R vs Python Speed Comparison for Bootstrapping

August 19, 2013
By

(This article was first published on Climate Change Ecology » R, and kindly contributed to R-bloggers)

I’m interested in Python a lot, mostly because it appears to be wickedly fast. The downside is that I don’t know it nearly as well as R, so any speed gain in computation time is more than offset by Google time trying to figure out how to do what I want. However, I’m curious as to know how much faster Python is for things like simulating data (because I have a particular interest in neutral models and data simulation). So I faked a linear regression and bootstrapped the confidence interval on the slope. Since I’m only interested in the comparison in speed for bootstrapping, that’s all I’m going to show.

First, with R:

set.seed(101)

# generate data
x <- 0:100
y <- 2*x + rnorm(101, 0, 10)

# plot data
plot(x, y)

# run the regression
mod1 <- lm(y ~ x)
yHat <- fitted(mod1)

# get the residuals
errors <- resid(mod1)

# make a bootstrapping function
boot <- function(n = 10000){
 b1 <- numeric(n)
 b1[1] <- coef(mod1)[2]

 for(i in 2:n){
 residBoot <- sample(errors, replace=F)
 yBoot <- yHat + residBoot
 modBoot <- lm(yBoot ~ x)
 b1[i] <- coef(modBoot)[2]
 }

 return(b1)
}

# Run the bootstrapping function
system.time( bootB1 <- boot() )
mean(bootB1)

On my system, it takes about 10.5 seconds to run this bootstrap.

In Python:

import numpy as np
import pylab as py
import statsmodels.api as sm
import time

# Create the data
x = np.arange(0, 101)
y = 2*x + np.random.normal(0, 10, 101)

# Add the column of ones for the intercept
X = sm.add_constant(x, prepend=False)

# Plot the data
py.clf()
py.plot(x, y, 'bo', markersize=10)

# Define the OLS models
mod1 = sm.OLS(y, X)

# Fit the OLS model
results = mod1.fit()

# Get the fitted values
yHat = results.fittedvalues

# Get the residuals
resid = results.resid

# Set bootstrap size
n = 10000

t0 = time.time()
# Save the slope
b1 = np.zeros( (n) )
b1[0] = results.params[0]

for i in np.arange(1, 10000):
    residBoot = np.random.permutation(resid)
    yBoot = yHat + residBoot
    modBoot = sm.OLS(yBoot, X)
    resultsBoot = modBoot.fit()
    b1[i] = resultsBoot.params[0]

t1 = time.time()

elapsedTime = t1 - t0
print elapsedTime

np.mean(b1)

On my system, the elapsed time is about 4.7 seconds. That’s a substantial increase in speed. I can only assume that for larger simulations, the time difference would be greater. Thus, it seems like Python may be the way to go for permutational analyses, especially when data are simulated.

So what I have learned about Python so far?

PROS:

  • Super fast
  • Language is ‘relatively easy’ to learn
  • Has some built in stats capabilities
  • Has great symbolic math capabilities

CONS:

  • Language is different enough that learning is going to be slow
  • Statistical capabilities are sparse, and R is an easy statistical language (so far)

Overall, if Python had good stats capabilities, I’d probably switch all together. As it is, I’m considering dropping R for things like modeling and simulations just because Python is so much faster. I’m also reading Numerical Ecology right now, and I’m considering sitting down and putting together the beginnings of a multivariate ecology stats module, but I bet that’s going to be more work than I have time for. It’d be pretty cool though.


R-bloggers' editor note: this post has "open ends" which are thoroughly discussed in the bloggers comment section. For just one quote off that discussion, please notice Hadley's comment:
I agree with your remarks in general, but it’s particularly problematic in this case because you compare a high-level R function designed to be robust against bad inputs to a low-level python function designed to be fast. To be fair to R, you also need to average in the cost of the one time where you provide numerically unstable input and R complains nicely but python fails silently and you spend two hours trying to track down the problem

To leave a comment for the author, please follow the link and comment on his blog: Climate Change Ecology » R.

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