Optimising for Scalability
-1
I have working code in R. I want to optimise it. At the moment I am inverting the matrix using Cholesky decomposition.
X<- matrix(rnorm(10000),20,20)
Y<-rnorm(20)
OSLOG<-function(X,Y,a){
if(a<=0){
print("a must be a positive number")
}else{
X<-as.matrix(X)
Y<-as.matrix(Y)
T<-nrow(X)
N<-ncol(X)
bt<- matrix(0,ncol=1,nrow=N)
At<- diag(0,N)
pred<- matrix(0,nrow=T,ncol=1)
theta0<- rep(1,N)
for (t in 1:T){
xt<-X[t,]
pred[t] <- crossprod(as.matrix(theta0), xt)
Dt <- diag(sqrt(abs(c(theta0))))
D <- outer(diag(Dt),diag(Dt))
At <- At + tcrossprod(xt,xt)
InvA <- chol2inv(chol(diag(a,N) + At*D))
bt <- bt + (Y[t] * xt)
theta0 <- crossprod(InvA *D,bt)
}
res<-postResample(pred = pred, obs = Y)
stats<- as.matrix(res)
quant<-quantile(as.matrix(Y)-as.matrix(pred),probs=c(.25,.50,.75))
return(list(predictions=pred,performance=stats,quantiles=quant))
}
}
OSLOG(X,Y,0.00001)$performance
The above code works perfectly well. Is it possible to use Sharman-Morrison in the above code? Also, any other thing I can do to improve performance?
I tried to improve the performance by using Sharman Morrison inversion. For some reason, I don't get the same result.
By replacing initialisation, InvA in the above code by the following
InvA <- At + tcrossprod(xt,xt)
InvA <- InvA - (tcrossprod(crossprod(InvA ,xt),crossprod(InvA,xt)) / as.numeric(crossprod(xt,crossprod(InvA,xt))+1))
where initialisation is At<- diag(1/a,N), but doing so gives a different result. Can someone help me with this, please?
performance r
asked 1 hour ago
Jamil
11
New contributor
Jamil is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
add a comment |
-1
I have working code in R. I want to optimise it. At the moment I am inverting the matrix using Cholesky decomposition.
X<- matrix(rnorm(10000),20,20)
Y<-rnorm(20)
OSLOG<-function(X,Y,a){
if(a<=0){
print("a must be a positive number")
}else{
X<-as.matrix(X)
Y<-as.matrix(Y)
T<-nrow(X)
N<-ncol(X)
bt<- matrix(0,ncol=1,nrow=N)
At<- diag(0,N)
pred<- matrix(0,nrow=T,ncol=1)
theta0<- rep(1,N)
for (t in 1:T){
xt<-X[t,]
pred[t] <- crossprod(as.matrix(theta0), xt)
Dt <- diag(sqrt(abs(c(theta0))))
D <- outer(diag(Dt),diag(Dt))
At <- At + tcrossprod(xt,xt)
InvA <- chol2inv(chol(diag(a,N) + At*D))
bt <- bt + (Y[t] * xt)
theta0 <- crossprod(InvA *D,bt)
}
res<-postResample(pred = pred, obs = Y)
stats<- as.matrix(res)
quant<-quantile(as.matrix(Y)-as.matrix(pred),probs=c(.25,.50,.75))
return(list(predictions=pred,performance=stats,quantiles=quant))
}
}
OSLOG(X,Y,0.00001)$performance
The above code works perfectly well. Is it possible to use Sharman-Morrison in the above code? Also, any other thing I can do to improve performance?
I tried to improve the performance by using Sharman Morrison inversion. For some reason, I don't get the same result.
By replacing initialisation, InvA in the above code by the following
InvA <- At + tcrossprod(xt,xt)
InvA <- InvA - (tcrossprod(crossprod(InvA ,xt),crossprod(InvA,xt)) / as.numeric(crossprod(xt,crossprod(InvA,xt))+1))
where initialisation is At<- diag(1/a,N), but doing so gives a different result. Can someone help me with this, please?
performance r
asked 1 hour ago
Jamil
11
New contributor
Jamil is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
Welcome to Code Review! Unfortunately this post is off-topic for this site. Please read What topics can I ask about here? - note that it states "If you are looking for feedback on a specific working piece of code...then you are in the right place!" Also, when posting your question, there should have been text on the side that read "Your question must contain code that is already working correctly..." When you have fixed the code, please update it here and it can be reviewed."
– Sᴀᴍ Onᴇᴌᴀ
1 hour ago
The code is working! I am just trying to optimise the code which is clearly on topic. I have updated the question hope it is more clear now.
– Jamil
1 hour ago
add a comment |
-1
-1
-1
I have working code in R. I want to optimise it. At the moment I am inverting the matrix using Cholesky decomposition.
X<- matrix(rnorm(10000),20,20)
Y<-rnorm(20)
OSLOG<-function(X,Y,a){
if(a<=0){
print("a must be a positive number")
}else{
X<-as.matrix(X)
Y<-as.matrix(Y)
T<-nrow(X)
N<-ncol(X)
bt<- matrix(0,ncol=1,nrow=N)
At<- diag(0,N)
pred<- matrix(0,nrow=T,ncol=1)
theta0<- rep(1,N)
for (t in 1:T){
xt<-X[t,]
pred[t] <- crossprod(as.matrix(theta0), xt)
Dt <- diag(sqrt(abs(c(theta0))))
D <- outer(diag(Dt),diag(Dt))
At <- At + tcrossprod(xt,xt)
InvA <- chol2inv(chol(diag(a,N) + At*D))
bt <- bt + (Y[t] * xt)
theta0 <- crossprod(InvA *D,bt)
}
res<-postResample(pred = pred, obs = Y)
stats<- as.matrix(res)
quant<-quantile(as.matrix(Y)-as.matrix(pred),probs=c(.25,.50,.75))
return(list(predictions=pred,performance=stats,quantiles=quant))
}
}
OSLOG(X,Y,0.00001)$performance
The above code works perfectly well. Is it possible to use Sharman-Morrison in the above code? Also, any other thing I can do to improve performance?
I tried to improve the performance by using Sharman Morrison inversion. For some reason, I don't get the same result.
By replacing initialisation, InvA in the above code by the following
InvA <- At + tcrossprod(xt,xt)
InvA <- InvA - (tcrossprod(crossprod(InvA ,xt),crossprod(InvA,xt)) / as.numeric(crossprod(xt,crossprod(InvA,xt))+1))
where initialisation is At<- diag(1/a,N), but doing so gives a different result. Can someone help me with this, please?
performance r
asked 1 hour ago
Jamil
11
New contributor
Jamil is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
I have working code in R. I want to optimise it. At the moment I am inverting the matrix using Cholesky decomposition.
X<- matrix(rnorm(10000),20,20)
Y<-rnorm(20)
OSLOG<-function(X,Y,a){
if(a<=0){
print("a must be a positive number")
}else{
X<-as.matrix(X)
Y<-as.matrix(Y)
T<-nrow(X)
N<-ncol(X)
bt<- matrix(0,ncol=1,nrow=N)
At<- diag(0,N)
pred<- matrix(0,nrow=T,ncol=1)
theta0<- rep(1,N)
for (t in 1:T){
xt<-X[t,]
pred[t] <- crossprod(as.matrix(theta0), xt)
Dt <- diag(sqrt(abs(c(theta0))))
D <- outer(diag(Dt),diag(Dt))
At <- At + tcrossprod(xt,xt)
InvA <- chol2inv(chol(diag(a,N) + At*D))
bt <- bt + (Y[t] * xt)
theta0 <- crossprod(InvA *D,bt)
}
res<-postResample(pred = pred, obs = Y)
stats<- as.matrix(res)
quant<-quantile(as.matrix(Y)-as.matrix(pred),probs=c(.25,.50,.75))
return(list(predictions=pred,performance=stats,quantiles=quant))
}
}
OSLOG(X,Y,0.00001)$performance
The above code works perfectly well. Is it possible to use Sharman-Morrison in the above code? Also, any other thing I can do to improve performance?
I tried to improve the performance by using Sharman Morrison inversion. For some reason, I don't get the same result.
By replacing initialisation, InvA in the above code by the following
InvA <- At + tcrossprod(xt,xt)
InvA <- InvA - (tcrossprod(crossprod(InvA ,xt),crossprod(InvA,xt)) / as.numeric(crossprod(xt,crossprod(InvA,xt))+1))
where initialisation is At<- diag(1/a,N), but doing so gives a different result. Can someone help me with this, please?
performance r
performance r
asked 1 hour ago
Jamil
11
New contributor
Jamil is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
asked 1 hour ago
Jamil
11
New contributor
Jamil is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
edited 8 mins ago
asked 1 hour ago
Jamil
11
New contributor
Jamil is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
asked 1 hour ago
Jamil
11
asked 1 hour ago
Jamil
11
11
New contributor
Jamil is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
New contributor
Jamil is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
Jamil is a new contributor to this site. Take care in asking for clarification, commenting, and answering.
Check out our Code of Conduct.
Welcome to Code Review! Unfortunately this post is off-topic for this site. Please read What topics can I ask about here? - note that it states "If you are looking for feedback on a specific working piece of code...then you are in the right place!" Also, when posting your question, there should have been text on the side that read "Your question must contain code that is already working correctly..." When you have fixed the code, please update it here and it can be reviewed."
– Sᴀᴍ Onᴇᴌᴀ
1 hour ago
The code is working! I am just trying to optimise the code which is clearly on topic. I have updated the question hope it is more clear now.
– Jamil
1 hour ago
add a comment |
Welcome to Code Review! Unfortunately this post is off-topic for this site. Please read What topics can I ask about here? - note that it states "If you are looking for feedback on a specific working piece of code...then you are in the right place!" Also, when posting your question, there should have been text on the side that read "Your question must contain code that is already working correctly..." When you have fixed the code, please update it here and it can be reviewed."
– Sᴀᴍ Onᴇᴌᴀ
1 hour ago
The code is working! I am just trying to optimise the code which is clearly on topic. I have updated the question hope it is more clear now.
– Jamil
1 hour ago
Welcome to Code Review! Unfortunately this post is off-topic for this site. Please read What topics can I ask about here? - note that it states "If you are looking for feedback on a specific working piece of code...then you are in the right place!" Also, when posting your question, there should have been text on the side that read "Your question must contain code that is already working correctly..." When you have fixed the code, please update it here and it can be reviewed."
– Sᴀᴍ Onᴇᴌᴀ
1 hour ago
Welcome to Code Review! Unfortunately this post is off-topic for this site. Please read What topics can I ask about here? - note that it states "If you are looking for feedback on a specific working piece of code...then you are in the right place!" Also, when posting your question, there should have been text on the side that read "Your question must contain code that is already working correctly..." When you have fixed the code, please update it here and it can be reviewed."
– Sᴀᴍ Onᴇᴌᴀ
1 hour ago
The code is working! I am just trying to optimise the code which is clearly on topic. I have updated the question hope it is more clear now.
– Jamil
1 hour ago
The code is working! I am just trying to optimise the code which is clearly on topic. I have updated the question hope it is more clear now.
– Jamil
1 hour ago
add a comment |
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Welcome to Code Review! Unfortunately this post is off-topic for this site. Please read What topics can I ask about here? - note that it states "If you are looking for feedback on a specific working piece of code...then you are in the right place!" Also, when posting your question, there should have been text on the side that read "Your question must contain code that is already working correctly..." When you have fixed the code, please update it here and it can be reviewed."
– Sᴀᴍ Onᴇᴌᴀ
1 hour ago
The code is working! I am just trying to optimise the code which is clearly on topic. I have updated the question hope it is more clear now.
– Jamil
1 hour ago