C

Variable probability Bernoulli outcomes – Fast and Slow

November 1, 2012 | 0 Comments

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. ... [Read more...]

Math Constants in C++

August 14, 2012 | 0 Comments

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... [Read more...]

Using R.Net in an Excel Add in

May 31, 2012 | 0 Comments

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 → [Read more...]

Levenshtein distance in C++ and code profiling in R

March 25, 2012 | 0 Comments

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: ... [Read more...]

simulated annealing for Sudokus [2]

March 16, 2012 | 0 Comments

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 ... [Read more...]

How to save high frequency data in mongodb

February 24, 2012 | 0 Comments

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   [Read more...]

speed of R, C, &tc.

February 2, 2012 | 0 Comments

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 ... [Read more...]

Vectorized R vs Rcpp

February 1, 2012 | 0 Comments

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, ... [Read more...]

the Art of R Programming [guest post]

January 30, 2012 | 0 Comments

(This post is the preliminary version of a book review by Alessandra Iacobucci, to appear in CHANCE. Enjoy [both the review and the book]!) 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 ... [Read more...]

Dennis Ritchie 1941-2011

October 28, 2011 | 0 Comments

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 ... [Read more...]

vRoom vRoom : Speeding up R with C

June 8, 2011 | 0 Comments

Many times you don't want to trouble friends for help with menial tasks like moving furniture. But sometimes you need to step out and ask. Your friends are always happy to help, and after the heavy lifting is done you see how easy it can be. R likes to...
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Unused function parameters

May 8, 2011 | 0 Comments

I have started redoing the source code measurements that appear in my C book, this time using a lot more source, upgraded versions of existing tools, plus some new tools such as Coccinelle and R. The intent is to make the code and data available in a form that is ... [Read more...]

Software tools for data analysis – an overview

February 19, 2011 | 0 Comments

by Szilard Pafka Discussions on various software tools (C, C++, Perl, Python, Unix shell, R, Matlab, SAS, SPSS, Excel, databases, Hadoop etc.) used in data analysis. Szilard Pafka (founder and co-organizer of the Los Angeles R users group) presents an … Continue reading →
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Consuming RdotNET

February 17, 2011 | 0 Comments

In my explorations with R, Mathematica, FreeMat, MatLab, and RapidMiner (now with R support! Yay!), I’m seeing integration of R to be quite useful in building a trading app, as technical analysis is one of R’s fortés. For the sake of brevity, I’...
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Julien on R shortcomings

September 8, 2010 | 0 Comments

Julien Cornebise posted a rather detailed set of comments (from Jasper!) that I thought was interesting and thought-provoking enough (!) to promote to a guest post. Here it is , then, to keep the debate rolling (with my only censoring being the removal of smileys!). (Please keep in mind that I do ...
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Seamless R and C++ integration

July 28, 2010 | 0 Comments

Video of the talk “Seamless R and C++ integration” by Dirk Eddelbuettel at the Los Angeles area R Users Group in March 2010 (to see the video in a larger size, click inside the video but outside the play button):
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plagiarism exposed!

June 14, 2010 | 0 Comments

Last morn, I had the surprise of receiving the following email: This is to inform you that the following abstract has been submitted to the 3rd International Conference of the ERCIM WG on COMPUTING & STATISTICS (ERCIM’10) Ab#: 114 Title: Goodness of Fit Via Mixtures of Beta distributions Keywords: nonparametric estimation, posterior ...
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Computational Statistics

May 9, 2010 | 0 Comments

Do not resort to Monte Carlo methods unnecessarily. When I received this 2009 Springer-Verlag book, Computational Statistics, by James Gentle a while ago, I briefly took a look at the table of contents and decided to have a better look later… Now that I have gone through the whole book, I ...
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AMCMC

November 30, 2009 | 0 Comments

It seems to be something I am looking for: an interface between R and C for Bayesian analysis.http://www.probability.ca/amcmc/
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The most popular programming languages in 2008

October 26, 2008 | 0 Comments

TIOBE has released the newest ranking for the most popular programming language here. Java remains the top popular programming language. C and C++ follow with Java. I dont' see R in this ranking. Maybe it doesn't belong to this group! Maybe I should ... [Read more...]
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