Blog Archives

The Need for Speed Part 2: C++ vs. Fortran vs. C

December 23, 2018
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The Need for Speed Part 2: C++ vs. Fortran vs. C

Searching for Speed In my previous post, I described the method I use for compiling Fortran (or C) into an R package using the .Call interface. This post will compare the speed of various implementations of the layer loss cost function. The Function Often, insurance or reinsurance is bought in stratified horizontal layers. For example, Read the full article... The...

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The Need for Speed Part 1: Building an R Package with Fortran (or C)

December 9, 2018
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The Need for Speed Part 1: Building an R Package with Fortran (or C)

Searching for Speed Everyone who has ever used R has, at one time or another, wished for an increase in R’s speed. If you haven’t, you’re not using R hard enough! Recently, as part of some research on credibility, I was calculating layer loss costs for millions of simulated loss observations. As I progressed, the Read the full article... The...

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histoRicalg: The effort to document historic and historical numerical algorithms in R

July 29, 2018
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histoRicalg: The effort to document historic and historical numerical algorithms in R

Recently, the R-consortium accepted a new project called histoRicalg. The main goal of the project is to document and transfer knowledge of some older algorithms used by R and by other computational systems. There is a lot of R written in Fortran—much of which is in the old F77 format—and in C whose original implementations Read the full article... The...

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Updated R & BLAS Timings

March 30, 2016
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Updated R & BLAS Timings

With the recent releases of R 3.2.4 and OpenBLAS 2.17, I decided it was time to re-benchmark R speed. I’ve settled on a particular set of tests, based on my experience as well as some of Simon Urbanek’s work which I separated into two groups: those focusing on BLAS-heavy operations and those which do not. Read the full article... The...

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New version of OpenBLAS released

October 28, 2015
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OpenBLAS 0.2.15 has been released. I’ll be building Rblas.dll for Sandy and Ivy bridges on Windows shortly, and would certainly like to hear from anyone else using OpenBLAS and R on Windows. The post New version of OpenBLAS released appeared first on Strange Attractors.

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Bayesian analysis: Comparing algorithms Part 1?

August 22, 2011
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Bayesian analysis: Comparing algorithms Part 1?

I recently had the opportunity to engage in some Bayesian analysis at work. I was able to state the problem in terms of the lognormal distribution, and took advantage of JAGS and its integration with "R" using the R2jags package. The client was very ha...

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R-bloggers – a recommendation

May 18, 2011
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R-bloggers – a recommendation

As I decided to try and blog a little more often now, and touch on "R" every now and then, I decided to take R-bloggers up on their standing offer to include R-related feeds at their site. So, everything I tag with "rstats" (you can guess where that ca...

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Why method of moments doesn’t always work

May 15, 2011
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Why method of moments doesn’t always work

A number of years ago, someone asked me "why does my company need actuaries to fit curves, once I have the mean and standard deviation of my losses, isn't that enough?" I explained to him that not every distribution is completely determined by its mean...

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