[R-SIG-Finance] Prototyped support for "partial" and parallelism to rollapply.xts

[Ivan Popivanov]

Hi Joshua,

I did test some basic scenarios (mean) and compared against the results
from runMean. Tested by.column=T/F, partial=T/F, cores=1/4. I didn't create
test cases though. Certainly more testing is needed.

As for the usage scenario, I was coding non-trivial filter on an indicator
and first got tired converting forth and back to zoo. The parallelism came
later, when I noticed my filter taking quite a while (minutes at this
stage, but that will grow later) to compute. The filter takes all history
at each step (partial=T, width=NROW(data)), then does some sampling (using
one of the data columns decides which points are of interest) and then
passes the sample to some logic, which is also expensive to compute (ML).

Regards,
Ivan

On Sun Dec 21 2014 at 16:22:06 Joshua Ulrich <josh.m.ulrich at gmail.com>
wrote:

> Hi Ivan,
>
> Thanks for the contributions!  Did you happen to test the partial=TRUE
> output versus rollapply.zoo?  Also, can you share your use case for
> running rollapply in parallel?
>
> Best,
> Josh
>
> On Fri, Dec 19, 2014 at 11:05 PM, Ivan Popivanov
> <ivan.popivanov at gmail.com> wrote:
> > I needed these two features, and thought they might be useful in
> general, so
> > I spent some extra time implementing them on top xts, see the
> attachments.
> > Not sure whether I managed to cover all cases, but it should be a solid
> > start if you decide adding them to the package.
> >
> > Note: Only the Unix form of parallelism (mclapply from parallel) is
> > supported, but that's mainly for expedience. Adding support for
> parSapply is
> > feasible, but it usually leads to more cumbersome interfaces.
> >
> > Regards,
> > Ivan
> >
>
> --
> Joshua Ulrich  |  about.me/joshuaulrich
> FOSS Trading  |  www.fosstrading.com
>

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