Blog Archives

Optimizing Code vs Recognizing Patterns with 3D Arrays

June 7, 2016
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Optimizing Code vs Recognizing Patterns with 3D Arrays

Intro As is the case with the majority of posts normally born into existence, there was an interesting problem that arose on recently on StackOverflow. Steffen, a scientist at an unnamed weather service, faced an issue with the amount of computational time required by his triple loop in R. Specifically, Steffen needed to be able to sum over...

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Gerber Statistic Implementation in Rcpp and OpenMP

May 25, 2016
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Gerber Statistic Implementation in Rcpp and OpenMP

Summary Recently new research has appeared on using a co-movement measure to construct the covariance matrix as part of the Modern Portfolio Theory (MPT) style portfolio construction. Below is the abstract of the Gerber, Markowith and Pujara (2015) paper whose methodology is also currently patent pending: Markowitz’s mean-variance MPT has remained the cornerstone of portfolio selection methods after decades of...

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SIMD Map-Reduction with RcppNT2

February 1, 2016
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SIMD Map-Reduction with RcppNT2

Introduction The Numerical Template Toolbox (NT2) collection of header-only C++ libraries that make it possible to explicitly request the use of SIMD instructions when possible, while falling back to regular scalar operations when not. NT2 itself is powered by Boost, alongside two proposed Boost libraries – Boost.Dispatch, which provides a mechanism for efficient tag-based dispatch for functions, and Boost.SIMD, which provides a framework for the implementation of...

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Using RcppNT2 to Compute the Variance

January 31, 2016
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Using RcppNT2 to Compute the Variance

Introduction The Numerical Template Toolbox (NT2) collection of header-only C++ libraries that make it possible to explicitly request the use of SIMD instructions when possible, while falling back to regular scalar operations when not. NT2 itself is powered by Boost, alongside two proposed Boost libraries – Boost.Dispatch, which provides a mechanism for efficient tag-based dispatch for functions, and Boost.SIMD, which provides a framework for the implementation of...

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Using RcppNT2 to Compute the Sum

January 31, 2016
By
Using RcppNT2 to Compute the Sum

Introduction The Numerical Template Toolbox (NT2) collection of header-only C++ libraries that make it possible to explicitly request the use of SIMD instructions when possible, while falling back to regular scalar operations when not. NT2 itself is powered by Boost, alongside two proposed Boost libraries – Boost.Dispatch, which provides a mechanism for efficient tag-based dispatch for functions, and Boost.SIMD, which provides a framework for the implementation of...

Read more »

Using RcppNT2 to Compute the Variance

January 31, 2016
By
Using RcppNT2 to Compute the Variance

Introduction The Numerical Template Toolbox (NT2) collection of header-only C++ libraries that make it possible to explicitly request the use of SIMD instructions when possible, while falling back to regular scalar operations when not. NT2 itself is powered by Boost, alongside two proposed Boost libraries – Boost.Dispatch, which provides a mechanism for efficient tag-based dispatch for functions, and Boost.SIMD, which provides a framework for the implementation of...

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Introduction to RcppNT2

January 31, 2016
By
Introduction to RcppNT2

Modern CPU processors are built with new, extended instruction sets that optimize for certain operations. A class of these allow for vectorized operations, called Single Instruction / Multiple Data (SIMD) instructions. Although modern compilers will use these instructions when possible, they are often unable to reason about whether or not a particular block of code can be executed using SIMD instructions. The Numerical Template Toolbox...

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Introduction to RcppNT2

January 31, 2016
By
Introduction to RcppNT2

Modern CPU processors are built with new, extended instruction sets that optimize for certain operations. A class of these allow for vectorized operations, called Single Instruction / Multiple Data (SIMD) instructions. Although modern compilers will use these instructions when possible, they are often unable to reason about whether or not a particular block of code can be executed using SIMD instructions. The Numerical Template Toolbox...

Read more »

Writing fast asynchronous SGD/AdaGrad with RcppParallel

January 23, 2016
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Writing fast asynchronous SGD/AdaGrad with RcppParallel

Word embeddings After Tomas Mikolov et al. released word2vec tool, there was a boom of articles about words vector representations. One of the greatest is GloVe, which did a big thing by explaining how such algorithms work. It also refolmulates word2vec optimization as a special kind of factoriazation for word cooccurences matrix. This post is devided into two main...

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Writing fast asynchronous SGD/AdaGrad with RcppParallel

January 23, 2016
By
Writing fast asynchronous SGD/AdaGrad with RcppParallel

Word embeddings After Tomas Mikolov et al. released word2vec tool, there was a boom of articles about words vector representations. One of the greatest is GloVe, which did a big thing by explaining how such algorithms work. It also refolmulates word2vec optimization as a special kind of factoriazation for word cooccurences matrix. This post is devided into two main...

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