52 lines
1.5 KiB
R
52 lines
1.5 KiB
R
#!/usr/bin/env r
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#
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# A faster lm() replacement based on Armadillo
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#
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# This improves on the previous version using GNU GSL
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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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source("lmArmadillo.R")
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checkLmArmadillo <- function(y, X) {
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fun <- lmArmadillo()
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res <- fun(y, X)
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fit <- lm(y ~ X - 1)
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rc <- all.equal( as.numeric(res[[1]]), as.numeric(coef(fit))) &
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all.equal( as.numeric(res[[2]]), as.numeric(coef(summary(fit))[,2]))
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invisible(rc)
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}
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timeLmArmadillo <- function(y, X, N) {
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fun <- lmArmadillo();
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meantime <- mean(replicate(N, system.time(fun(y, X))["elapsed"]), trim=0.05)
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}
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set.seed(42)
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n <- 5000
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k <- 9
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X <- cbind( rep(1,n), matrix(rnorm(n*k), ncol=k) )
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truecoef <- 1:(k+1)
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y <- as.numeric(X %*% truecoef + rnorm(n))
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N <- 100
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stopifnot(checkLmArmadillo(y, X))
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mt <- timeLmArmadillo(y, X, N)
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cat("Armadillo: Running", N, "simulations yields (trimmed) mean time", mt, "\n")
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