119 lines
3.8 KiB
R
119 lines
3.8 KiB
R
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#
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# lm() via GNU GSL -- building on something from the Intro to HPC tutorials
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#
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# Copyright (C) 2010 Dirk Eddelbuettel and Romain Francois
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#
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# This file is part of Rcpp.
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#
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# Rcpp is free software: you can redistribute it and/or modify it
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# under the terms of the GNU General Public License as published by
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# the Free Software Foundation, either version 2 of the License, or
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# (at your option) any later version.
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#
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# Rcpp is distributed in the hope that it will be useful, but
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# WITHOUT ANY WARRANTY; without even the implied warranty of
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# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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# GNU General Public License for more details.
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#
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# You should have received a copy of the GNU General Public License
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# along with Rcpp. If not, see <http://www.gnu.org/licenses/>.
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suppressMessages(require(Rcpp))
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## NOTE: This is the old way to compile Rcpp code inline.
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## The code here has left as a historical artifact and tribute to the old way.
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## Please use the code under the "new" inline compilation section.
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suppressMessages(require(inline))
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lmGSL_old <- function() {
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src <- '
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Rcpp::NumericVector Yr(Ysexp);
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Rcpp::NumericMatrix Xr(Xsexp);
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int i,j,n = Xr.nrow(), k = Xr.ncol();
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double chisq;
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gsl_matrix *X = gsl_matrix_alloc (n, k);
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gsl_vector *y = gsl_vector_alloc (n);
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gsl_vector *c = gsl_vector_alloc (k);
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gsl_matrix *cov = gsl_matrix_alloc (k, k);
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for (i = 0; i < n; i++) {
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for (j = 0; j < k; j++)
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gsl_matrix_set (X, i, j, Xr(i,j));
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gsl_vector_set (y, i, Yr(i));
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}
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gsl_multifit_linear_workspace *work = gsl_multifit_linear_alloc (n, k);
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gsl_multifit_linear (X, y, c, cov, &chisq, work);
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gsl_multifit_linear_free (work);
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Rcpp::NumericVector coefr(k), stderrestr(k);
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for (i = 0; i < k; i++) {
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coefr(i) = gsl_vector_get(c,i);
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stderrestr(i) = sqrt(gsl_matrix_get(cov,i,i));
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}
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gsl_matrix_free (X);
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gsl_vector_free (y);
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gsl_vector_free (c);
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gsl_matrix_free (cov);
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return Rcpp::List::create( Rcpp::Named( "coef", coefr),
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Rcpp::Named( "stderr", stderrestr));
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'
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## turn into a function that R can call
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## compileargs redundant on Debian/Ubuntu as gsl headers are found anyway
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fun_old <- cxxfunction(signature(Ysexp="numeric", Xsexp="numeric"),
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src,
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includes="#include <gsl/gsl_multifit.h>",
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plugin="RcppGSL")
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}
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## NOTE: Within this section, the new way to compile Rcpp code inline has been
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## written. Please use the code next as a template for your own project.
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lmGSL <- function() {
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sourceCpp(code='
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#include <RcppGSL.h>
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#include <gsl/gsl_multifit.h>
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// [[Rcpp::depends(RcppGSL)]]
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// [[Rcpp::export]]
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Rcpp::List fun(Rcpp::NumericVector Yr, Rcpp::NumericMatrix Xr){
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int i, j, n = Xr.nrow(), k = Xr.ncol();
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double chisq;
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RcppGSL::Matrix X(n, k); // allocate a gsl_matrix<double> of dim n, k
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RcppGSL::Vector y(n); // allocate a gsl_vector<double> of length n
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RcppGSL::Vector c(k); // allocate a gsl_vector<double> of length k
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RcppGSL::Matrix cov(k, k); // allocate a gsl_matrix<double> of dim k, k
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for (i = 0; i < n; i++) {
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for (j = 0; j < k; j++)
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X(i, j) = Xr(i, j);
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y[i] = Yr(i); // Note vector requires [] not ()
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}
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gsl_multifit_linear_workspace *work = gsl_multifit_linear_alloc (n, k);
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gsl_multifit_linear (X, y, c, cov, &chisq, work);
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gsl_multifit_linear_free (work);
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Rcpp::NumericVector coefr(k), stderrestr(k);
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for (i = 0; i < k; i++) {
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coefr(i) = c[i];
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stderrestr(i) = sqrt(cov(i,i));
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}
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return Rcpp::List::create( Rcpp::Named("coef") = coefr,
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Rcpp::Named("stderr") = stderrestr);
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}')
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fun
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}
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