Blog Archives

R-3.1.0 + OpenBLAS Speed Comparisons

April 20, 2014
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With the recent release of R-3.1.0, and the near-recent release of OpenBLAS 0.29rc2, it was time to recompile Rblas.dll and do some new speed tests. The test computer has an Intel i7-2600K, overclocked to 4.6Ghz with 16GB RAM and runs Windows 7 Home Premium 64bit. For the first test, a plain vanilla reference R will Read the full...

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Condorcet ranking and Rcpp – Part 1b

March 15, 2014
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I’ve re-written the previous post a bit and now it is posted in the Rcpp gallery. I’ve had some really good comments, so I’ll probably have to post an updated version. Keep the comments coming! ∞

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Condorcet ranking and Rcpp

March 13, 2014
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Condorcet ranking and Rcpp

I had the opportunity recently to be asked to join a committee which had to select candidates for an upcoming election. In the candidate selection phase, the members of the committee use preferential voting to rank the candidates. Prior to the meeting, I did some research on preferential voting systems. I found two main classes Read the full...

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R programming tips

January 15, 2014
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R programming tips

After reinventing the wheel a few times, I decided it would be a good idea to keep a list of programming tips or tricks that I find useful, so I started a static page here to keep these tips. It will begin rather haphazardly, but if it grows, I will probably categorize and re-order it. Read the full...

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An OpenBLAS-based Rblas for Windows 64: Step-by-step

October 24, 2013
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As a result of my previous post, I’ve had a number of requests to describe how I compiled the BLAS, so I’ll do so below. Of course, the necessary caveats, I am not a programmer nor do I play one on the radio so I probably cannot debug any issue anyone may have. Use the Read the full...

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An OpenBLAS-based Rblas for Windows 64

October 22, 2013
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An OpenBLAS-based Rblas for Windows 64

One of the more important pieces of software that powers R is its BLAS, which stands for Basic Linear Algebra Subprograms. This is the suite of programs which, as its name implies, performs basic linear algebra routines such as vector copying, scaling and dot products; linear combinations; and matrix multiplication. It is the engine on Read the full...

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Correcting a pseudo-correlation matrix to be positive semidefinite

August 19, 2013
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In a recent LinkedIn conversation, the topic of correlation between multiple financial indices was raised. While the actual details are not relevant, the discussion reminded me of one of the concerns I have whenever multivariate correlation is used—how to populate the correlation matrix. First, some background. Unfortunately, most financial random variables are not normally distributed—they Read the full...

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