Speeding up R with Intel’s Math Kernel Library (MKL)

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I did some comparisons of the generic BLAS with Intel’s MKL (both sequential and parallel) on a Dell PowerEdge 610 server with dual hyperthreading 6-core 3.06GHz Xeon X5675 processors.  Here are the results from an R benchmarking script (Normal R indicates the generic BLAS,  sMKL is the sequential (single core Intel MKL, and pMKL is the parallel Intel MKL using all 24 threads available on this system).  Times are in seconds, lower is better.

R Benchmark 2.5
Number of times each test is run__________________________:  3

I. Matrix calculation
———————                                          Normal R   sMKL     pMKL
   Creation, transp., deformation of a 2500×2500 matrix (sec):   0.592    0.583    0.585
   2400×2400 normal distributed random matrix ^1000____ (sec):   0.425    0.411    0.427
   Sorting of 7,000,000 random values__________________ (sec):   0.787    0.778    0.777
   2800×2800 cross-product matrix (b = a’ * a)_________ (sec):  11.543    1.875    0.283
   Linear regr. over a 3000×3000 matrix (c = a \ b’)___ (sec):   5.367    0.910    0.214
                   Trimmed geom. mean (2 extremes eliminated):   1.358    0.743    0.414
II. Matrix functions
   FFT over 2,400,000 random values____________________ (sec):   0.422    0.451    0.435
   Eigenvalues of a 640×640 random matrix______________ (sec):   0.949    0.443    0.414
   Determinant of a 2500×2500 random matrix____________ (sec):   4.864    0.967    0.352
   Cholesky decomposition of a 3000×3000 matrix________ (sec):   4.131    0.865    0.179
   Inverse of a 1600×1600 random matrix________________ (sec):   4.011    0.751    0.277
                   Trimmed geom. mean (2 extremes eliminated):   2.505    0.667    0.343
III. Programmation
   3,500,000 Fibonacci numbers calculation (vector calc)(sec):   0.787    0.824    0.841
   Creation of a 3000×3000 Hilbert matrix (matrix calc) (sec):   0.456    0.465    0.431
   Grand common divisors of 400,000 pairs (recursion)__ (sec):   2.196    2.386    1.927
   Creation of a 500×500 Toeplitz matrix (loops)_______ (sec):   0.616    0.612    0.596 
   Escoufier’s method on a 45×45 matrix (mixed)________ (sec):   0.470    0.425    0.447
                   Trimmed geom. mean (2 extremes eliminated):   0.611    0.617    0.607
Total time for all 15 tests_________________________    (sec):  37.62    12.76     8.18
Overall mean (sum of I, II and III trimmed means/3)_    (sec):   1.28     0.67     0.44

So you can see there are some significant gains, especially for the slowest tasks (see bolded items above).  For example, the parallel MKL resulted in a 40x speedup of the cross-product calculation.  Across all jobs the parallel MKL version was ~4.5x faster than the generic BLAS on this system.  When running models that take days to fit, that is significant!

Here’s how I installed it on Ubuntu 12.04:

  1. Download and install the Intel MKL from here.
  2. First install some libraries needed by R:sudo apt-get install libreadline6 libreadline6-dev xserver-xorg xserver-xorg-dev gfortran-devel libxt-dev 
  3. Download the latest R, I used v2.15, available here
  4. Compile R from source using something like this (detailed instructions here):
    export MKL_LIB_PATH=/opt/intel/composer_xe_2011_sp1.7.256/mkl/lib/intel64export optim_flags=”-O3 -funroll-loops -march=native”# from http://cran.r-project.org/doc/manuals/R-admin.html#MKL=”   -L${MKL_LIB_PATH} -Wl,–start-group ${MKL_LIB_PATH}/libmkl_gf_lp64.a \  ${MKL_LIB_PATH}/libmkl_gnu_thread.a      ${MKL_LIB_PATH}/libmkl_core.a       \  -Wl,–end-group -lgomp -lpthread”sudo ./configure –enable-R-shlib –with-blas=”$MKL” CC=”gcc” CFLAGS=”$optim_flags” CXX=”g++” CXXFLAGS=”$optim_flags” F77=”gfortran” FFLAGS=”$optim_flags” FC=”gfortran” FCFLAGS=”$optim_flags”

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