converting loop from R to C++ using Rcpp - c++

Question

I want to improve the speed of some of my R code using Rcpp. However, my knowledge of C++ is very little. So, I checked the documentation provided with Rcpp, and other documents provided at Dirk Eddelbuttel’s site. After reading all the stuff, I tried to execute a simple loop that I wrote in R. unfortunately, I was unable to do it. Here is the R function:
Inverse Wishart
beta = matrix(rnorm(15),ncol=3)
a = rnorm(3)
InW = function(beta,a) {
n = nrow(beta)
p = ncol(beta)
I = diag(rep(1,times = p))
H = matrix(0,nrow=p,ncol=p)
for(i in 1:n){
subBi = beta[i,]
H = H + tcrossprod(a - subBi)
}
H = H + p * I
T = t(chol(chol2inv(chol(H))))
S = 0
for(i in 1:(n+p)){
u <- rnorm(p)
S = S + tcrossprod(T %*% u)
}
D = chol2inv(chol((S)))
ans = list(Dinv = S,D=D)
}
I truly, appreciate if someone can help me as it will serve as starting point in learning Rcpp.

Answer 1

A basic example of RcppArmadillo goes like this,
require(RcppArmadillo)
require(inline)
code <- '
arma::mat beta = Rcpp::as<arma::mat>(beta_);
int n = beta.n_rows; int p = beta.n_cols;
arma::mat Ip = arma::eye<arma::mat>( p, p );
int ii;
double S=0;
for (ii=0; ii<(n+p); ii++) {
S += ii; // dummy calculation
}
return Rcpp::wrap(S);
'
fun <- cxxfunction(signature(beta_ ="matrix"),
code, plugin="RcppArmadillo")
m <- matrix(1:9,3)
fun(m)
and you can browse armadillo's doc to find the more advanced bits and pieces.

Answer 2

an answer to my first question is shown below. It may be not the efficient way but the Rcpp code gives the same results as the R code. I appreciate the help from baptiste.
code <- '<br/>
arma::mat beta = Rcpp::as<arma::mat>(beta_);
arma::rowvec y = Rcpp::as<arma::rowvec>(y_);
int n = beta.n_rows; int p = beta.n_cols;
arma::mat Ip = arma::eye<arma::mat>( p, p );
int ii;
arma::mat H1 = beta, d;
arma::mat H2=H1.zeros(p,p);
arma::rowvec S;
for (ii=0;ii<n;ii++){
S= beta.row(ii);
d = trans(y - S)*(y-S);
H2 = H2 + d ;
}
arma::mat H = chol(H2+p*Ip);
arma::mat Q , R;
qr(Q,R,H);
arma::mat RR = R;
arma::mat TT = trans(chol(solve(trans(RR)*RR,Ip)));
int jj;
arma::mat SS = H1.zeros(p,p);
arma::colvec u;
arma::colvec V;
for(jj=0;jj<(n+p);jj++) {
u = rnorm(p);
V = TT*u;
SS = SS + V * trans(V);
}
arma::mat SS1 = chol(SS);
arma::mat Q1 , R1;
qr(Q1,R1,SS1);
arma::mat SS2 = R1;
arma::mat D = solve(trans(SS2)*SS2,Ip);
return Rcpp::List::create(Rcpp::Named("Dinv")=SS,Rcpp::Named("D")=D);
'
fun = cxxfunction(signature(beta_ ="matrix",y_="numeric"),code, plugin="RcppArmadillo")
m = matrix(rnorm(100),ncol=5)
vec = rnorm(5)
fun(m,vec)