I'm trying to write a sort of analogue of R's setdiff() function in C++ using RcppArmadillo. My rather crude approach:
// [[Rcpp::export]]
arma::uvec my_setdiff(arma::uvec x, arma::uvec y){
// Coefficientes of unsigned integer vector y form a subset of the coefficients of unsigned integer vector x.
// Returns set difference between the coefficients of x and those of y
int n2 = y.n_elem;
uword q1;
for (int j=0 ; j<n2 ; j++){
q1 = find(x==y[j]);
x.shed_row(q1);
}
return x;
}
fails at compilation time. The error reads:
fnsauxarma.cpp:622:29: error: no matching function for call to ‘arma::Col<double>::shed_row(const arma::mtOp<unsigned int, arma::mtOp<unsigned int, arma::Col<double>, arma::op_rel_eq>, arma::op_find>)’
I really have no idea what's going on, any help or comments would be greatly appreciated.
The problem is that arma::find returns a uvec, and doesn't know how to make the implicit conversion to arma::uword, as pointed out by #mtall. You can help the compiler out by using the templated arma::conv_to<T>::from() function. Also, I included another version of my_setdiff that returns an Rcpp::NumericVector because although the first version returns the correct values, it's technically a matrix (i.e. it has dimensions), and I assume you would want this to be as compatible with R's setdiff as possible. This is accomplished by setting the dim attribute of the return vector to NULL, using R_NilValue and the Rcpp::attr member function.
#include <RcppArmadillo.h>
// [[Rcpp::depends(RcppArmadillo)]]
// [[Rcpp::export]]
arma::uvec my_setdiff(arma::uvec& x, const arma::uvec& y){
for (size_t j = 0; j < y.n_elem; j++) {
arma::uword q1 = arma::conv_to<arma::uword>::from(arma::find(x == y[j]));
x.shed_row(q1);
}
return x;
}
// [[Rcpp::export]]
Rcpp::NumericVector my_setdiff2(arma::uvec& x, const arma::uvec& y){
for (size_t j = 0; j < y.n_elem; j++) {
arma::uword q1 = arma::conv_to<arma::uword>::from(arma::find(x == y[j]));
x.shed_row(q1);
}
Rcpp::NumericVector x2 = Rcpp::wrap(x);
x2.attr("dim") = R_NilValue;
return x2;
}
/*** R
x <- 1:8
y <- 2:6
R> all.equal(setdiff(x,y), my_setdiff(x,y))
#[1] "Attributes: < target is NULL, current is list >" "target is numeric, current is matrix"
R> all.equal(setdiff(x,y), my_setdiff2(x,y))
#[1] TRUE
R> setdiff(x,y)
#[1] 1 7 8
R> my_setdiff(x,y)
# [,1]
# [1,] 1
# [2,] 7
# [3,] 8
R> my_setdiff2(x,y)
#[1] 1 7 8
*/
Edit:
For the sake of completeness, here is a more robust version of setdiff than the two implementations presented above:
// [[Rcpp::depends(RcppArmadillo)]]
#include <RcppArmadillo.h>
// [[Rcpp::export]]
Rcpp::NumericVector arma_setdiff(arma::uvec& x, arma::uvec& y){
x = arma::unique(x);
y = arma::unique(y);
for (size_t j = 0; j < y.n_elem; j++) {
arma::uvec q1 = arma::find(x == y[j]);
if (!q1.empty()) {
x.shed_row(q1(0));
}
}
Rcpp::NumericVector x2 = Rcpp::wrap(x);
x2.attr("dim") = R_NilValue;
return x2;
}
/*** R
x <- 1:10
y <- 2:8
R> all.equal(setdiff(x,y), arma_setdiff(x,y))
#[1] TRUE
X <- 1:6
Y <- c(2,2,3)
R> all.equal(setdiff(X,Y), arma_setdiff(X,Y))
#[1] TRUE
*/
The previous versions would throw an error if you passed them vectors with non-unique elements, e.g.
R> my_setdiff2(X,Y)
error: conv_to(): given object doesn't have exactly one element
To solve the problem and more closely mirror R's setdiff, we just make x and y unique. Additionally, I switched out the arma::conv_to<>::from with q1(0) (where q1 is now a uvec instead of a uword), because uvec's are just a vector of uwords, and the explicit cast seemed a little inelegant.
I've used std::set_difference from the STL instead, converting back and forth from arma::uvec.
#include <RcppArmadillo.h>
#include <algorithm>
// [[Rcpp::depends(RcppArmadillo)]]
// [[Rcpp::export]]
arma::uvec std_setdiff(arma::uvec& x, arma::uvec& y) {
std::vector<int> a = arma::conv_to< std::vector<int> >::from(arma::sort(x));
std::vector<int> b = arma::conv_to< std::vector<int> >::from(arma::sort(y));
std::vector<int> out;
std::set_difference(a.begin(), a.end(), b.begin(), b.end(),
std::inserter(out, out.end()));
return arma::conv_to<arma::uvec>::from(out);
}
Edit: I thought a performance comparison might be in order. The difference becomes smaller when the relative sizes of the sets are in the opposite order.
a <- sample.int(350)
b <- sample.int(150)
microbenchmark::microbenchmark(std_setdiff(a, b), arma_setdiff(a, b))
> Unit: microseconds
> expr min lq mean median uq max neval cld
> std_setdiff(a, b) 11.548 14.7545 17.29930 17.107 19.245 36.779 100 a
> arma_setdiff(a, b) 60.727 65.0040 71.77804 66.714 72.702 138.133 100 b
The Questioner might have already got the answer. However, the following template version may be more general. This is equivalent to setdiff function in Matlab
If P and Q are two sets, then their difference is given by P - Q or Q - P. If P = {1, 2, 3, 4} and Q = {4, 5, 6}, P - Q means elements of P which are not in Q. i.e., in the above example P - Q = {1, 2, 3}.
/* setdiff(t1, t2) is similar to setdiff() function in MATLAB. It removes the common elements and
gives the uncommon elements in the vectors t1 and t2. */
template <typename T>
T setdiff(T t1, T t2)
{
int size_of_t1 = size(t1);
int size_of_t2 = size(t2);
T Intersection_Elements;
uvec iA, iB;
intersect(Intersection_Elements, iA, iB, t1, t2);
for (int i = 0; i < size(iA); i++)
{
t1(iA(i)) = 0;
}
for (int i = 0; i < size(iB); i++)
{
t2(iB(i)) = 0;
}
T t1_t2_vec(size_of_t1 + size_of_t2);
t1_t2_vec = join_vert(t1, t2);
T DiffVec = nonzeros(t1_t2_vec);
return DiffVec;
}
Any suggestions for improving the performance of the algorithm are welcome.
Related
I am trying to write a Sequential Monte Carlo function in Rcpp, and I having the following problem:
I have created a vector the following way:
NumericVector R_t(Part*Ttau);
and I want to fill ONLY Part blocks of the vector. It should be like:
for (int i=0;i<Part;i++){
R_t[i]=runif(1,0,2);
}
and the second time I'd like to have
for (int i=Part+1;i<2*Part;i++){
R_t[i]=runif(1,0,2);
}
But it does not seem to work. I could replace the old values with the new ones in each iteration, but I need the old ones for each iteration. When I try to compile, I get the following error:
cannot convert 'Rcpp::NUmericVector {aka Rcpp::Vector<14, Rcpp::PrserveStorage>}' to 'Rcpp::traits::storage_type<14>:: type {aka double}' in assignment
Would it be easier to replace the vector with a 2-d matrix with dimensions Part and Ttau? I would like to avoid this last option.
Sorry if this has been answered, but I did not find anything close to this for rcpp
You are trying to assign a length-one vector to a location that expects a double, so use [0] to access the first element: runif(1,0,2)[0]. However, you can also just replace your loop with Rcpp sugar constructs to avoid repeatedly generating one random value at a time:
#include <Rcpp.h>
// [[Rcpp::export]]
Rcpp::NumericVector fill_vector(R_xlen_t n, R_xlen_t m) {
Rcpp::NumericVector res(n);
for (R_xlen_t i = 0; i < m; i++) {
res[i] = Rcpp::runif(1, 0, 2)[0];
}
return res;
}
// [[Rcpp::export]]
Rcpp::NumericVector fill_vector2(R_xlen_t n, R_xlen_t m) {
Rcpp::NumericVector res(n);
res[Rcpp::seq(0, m - 1)] = Rcpp::runif(m, 0, 2);
return res;
}
/***R
set.seed(123)
fill_vector(7, 4)
#[1] 0.5751550 1.5766103 0.8179538 1.7660348 0.0000000 0.0000000 0.0000000
set.seed(123)
fill_vector2(7, 4)
#[1] 0.5751550 1.5766103 0.8179538 1.7660348 0.0000000 0.0000000 0.0000000
set.seed(123)
c(runif(4, 0, 2), rep(0, 3))
#[1] 0.5751550 1.5766103 0.8179538 1.7660348 0.0000000 0.0000000 0.0000000
*/
You have two options when it comes to RNGs:
Use Rcpp sugar to match runif(n,a,b) in R via Rcpp::runif(n,a,b) (returns NumericVector or
Create your own loop to mimic runif(n,a,b) by drawing each time from R::runif(a,b)
#nrussell demoed how to use 1 by subsetting the vector via Rcpp::runif(n,a,b)[0] but left out approach 2.
Below is how to go about approach 2:
#include <Rcpp.h>
// [[Rcpp::export]]
Rcpp::NumericVector draw_vector(int n, int m) {
Rcpp::NumericVector res(n);
for (int i = 0; i < m; i++) {
res[i] = R::runif(0.0, 2.0); // Draw a single element that is a double
}
return res;
}
/***R
set.seed(123)
draw_vector(7, 4)
*/
This gives:
[1] 0.5751550 1.5766103 0.8179538 1.7660348 0.0000000 0.0000000 0.0000000
In R, I could extract matrix elements based on their indices as follow
> m <- matrix(1:6, nrow = 3)
> m
[,1] [,2]
[1,] 1 4
[2,] 2 5
[3,] 3 6
> row_index <- c(1, 2)
> col_index <- c(2, 2)
> m[cbind(row_index, col_index)]
[1] 4 5
Is there a native way to do this is Armadillo / Rcpp::Armadillo? The best I could do is a custom function that uses the row and column indices to calculate the element index (see below). I'm mostly worried that custom function won't perform as well.
#include <RcppArmadillo.h>
using namespace Rcpp;
// [[Rcpp::depends(RcppArmadillo)]]
// [[Rcpp::export]]
NumericVector Rsubmatrix(arma::uvec rowInd, arma::uvec colInd, arma::mat m) {
arma::uvec ind = (colInd - 1) * m.n_rows + (rowInd - 1);
arma::vec ret = m.elem(ind);
return wrap(ret);
}
/*** R
Rsubmatrix(row_index, col_index, m)
/
From the docs:
X.submat( vector_of_row_indices, vector_of_column_indices )
but that seems to only return matrix blocks. For non-simply-connected regions, I think your solution is the best, but you don't really need a function,
m.elem((colInd - 1) * m.n_rows + (rowInd - 1));
returns the vector without any problem. For clarity you could define a function to deal with the row+col to indices conversion,
inline arma::uvec arr2ind(arma::uvec c, arma::uvec r, int nrow)
{
return c * nrow + r;
}
// m.elem(arr2ind(colInd - 1, rowInd - 1, m.n_rows));
Let's try this...
In particular, you can subset by rowInd and colInd through writing your own loop to use the .(i,j) subset operator. Otherwise, the only other option is the solution that you proposed to start the question off...
#include <RcppArmadillo.h>
using namespace Rcpp;
// [[Rcpp::depends(RcppArmadillo)]]
// Optimized OP method
// [[Rcpp::export]]
arma::vec Rsubmatrix(const arma::mat& m, const arma::uvec& rowInd, const arma::uvec& colInd) {
return m.elem((colInd - 1) * m.n_rows + (rowInd - 1));
}
// Proposed Alternative
// [[Rcpp::export]]
arma::rowvec get_elements(const arma::mat& m, const arma::uvec& rowInd, const arma::uvec& colInd){
unsigned int n = rowInd.n_elem;
arma::rowvec out(n);
for(unsigned int i = 0; i < n; i++){
out(i) = m(rowInd[i]-1,colInd[i]-1);
}
return out;
}
Where:
m <- matrix(1:6, nrow = 3)
row_index <- c(1, 2)
col_index <- c(2, 2)
m[cbind(row_index, col_index)]
Gives:
[1] 4 5
And we have:
get_elements(m, row_index, col_index)
Giving:
[,1] [,2]
[1,] 4 5
Edit
Microbenchmark:
microbenchmark(Rsubmatrix(m, row_index, col_index), get_elements(m, row_index, col_index), times = 1e4)
Gives:
Unit: microseconds
expr min lq mean median uq max neval
Rsubmatrix(m, row_index, col_index) 2.836 3.111 4.129051 3.281 3.502 5016.652 10000
get_elements(m, row_index, col_index) 2.699 2.947 3.436844 3.115 3.335 716.742 10000
The methods are both close time wise. Note that the later should be better as it avoids having two separate loops (1. to calculate & 2. to subset) and an additional temporary vector created to store the results.
Edit
Per armadillo 7.200.0 release, the sub2ind() function has received the ability to take matrix notation. This function takes a matrix subscript via a 2 x n matrix, where n denotes the number of elements to subset, and converts them into element notation.
#include <RcppArmadillo.h>
// [[Rcpp::depends(RcppArmadillo)]]
// [[Rcpp::export]]
arma::rowvec matrix_locs(arma::mat M, arma::umat locs) {
arma::uvec eids = sub2ind( size(M), locs ); // Obtain Element IDs
arma::vec v = M.elem( eids ); // Values of the Elements
return v.t(); // Transpose to mimic R
}
Calling in R:
cpp_locs <- locs - 1 # Shift indices from R to C++
(cpp_locs <- t(cpp_locs)) # Transpose matrix for 2 x n form
matrix_locs(M, cpp_locs) # Subset the matrix
As a follow up to this question, I've decided to go down the route of Rcpp vs convoluted syntax in R. I think this will provide better readability (and possibly also be faster).
Let's say I have a list of data.frames (which I can easily convert to matrices via as). Given prior answe -r -s, this seems the best approach.
# input data
my_list <- vector("list", length= 10)
set.seed(65L)
for (i in 1:10) {
my_list[[i]] <- data.frame(matrix(rnorm(10000),ncol=10))
# alternatively
# my_list[[i]] <- matrix(rnorm(10000),ncol=10)
}
What's the appropriate way to extract rows from the matrices? The goal is to create a list with each list element containing a list of the nrth row of each of the original list's data.frames. I've tried several different syntaxes and keep getting errors:
#include <Rcpp.h>
using namespace Rcpp;
using namespace std:
List foo(const List& my_list, const int& n_geo) {
int n_list = my_list.size();
std::vector<std::vector<double> > list2(n_geo);
// needed code....
return wrap(list2);
}
options
for (int i = 0; i < n_list; i++) {
for (int nr = 0; nr < n_geo; nr++) {
list2[nr][i] = my_list[i].row(nr);
// or list2[nr].push_back(my_list[i].row(nr));
// or list2[nr].push_back(as<double>(my_list[i].row(nr)));
// or list2[nr].push_back(as<double>(my_list[i](nr, _)));
}
}
// or:
NumericMatrix a = my_list[1]
...
NumericMatrix j = my_list[10]
for (int nr = 0; nr < n_geo; nr++) {
list2[nr][1] = // as above
}
None of these are working for me. What am I doing wrong? Here are the errors I receive from my above syntax choices.
error: no matching function for call to 'as(Rcpp::Matrix<14>::Row)'
or
error: cannot convert 'Rcpp::Matrix<14>::Row {aka Rcpp::MatrixRow<14>}' to 'double' in assignment
Here is one way to do it:
#include <Rcpp.h>
// x[[nx]][ny,] -> y[[ny]][[nx]]
// [[Rcpp::export]]
Rcpp::List Transform(Rcpp::List x) {
R_xlen_t nx = x.size(), ny = Rcpp::as<Rcpp::NumericMatrix>(x[0]).nrow();
Rcpp::List y(ny);
for (R_xlen_t iy = 0; iy < ny; iy++) {
Rcpp::List tmp(nx);
for (R_xlen_t ix = 0; ix < nx; ix++) {
Rcpp::NumericMatrix mtmp = Rcpp::as<Rcpp::NumericMatrix>(x[ix]);
tmp[ix] = mtmp.row(iy);
}
y[iy] = tmp;
}
return y;
}
/*** R
L1 <- lapply(1:10, function(x) {
matrix(rnorm(20), ncol = 5)
})
L2 <- lapply(1:nrow(L1[[1]]), function(x) {
lapply(L1, function(y) unlist(y[x,]))
})
all.equal(L2, Transform(L1))
#[1] TRUE
microbenchmark::microbenchmark(
"R" = lapply(1:nrow(L1[[1]]), function(x) {
lapply(L1, function(y) unlist(y[x,]))
}),
"Cpp" = Transform(L1),
times = 200L)
#Unit: microseconds
#expr min lq mean median uq max neval
# R 254.660 316.627 383.92739 347.547 392.7705 1909.097 200
#Cpp 18.314 26.007 71.58795 30.230 38.8650 945.167 200
*/
I'm not sure how this will scale; I think it is just an inherently inefficient transformation. As per my comment at the top of the source, it seems like you are just doing a sort of coordinate swap -- the nyth row of the nxth element of the input list becomes the nxth element of the nyth element of the output list:
x[[nx]][ny,] -> y[[ny]][[nx]]
To address the errors you were getting, Rcpp::List is a generic object - technically an Rcpp::Vector<VECSXP> - so when you try to do, e.g.
my_list[i].row(nr)
the compiler doesn't know that my_list[i] is a NumericMatrix. Therefore, you have to make an explicit cast with Rcpp::as<>,
Rcpp::NumericMatrix mtmp = Rcpp::as<Rcpp::NumericMatrix>(x[ix]);
tmp[ix] = mtmp.row(iy);
I just used matrix elements in the example data to simplify things. In practice you are probably better off coercing data.frames to matrix objects directly in R than trying to do it in C++; it will be much simpler, and most likely, the coercion is just calling underlying C code, so there isn't really anything to be gained trying to do it otherwise.
I should also point out that if you are using a Rcpp::List of homogeneous types, you can squeeze out a little more performance with Rcpp::ListOf<type>. This will allow you to skip the Rcpp::as<type> conversions done above:
typedef Rcpp::ListOf<Rcpp::NumericMatrix> MatList;
// [[Rcpp::export]]
Rcpp::List Transform2(MatList x) {
R_xlen_t nx = x.size(), ny = x[0].nrow();
Rcpp::List y(ny);
for (R_xlen_t iy = 0; iy < ny; iy++) {
Rcpp::List tmp(nx);
for (R_xlen_t ix = 0; ix < nx; ix++) {
tmp[ix] = x[ix].row(iy);
}
y[iy] = tmp;
}
return y;
}
/*** R
L1 <- lapply(1:10, function(x) {
matrix(rnorm(20000), ncol = 100)
})
L2 <- lapply(1:nrow(L1[[1]]), function(x) {
lapply(L1, function(y) unlist(y[x,]))
})
microbenchmark::microbenchmark(
"R" = lapply(1:nrow(L1[[1]]), function(x) {
lapply(L1, function(y) unlist(y[x,]))
}),
"Transform" = Transform(L1),
"Transform2" = Transform2(L1),
times = 200L)
#Unit: microseconds
# expr min lq mean median uq max neval
# R 6049.594 6318.822 7604.871 6707.242 8592.510 64005.190 200
# Transform 928.468 1041.936 3130.959 1166.819 1659.745 71552.284 200
#Transform2 850.912 957.918 1694.329 1061.183 2856.724 4502.065 200
*/
I wish to implement a simple split-apply-combine routine in Rcpp where a dataset (matrix) is split up into groups, and then the groupwise column sums are returned. This is a procedure easily implemented in R, but often takes quite some time. I have managed to implement an Rcpp solution that beats the performance of R, but I wonder if I can further improve upon it. To illustrate, here some code, first for the use of R:
n <- 50000
k <- 50
set.seed(42)
X <- matrix(rnorm(n*k), nrow=n)
g=rep(1:8,length.out=n )
use.for <- function(mat, ind){
sums <- matrix(NA, nrow=length(unique(ind)), ncol=ncol(mat))
for(i in seq_along(unique(ind))){
sums[i,] <- colSums(mat[ind==i,])
}
return(sums)
}
use.apply <- function(mat, ind){
apply(mat,2, function(x) tapply(x, ind, sum))
}
use.dt <- function(mat, ind){ # based on Roland's answer
dt <- as.data.table(mat)
dt[, cvar := ind]
dt2 <- dt[,lapply(.SD, sum), by=cvar]
as.matrix(dt2[,cvar:=NULL])
}
It turns out that the for-loops is actually quite fast and is the easiest (for me) to implement with Rcpp. It works by creating a submatrix for each group and then calling colSums on the matrix. This is implemented using RcppArmadillo:
#include <RcppArmadillo.h>
// [[Rcpp::depends(RcppArmadillo)]]
using namespace Rcpp;
using namespace arma;
// [[Rcpp::export]]
arma::mat use_arma(arma::mat X, arma::colvec G){
arma::colvec gr = arma::unique(G);
int gr_n = gr.n_rows;
int ncol = X.n_cols;
arma::mat out = zeros(gr_n, ncol);
for(int g=0; g<gr_n; g++){
int g_id = gr(g);
arma::uvec subvec = find(G==g_id);
arma::mat submat = X.rows(subvec);
arma::rowvec res = sum(submat,0);
out.row(g) = res;
}
return out;
}
However, based on answers to this question, I learned that creating copies is expensive in C++ (just as in R), but that loops are not as bad as they are in R. Since the arma-solution relies on creating matrixes (submat in the code) for each group, my guess is that avoiding this will speed up the process even further. Hence, here a second implementation based on Rcpp only using a loop:
#include <Rcpp.h>
using namespace Rcpp;
// [[Rcpp::export]]
NumericMatrix use_Rcpp(NumericMatrix X, IntegerVector G){
IntegerVector gr = unique(G);
std::sort(gr.begin(), gr.end());
int gr_n = gr.size();
int nrow = X.nrow(), ncol = X.ncol();
NumericMatrix out(gr_n, ncol);
for(int g=0; g<gr_n; g++){
int g_id = gr(g);
for (int j = 0; j < ncol; j++) {
double total = 0;
for (int i = 0; i < nrow; i++) {
if (G(i) != g_id) continue; // not sure how else to do this
total += X(i, j);
}
out(g,j) = total;
}
}
return out;
}
Benchmarking these solutions, including the use_dt version provided by #Roland (my previous version discriminted unfairly against data.table), as well as the dplyr-solution suggested by #beginneR, yields the following:
library(rbenchmark)
benchmark(use.for(X,g), use.apply(X,g), use.dt(X,g), use.dplyr(X,g), use_arma(X,g), use_Rcpp(X,g),
+ columns = c("test", "replications", "elapsed", "relative"), order = "relative", replications = 1000)
test replications elapsed relative
# 5 use_arma(X, g) 1000 29.65 1.000
# 4 use.dplyr(X, g) 1000 42.05 1.418
# 3 use.dt(X, g) 1000 56.94 1.920
# 1 use.for(X, g) 1000 60.97 2.056
# 6 use_Rcpp(X, g) 1000 113.96 3.844
# 2 use.apply(X, g) 1000 301.14 10.156
My intution (use_Rcpp better than use_arma) did not turn out right. Having said that, I guess that the line if (G(i) != g_id) continue; in my use_Rcpp function slows down everything. I am happy to learn about alternatives to set this up.
I am happy that I have achieved the same task in half the time it takes R to do it, but maybe the several Rcpp is much faster than R-examples have messed with my expectations, and I am wondering if I can speed this up even more. Does anyone have an idea? I also welcome any programming / coding comments in general since I am relatively new to Rcpp and C++.
No, it's not the for loop that you need to beat:
library(data.table)
#it doesn't seem fair to include calls to library in benchmarks
#you need to do that only once in your session after all
use.dt2 <- function(mat, ind){
dt <- as.data.table(mat)
dt[, cvar := ind]
dt2 <- dt[,lapply(.SD, sum), by=cvar]
as.matrix(dt2[,cvar:=NULL])
}
all.equal(use.dt(X,g), use.dt2(X,g))
#TRUE
benchmark(use.for(X,g), use.apply(X,g), use.dt(X,g), use.dt2(X,g),
columns = c("test", "replications", "elapsed", "relative"),
order = "relative", replications = 50)
# test replications elapsed relative
#4 use.dt2(X, g) 50 3.12 1.000
#1 use.for(X, g) 50 4.67 1.497
#3 use.dt(X, g) 50 7.53 2.413
#2 use.apply(X, g) 50 17.46 5.596
Maybe you're looking for (the oddly named) rowsum
library(microbenchmark)
use.rowsum = rowsum
and
> all.equal(use.for(X, g), use.rowsum(X, g), check.attributes=FALSE)
[1] TRUE
> microbenchmark(use.for(X, g), use.rowsum(X, g), times=5)
Unit: milliseconds
expr min lq median uq max neval
use.for(X, g) 126.92876 127.19027 127.51403 127.64082 128.06579 5
use.rowsum(X, g) 10.56727 10.93942 11.01106 11.38697 11.38918 5
Here's my critiques with in-line comments for your Rcpp solution.
#include <Rcpp.h>
using namespace Rcpp;
// [[Rcpp::export]]
NumericMatrix use_Rcpp(NumericMatrix X, IntegerVector G){
// Rcpp has a sort_unique() function, which combines the
// sort and unique steps into one, and is often faster than
// performing the operations separately. Try `sort_unique(G)`
IntegerVector gr = unique(G);
std::sort(gr.begin(), gr.end());
int gr_n = gr.size();
int nrow = X.nrow(), ncol = X.ncol();
// This constructor zero-initializes memory (kind of like
// making a copy). You should use:
//
// NumericMatrix out = no_init(gr_n, ncol)
//
// to ensure the memory is allocated, but not zeroed.
//
// EDIT: We don't have no_init for matrices right now, but you can hack
// around that with:
//
// NumericMatrix out(Rf_allocMatrix(REALSXP, gr_n, ncol));
NumericMatrix out(gr_n, ncol);
for(int g=0; g<gr_n; g++){
// subsetting with operator[] is cheaper, so use gr[g] when
// you can be sure bounds checks are not necessary
int g_id = gr(g);
for (int j = 0; j < ncol; j++) {
double total = 0;
for (int i = 0; i < nrow; i++) {
// similarily here
if (G(i) != g_id) continue; // not sure how else to do this
total += X(i, j);
}
// IIUC, you are filling the matrice row-wise. This is slower as
// R matrices are stored in column-major format, and so filling
// matrices column-wise will be faster.
out(g,j) = total;
}
}
return out;
}
I am new to C++ programming (using Rcpp for seamless integration into R), and I would appreciate some advice on how to speed up some calculations.
Consider the following example:
testmat <- matrix(1:9, nrow=3)
testvec <- 1:3
testmat*testvec
# [,1] [,2] [,3]
#[1,] 1 4 7
#[2,] 4 10 16
#[3,] 9 18 27
Here, R recycled testvec so that, loosely speaking, testvec "became" a matrix of the same dimensions as testmat for the purpose of this multiplication. Then the Hadamard product is returned. I wish to implement this behavior using Rcpp, that is I want that each element of the i-th row in the matrix testmat is multiplied with the i-th element of the vector testvec. My benchmarks tell me that my implementations are extremely slow, and I would appreciate advise on how to speed this up. Here my code:
First, using Eigen:
#include <RcppEigen.h>
// [[Rcpp::depends(RcppEigen)]]
using namespace Rcpp;
using namespace Eigen;
// [[Rcpp::export]]
NumericMatrix E_matvecprod_elwise(NumericMatrix Xs, NumericVector ys){
Map<MatrixXd> X(as<Map<MatrixXd> >(Xs));
Map<VectorXd> y(as<Map<VectorXd> >(ys));
int k = X.cols();
int n = X.rows();
MatrixXd Y(n,k) ;
// here, I emulate R's recycling. I did not find an easier way of doing this. Any hint appreciated.
for(int i = 0; i < k; ++i) {
Y.col(i) = y;
}
MatrixXd out = X.cwiseProduct(Y);
return wrap(out);
}
Here my implementation using Armadillo (adjusted to follow Dirk's example, see answer below):
#include <RcppArmadillo.h>
// [[Rcpp::depends(RcppArmadillo)]]
using namespace Rcpp;
using namespace arma;
// [[Rcpp::export]]
arma::mat A_matvecprod_elwise(const arma::mat & X, const arma::vec & y){
int k = X.n_cols ;
arma::mat Y = repmat(y, 1, k) ; //
arma::mat out = X % Y;
return out;
}
Benchmarking these solutions using R, Eigen or Armadillo shows that both Eigen and Armadillo are about 2 times slower than R. Is there a way to speed these computations up or to get at least as fast as R? Are there more elegant ways of setting this up? Any advise is appreciated and welcome. (I also encourage tangential remarks about programming style in general as I am new to Rcpp / C++.)
Here some reproducable benchmarks:
# for comparison, define R function:
R_matvecprod_elwise <- function(mat, vec) mat*vec
n <- 50000
k <- 50
X <- matrix(rnorm(n*k), nrow=n)
e <- rnorm(n)
benchmark(R_matvecprod_elwise(X, e), A2_matvecprod_elwise(X, e), E_matvecprod_elwise(X,e),
columns = c("test", "replications", "elapsed", "relative"), order = "relative", replications = 1000)
This yields
test replications elapsed relative
1 R_matvecprod_elwise(X, e) 1000 10.89 1.000
2 A_matvecprod_elwise(X, e) 1000 26.87 2.467
3 E_matvecprod_elwise(X, e) 1000 27.73 2.546
As you can see, my Rcpp-solutions perform quite miserably. Any way to do it better?
If you want to speed up your calculations you will have to be a little careful about not making copies. This usually means sacrificing readability. Here is a version which makes no copies and modifies matrix X inplace.
// [[Rcpp::export]]
NumericMatrix Rcpp_matvecprod_elwise(NumericMatrix & X, NumericVector & y){
unsigned int ncol = X.ncol();
unsigned int nrow = X.nrow();
int counter = 0;
for (unsigned int j=0; j<ncol; j++) {
for (unsigned int i=0; i<nrow; i++) {
X[counter++] *= y[i];
}
}
return X;
}
Here is what I get on my machine
> library(microbenchmark)
> microbenchmark(R=R_matvecprod_elwise(X, e), Arma=A_matvecprod_elwise(X, e), Rcpp=Rcpp_matvecprod_elwise(X, e))
Unit: milliseconds
expr min lq median uq max neval
R 8.262845 9.386214 10.542599 11.53498 12.77650 100
Arma 18.852685 19.872929 22.782958 26.35522 83.93213 100
Rcpp 6.391219 6.640780 6.940111 7.32773 7.72021 100
> all.equal(R_matvecprod_elwise(X, e), Rcpp_matvecprod_elwise(X, e))
[1] TRUE
For starters, I'd write the Armadillo version (interface) as
#include <RcppArmadillo.h>
// [[Rcpp::depends(RcppArmadillo)]]
using namespace Rcpp;
using namespace arma;
// [[Rcpp::export]]
arama::mat A_matvecprod_elwise(const arma::mat & X, const arma::vec & y){
int k = X.n_cols ;
arma::mat Y = repmat(y, 1, k) ; //
arma::mat out = X % Y;
return out;
}
as you're doing an additional conversion in and out (though the wrap() gets added by the glue code). The const & is notional (as you learned via your last question, a SEXP is a pointer object that is lightweight to copy) but better style.
You didn't show your benchmark results so I can't comment on the effect of matrix size etc pp. I suspect you might get better answers on rcpp-devel than here. Your pick.
Edit: If you really want something cheap and fast, I would just do this:
// [[Rcpp::export]]
mat cheapHadamard(mat X, vec y) {
// should row dim of X versus length of Y here
for (unsigned int i=0; i<y.n_elem; i++) X.row(i) *= y(i);
return X;
}
which allocates no new memory and will hence be faster, and probably be competitive with R.
Test output:
R> cheapHadamard(testmat, testvec)
[,1] [,2] [,3]
[1,] 1 4 7
[2,] 4 10 16
[3,] 9 18 27
R>
My apologies for giving an essentially C answer to a C++ question, but as has been suggested the solution generally lies in the efficient BLAS implementation of things. Unfortunately, BLAS itself lacks a Hadamard multiply so you would have to implement your own.
Here is a pure Rcpp implementation that basically calls C code. If you want to make it proper C++, the worker function can be templated but for most applications using R that isn't a concern. Note that this also operates "in-place", which means that it modifies X without copying it.
// it may be necessary on your system to uncomment one of the following
//#define restrict __restrict__ // gcc/clang
//#define restrict __restrict // MS Visual Studio
//#define restrict // remove it completely
#include <Rcpp.h>
using namespace Rcpp;
#include <cstdlib>
using std::size_t;
void hadamardMultiplyMatrixByVectorInPlace(double* restrict x,
size_t numRows, size_t numCols,
const double* restrict y)
{
if (numRows == 0 || numCols == 0) return;
for (size_t col = 0; col < numCols; ++col) {
double* restrict x_col = x + col * numRows;
for (size_t row = 0; row < numRows; ++row) {
x_col[row] *= y[row];
}
}
}
// [[Rcpp::export]]
NumericMatrix C_matvecprod_elwise_inplace(NumericMatrix& X,
const NumericVector& y)
{
// do some dimension checking here
hadamardMultiplyMatrixByVectorInPlace(X.begin(), X.nrow(), X.ncol(),
y.begin());
return X;
}
Here is a version that makes a copy first. I don't know Rcpp well enough to do this natively and not incur a substantial performance hit. Creating and returning a NumericMatrix(numRows, numCols) on the stack causes the code to run about 30% slower.
#include <Rcpp.h>
using namespace Rcpp;
#include <cstdlib>
using std::size_t;
#include <R.h>
#include <Rdefines.h>
void hadamardMultiplyMatrixByVector(const double* restrict x,
size_t numRows, size_t numCols,
const double* restrict y,
double* restrict z)
{
if (numRows == 0 || numCols == 0) return;
for (size_t col = 0; col < numCols; ++col) {
const double* restrict x_col = x + col * numRows;
double* restrict z_col = z + col * numRows;
for (size_t row = 0; row < numRows; ++row) {
z_col[row] = x_col[row] * y[row];
}
}
}
// [[Rcpp::export]]
SEXP C_matvecprod_elwise(const NumericMatrix& X, const NumericVector& y)
{
size_t numRows = X.nrow();
size_t numCols = X.ncol();
// do some dimension checking here
SEXP Z = PROTECT(Rf_allocVector(REALSXP, (int) (numRows * numCols)));
SEXP dimsExpr = PROTECT(Rf_allocVector(INTSXP, 2));
int* dims = INTEGER(dimsExpr);
dims[0] = (int) numRows;
dims[1] = (int) numCols;
Rf_setAttrib(Z, R_DimSymbol, dimsExpr);
hadamardMultiplyMatrixByVector(X.begin(), X.nrow(), X.ncol(), y.begin(), REAL(Z));
UNPROTECT(2);
return Z;
}
If you're curious about usage of restrict, it means that you as the programmer enter a contract with the compiler that different bits of memory do not overlap, allowing the compiler to make certain optimizations. The restrict keyword is part of C++11 (and C99), but many compilers added extensions to C++ for earlier standards.
Some R code to benchmark:
require(rbenchmark)
n <- 50000
k <- 50
X <- matrix(rnorm(n*k), nrow=n)
e <- rnorm(n)
R_matvecprod_elwise <- function(mat, vec) mat*vec
all.equal(R_matvecprod_elwise(X, e), C_matvecprod_elwise(X, e))
X_dup <- X + 0
all.equal(R_matvecprod_elwise(X, e), C_matvecprod_elwise_inplace(X_dup, e))
benchmark(R_matvecprod_elwise(X, e),
C_matvecprod_elwise(X, e),
C_matvecprod_elwise_inplace(X, e),
columns = c("test", "replications", "elapsed", "relative"),
order = "relative", replications = 1000)
And the results:
test replications elapsed relative
3 C_matvecprod_elwise_inplace(X, e) 1000 3.317 1.000
2 C_matvecprod_elwise(X, e) 1000 7.174 2.163
1 R_matvecprod_elwise(X, e) 1000 10.670 3.217
Finally, the in-place version may actually be faster, as the repeated multiplications into the same matrix can cause some overflow mayhem.
Edit:
Removed the loop unrolling, as it provided no benefit and was otherwise distracting.