90 lines
3.1 KiB
R
90 lines
3.1 KiB
R
#
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# lm() via Armadillo -- improving on the previous GSL solution
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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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lmArmadillo_old <- function() {
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src <- '
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Rcpp::NumericVector yr(Ysexp);
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Rcpp::NumericVector Xr(Xsexp);
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std::vector<int> dims = Xr.attr("dim") ;
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int n = dims[0], k = dims[1];
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arma::mat X(Xr.begin(), n, k, false); // use advanced armadillo constructors
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arma::colvec y(yr.begin(), yr.size());
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arma::colvec coef = solve(X, y); // fit model y ~ X
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arma::colvec resid = y - X*coef; // to compute std. error of the coefficients
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double sig2 = arma::as_scalar(trans(resid)*resid)/(n-k); // requires Armadillo 0.8.2 or later
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arma::mat covmat = sig2 * arma::inv(arma::trans(X)*X);
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Rcpp::NumericVector coefr(k), stderrestr(k);
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for (int i=0; i<k; i++) { // this is easier in RcppArmadillo with proper wrappers
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coefr[i] = coef[i];
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stderrestr[i] = sqrt(covmat(i,i));
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}
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return Rcpp::List::create( Rcpp::Named( "coefficients", 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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fun_old <- cxxfunction(signature(Ysexp="numeric", Xsexp="numeric"),
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src,
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includes="#include <armadillo>",
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plugin="RcppArmadillo")
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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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lmArmadillo <- function() {
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sourceCpp(code='
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#include <RcppArmadillo.h>
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// [[Rcpp::depends(RcppArmadillo)]]
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// [[Rcpp::export]]
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Rcpp::List fun(const arma::vec & y, const arma::mat & X){
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int n = X.n_rows, k = X.n_cols;
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arma::vec coef = solve(X, y); // fit model y ~ X
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arma::vec resid = y - X*coef; // to compute std. error of the coefficients
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double sig2 = arma::as_scalar(trans(resid)*resid)/(n-k); // requires Armadillo 0.8.2 or later
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arma::mat covmat = sig2 * arma::inv(arma::trans(X)*X);
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return Rcpp::List::create( Rcpp::Named( "coefficients") = coef,
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Rcpp::Named( "stderr") = sqrt(arma::diagvec(covmat)));
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}')
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fun
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}
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