373 search results for "evaluation"

Optimising a Noisy Objective Function

July 16, 2013
By
$Optimising a Noisy Objective Function$

I am busy with a project where I need to calibrate the Heston Model to some Asian options data. The model has been implemented as a function which executes a Monte Carlo (MC) simulation. As a result, the objective function is rather noisy. There are a number of algorithms for dealing with this sort of problem, and

R talks to Weka about Data Mining

July 14, 2013
By

R provides us with excellent resources to mine data, and there are some good overviews out there: Yanchang’s website with Examples and a nice reference card The rattle-package that introduces a nice GUI for R, and Graham William’s compendium of tools The caret-package that offers a unified interface to running a multitude of model builders.

Zero to hero

July 13, 2013
By

Recently, I've been working on a paper, which I think is coming along nicely. The basic problem is like this: in a health economic evaluation, sometimes data are collected on a sample of individuals. Say, for example, that \$n_0\$ subjects are given a st...

Faster Multivariate Normal densities with RcppArmadillo and OpenMP

July 13, 2013
By

The Multivariate Normal density function is used frequently in a number of problems. Especially for MCMC problems, fast evaluation is important. Multivariate Normal Likelihoods, Priors and mixtures of Multivariate Normals require numerous evaluations, thus speed of computation is vital. We show a twofold increase in speed by using RcppArmadillo, and some extra gain by using OpenMP. This project is based...

How pqR makes programs faster by not doing things

June 30, 2013
By

One way my faster version of R, called pqR (see updated release of 2013-06-28), can speed up R programs is by not even doing some operations. This happens in statements like for (i in 1:1000000) ..., in subscripting expressions like v, and in logical expressions like any(v>0) or all(is.na(X)). This is done using pqR’s internal “variant result” mechanism, which is

June 19, 2013
By

BCEA 1.3.0

June 18, 2013
By

After months of work (although to be fair, we haven't worked 100% full time on this), Andrea and I are nearly ready to publish the next release of BCEA. Andrea has done a brilliant job and is responsible for most of the good new features (NB: see ...

Big in Japan

June 13, 2013
By

Inspired by this post on R-bloggers, I decided to check how BCEA was doing. Unfortunately, it does not feature in the top 100 most downloaded R packages. However, I think it's doing well \$-\$ considering the book (which is the main medium of advertising of the package) has...

Top 100 R packages for 2013 (Jan-May)!

June 13, 2013
By

(This article was first published on R-statistics blog » RR-statistics blog, and kindly contributed to R-bloggers) What are the top 100 (most downloaded) R packages in 2013? Thanks to the recent release of RStudio of their “0-cloud” CRAN log files (but without including downloads from the primary CRAN mirror or any of the 88 other CRAN mirrors), we can now answer this question...