Posts Tagged ‘ C ’

Variable probability Bernoulli outcomes – Fast and Slow

November 1, 2012
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Variable probability Bernoulli outcomes – Fast and Slow

I am working on a project that requires the generation of Bernoulli outcomes. Typically, I would go about this using the built in sample() function like so: This works great and is fast, even for large n. Problem is, I want to generate each sample with its own unique probability. Seems straight forward enough, I

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Math Constants in C++

August 14, 2012
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Some of my colleagues didn't know that you can use mathematical constants that are part of "cmath". Here is the small snippet that shows how to use PI from cmath library. Be aware that you need to write "#define _USE_MATH_DEFINES" before you include cm...

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Using R.Net in an Excel Add in

May 31, 2012
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I thought I’d try out R.net and in doing so I have put together a very simple Excel 2007 add in that connects Excel to R. I’m using .Net 4.0 in Visual Studio 2010 pro with the latest commit of R.Net, … Continue reading →

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Levenshtein distance in C++ and code profiling in R

March 25, 2012
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Levenshtein distance in C++ and code profiling in R

At work, the client requested, if existing search engine could accept singular and plural forms equally, e. g. “partner” and “partners” would lead to the same result. The first option – stemming. In that case, search engine would use root of a word, e. g. “partn”. However, stemming has many weaknesses: two different words might have same root, a

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simulated annealing for Sudokus [2]

March 16, 2012
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simulated annealing for Sudokus [2]

On Tuesday, Eric Chi and Kenneth Lange arXived a paper on a comparison of numerical techniques for solving sudokus. (The very Kenneth Lange who wrote this fantastic book on numerical analysis.) One of these techniques is the simulated annealing approach I had played with a long while ago.  They seem to use the same penalisation

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How to save high frequency data in mongodb

February 24, 2012
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Are you looking for ways how to save real time, high frequency data taken from Interactivebrokers.com API ? I built an example in C++ which saves all incoming data in Mongodb. Check this link if you are interested: https://github.com/kafka399/TwsMongo  

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speed of R, C, &tc.

February 2, 2012
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speed of R, C, &tc.

My Paris colleague (and fellow-runner) Aurélien Garivier has produced an interesting comparison of 4 (or 6 if you consider scilab and octave as different from matlab) computer languages in terms of speed for producing the MLE in a hidden Markov model, using EM and the Baum-Welch algorithms. His conclusions are that matlab is a lot

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Vectorized R vs Rcpp

February 1, 2012
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Vectorized R vs Rcpp

In my previous post, I tried to show, that Rcpp is 1000 faster than pure R and that generated the fuss in the comments. Being lazy, I didn’t vectorize R code and at the end I was comparing apples vs oranges. To fix that problem, I built a new script, where I’m trying to compare

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the Art of R Programming [guest post]

January 30, 2012
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the Art of R Programming [guest post]

(This post is the preliminary version of a book review by Alessandra Iacobucci, to appear in CHANCE. Enjoy !) As Rob J. Hyndman enthusiastically declares in his blog, “this is a gem of a book”. I would go even further and argue that The Art of R programming is a

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Dennis Ritchie 1941-2011

October 28, 2011
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Dennis Ritchie 1941-2011

I just got the “news” that Dennis Ritchie died, although this happened on October 12… The announcement was surprisingly missing from my information channels and certainly got little media coverage, compared with Steve Jobs‘ demise. (I did miss the obituaries in the New York Times and in the Guardian. The Economist has the most appropriate

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