				11.45				3.63
Svd				7.34				1.19
Qr				1.17				0.93
Lm				1.47				1.23
Matrix mult			1.75				0.09

Note: Mean times for various calculations below

set.seed(14)
x <- matrix(rnorm(1000000),nrow=1000)
xout <- numeric(20)
for (i in 1:20) xout[i] <- system.time(eigen(x))[3]
xout2 <- numeric(20)
for (i in 1:20) xout2[i] <- system.time(svd(x))[3]
xout3 <- numeric(20)
for (i in 1:20) xout3[i] <- system.time(qr(x))[3]
xout4 <- numeric(20)
for (i in 1:20) xout4[i] <- system.time(lm(x[,i]~x[,-i]))[3]
xout5 <- numeric(20)
for (i in 1:20) xout5[i] <- system.time(t(x)%*%x)[3]



Eric Zivot                  			               
Robert Richards Chaired Professor of Economics
Adjunct Professor of Finance                            
Adjunct Professor of Statistics
Department of Economics
Box 353330                  email:  ezivot at u.washington.edu 
University of Washington    phone:  206-543-6715            
Seattle, WA 98195-3330
www:  http://faculty.washington.edu/ezivot                  


-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of
fjpcaballero at gmail.com
Sent: Wednesday, October 06, 2010 9:38 AM
To: <Samuel.Meichtry at bkw-fmb.ch>
Cc: <r-sig-finance at stat.math.ethz.ch>
Subject: Re: [R-SIG-Finance] Matlab vs. R performance/convenience
benchmarking for quantitative analysis business

Note that this benchmark appears to be using non-optimized BLAS libraries.
Speed of matrix operations should be comparable to Matlab when using ATLAS,
Intel mkl, vecLib, or Goto.  Loops are a different story.  Even with Ra and
JIT, R is a far cry from Matlab.

My personal take:

Pro Matlab: compact and clean syntax, good IDE and tooling, more efficient
(e.g. pass by reference, loop optimization), some very good toolboxes not
available elsewhere (eg CVX, Murphy's BBN toolbox)

Against Matlab: it is a pain to work with anything that doesn't look like a
matrix; lags behind R in methods available, licensing costs

Pro R: (much) broader selection of methods -- at least in machine learning,
survival analysis, and finance; named arguments in functions, easier to work
with mixed data (eg dataframes), better statistics-oriented graphics (e.g.
Lattice, ggplot), better interactive graphics [for my taste] (rggobi,
iplots), licensing costs

Against R: performance issues previously discussed, pretty ugly code, lack
of a good IDE -- all the ones I have tested lack an integrated debugger and
profiler, steep learning curve.



On Oct 6, 2010, at 9:08 AM, <Samuel.Meichtry at bkw-fmb.ch> wrote:

> Hello everyone,
> 
> At the moment we are trying to decide which software to use for
quantitative analysis and the following Link about performance doesn't
really vote for R (http://mlg.eng.cam.ac.uk/dave/rmbenchmark.php).
> 
> I am not against Matlab and cannot say anything about its convenience
because I haven't worked with it for a long time. On the other hand Matlab
is already heavily used in other departments in our company and we have to
tell our project committee why we would like to use R instead.
> 
> Now I am very interested to know why you are using R in your business and
not Matlab?
> Or do you use both of them?
> 
> Thank you very much for your feedback!
> 
> 
> Kind regards,
> Samuel Meichtry
> 
> 
> ____________________________________________
> BKW FMB Energie AG
> Energy Trading
> Samuel Meichtry
> Analyst Energy Trading
> Tel +41 31 330 53 99
> Fax +41 31 330 56 16
> e-mail samuel.meichtry at bkw-fmb.ch
> 
> *  Sie drucken dieses E-Mail nicht aus? Die Umwelt dankt!
> 
> 
> 
> 
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