Blog Archives

Transforming a Matrix in Parallel using RcppParallel

June 28, 2014
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Transforming a Matrix in Parallel using RcppParallel

The RcppParallel package includes high level functions for doing parallel programming with Rcpp. For example, the parallelFor function can be used to convert the work of a standard serial “for” loop into a parallel one. This article describes using RcppParallel to transform an R matrix in parallel. Serial Version First a serial version of the matrix transformation. We take the square root of each...

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Speed Chain Ladder Analysis with Rcpp

June 23, 2014
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Speed Chain Ladder Analysis with Rcpp

The Chain Ladder method is an actuarial technique used for projecting incurred insurance claims to their ultimate loss values. The data exists as claims triangles where the claims for each accounting year increments down the rows and the claims for eac...

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Call Python from R through Rcpp

April 5, 2014
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Call Python from R through Rcpp

Introduction This post provides a brief introduction to calling Python from R through Rcpp. The official Python documentation explains how to embed python into C/C++ applications. Moreover, the Boost.Python library provides seamless interoperability between C++ and the Python programming language. Similarlly, Rcpp provides interoperability between C++ and R. Therefore, it is not hard to call Python from R through Rcpp and Boost.Python. Although there...

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Using iterators for sparse vectors and matrices

March 31, 2014
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Using iterators for sparse vectors and matrices

Iterating over a sparse vector Consider the following vector: idx1 <- c(2L, 0L, 4L, 0L, 7L) A sparse representation of this vector will tell that at entries 1,3,5 (or at entries 0,2,4 if we are 0-based) we will find the values 2,4,7. Using Eigen via RcppEigen we can obtain the coercion with .sparseView(). We can iterate over all elements (including the zeros) in a sparse vector...

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A simple array class with specialized linear algebra routines

March 20, 2014
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A simple array class with specialized linear algebra routines

Currie, Durban and Eilers write: Data with an array structure are common in statistics, and the design or regression matrix for analysis of such data can often be written as a Kronecker product. Factorial designs, contingency tables and smoothing of data on multidimensional grids are three such general classes of data and models. In such a setting, we develop an arithmetic...

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Dynamic dispatch for sparse matrices

March 19, 2014
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Dynamic dispatch for sparse matrices

We want to do matrix multiplication for 3 cases: dense times dense sparse times dense for sparse matrices of class dgCMatrix sparse times dense for sparse matrices of class indMatrix, using R’s Matrix package for sparse matrices in R and RcppArmadillo for C++ linear algebra: // ] #include <RcppArmadillo.h> using namespace Rcpp ; arma::mat matmult_sp(const arma::sp_mat X, const arma::mat Y){ ...

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Vector Subsetting in Rcpp

March 15, 2014
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Vector Subsetting in Rcpp

Rcpp 0.11.1 has introduced flexible subsetting for Rcpp vectors. Subsetting is implemented for the Rcpp vector types through the [ operator, and intends to mimic R’s [ operator for most cases. We diverge from R’s subsetting semantics in a few important ways: For integer and numeric vectors, 0-based indexing is performed, rather than 1-based indexing, for subsets. ...

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Condorcet Voting with Rcpp

March 13, 2014
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Condorcet Voting with Rcpp

There is a lot of literature and debate on how to rank candidates under preferential voting systems. Two of the methods used to determine winners are those based on some form of Borda count and those based on some form of Condorcet method. Many students of politics and voting systems prefer Condorcet methods to Borda ones for its stronger theoretical qualities. However, while...

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Convex Hull of Polygon using Boost.Geometry

February 23, 2014
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Convex Hull of Polygon using Boost.Geometry

Rcpp can be used to convert basic R data types to and from Boost.Geometry models. In this example we take a matrix of 2d-points and convert it into a Boost.Geometry polygon. We then compute the convex hull of this polygon using a Boost.Geometry function boost::geometry::convex_hull. The convex hull is then converted back to an R matrix. The conversions to and...

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Detecting a Time Series Change Point

January 4, 2014
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Detecting a Time Series Change Point

In this example we will detect the change point in a time series of counts using Bayesian methodology. A natural solution to this problem utilizes a Gibbs sampler. We’ll first implement the sampler in R naively, then create a vectorized R implementation, and lastly create an implementation of the sampler using Rcpp and RcppArmadillo. We will compare these implementations...

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