On 09/30/2009 08:51 AM, Abhijit Bera wrote:
Hi Thanks all of you for your suggestions. I will put up my code shortly based on your suggestions. I wonder how the parsing and eval will work when most of my data comes in from an external source like a DB? Probably it would be more efficient to make an object? Hmmmm... maybe it has to be a mix of parsing and eval?
What's in the database ? Is this the data or the R code ? What's wrong with writing your own set of R functions and evaluate calls to these functions instead of basically replicate this in C or C++ or whatever.
Dirk's code certainly is nicer, but would you really do it like that in real life ?
Romain
Yes, the lang4 c idea sucks. mkstring is better. Regards Abhijit On Tue, Sep 29, 2009 at 11:55 PM, Dirk Eddelbuettel<e...@debian.org> wrote:This is so much fun. The C code posted wasn't exactly legible. So here is a new C++ variant that I just committed to the RInside SVN as a new example. And it mine works (against RInide and Rcpp as on CRAN): e...@ron:~/svn/rinside/pkg/inst/examples> ./rinside_sample4 Package 'sn', 0.4-12 (2009-03-21). Type 'help(SN)' for summary information Using the GLPK callable library version 4.37 Title: MV Feasible Portfolio Estimator: covEstimator Solver: solveRquadprog Optimize: minRisk Constraints: LongOnly Portfolio Weights: SBI SPI SII LMI MPI ALT 0.1 0.1 0.1 0.1 0.3 0.3 Covariance Risk Budgets: SBI SPI SII LMI MPI ALT -0.0038 0.1423 0.0125 -0.0058 0.4862 0.3686 Target Return and Risks: mean mu Cov Sigma CVaR VaR 0.0548 0.0548 0.4371 0.4371 1.0751 0.6609 Description: Tue Sep 29 13:43:36 2009 by user: SBI -0.00380065 SPI 0.142261 SII 0.0125242 LMI -0.00576251 MPI 0.486228 ALT 0.368551 e...@ron:~/svn/rinside/pkg/inst/examples> The final few lines are C++ accessing the result, earlier in the code I assign the weight vector from C++ as you desired from C. All with error checking / exception handling and what have in under 60 lines of (IMHO more readable) code -- see below. Dirk // -*- mode: C++; c-indent-level: 4; c-basic-offset: 4; tab-width: 8; -*- // // Another simple example inspired by an r-devel mail by Abhijit Bera // // Copyright (C) 2009 Dirk Eddelbuettel and GPL'ed #include "RInside.h" // for the embedded R via RInside #include "Rcpp.h" // for the R / Cpp interface used for transfer #include<iomanip> int main(int argc, char *argv[]) { try { RInside R(argc, argv); // create an embedded R instance SEXP ans; std::string txt = "suppressMessages(library(fPortfolio))"; if (R.parseEvalQ(txt)) // load library, no return value throw std::runtime_error("R cannot evaluate '" + txt + "'"); txt = "lppData<- 100 * LPP2005.RET[, 1:6]; " "ewSpec<- portfolioSpec(); " "nAssets<- ncol(lppData); "; if (R.parseEval(txt, ans)) // prepare problem throw std::runtime_error("R cannot evaluate '" + txt + "'"); const double dvec[6] = { 0.1, 0.1, 0.1, 0.1, 0.3, 0.3 }; // choose any weights you want const std::vector<double> w(dvec,&dvec[6]); R.assign( w, "weightsvec"); // assign STL vector to R's 'weightsvec' variable txt = "setWeights(ewSpec)<- weightsvec"; if (R.parseEvalQ(txt)) // evaluate assignment throw std::runtime_error("R cannot evaluate '" + txt + "'"); txt = "ewPortfolio<- feasiblePortfolio(data = lppData, spec = ewSpec, constraints = \"LongOnly\"); " "print(ewPortfolio); " "vec<- getCovRiskBudgets(ewportfo...@portfolio)"; if (R.parseEval(txt, ans)) // assign covRiskBudget weights to ans throw std::runtime_error("R cannot evaluate '" + txt + "'"); RcppVector<double> V(ans); // convert SEXP variable to an RcppMatrix R.parseEval("names(vec)", ans); // assign columns names to ans RcppStringVector names(ans); for (int i=0; i<names.size(); i++) { std::cout<< std::setw(16)<< names(i)<< "\t" << std::setw(11)<< V(i)<< "\n"; } } catch(std::exception& ex) { std::cerr<< "Exception caught: "<< ex.what()<< std::endl; } catch(...) { std::cerr<< "Unknown exception caught"<< std::endl; } exit(0); }
-- Romain Francois Professional R Enthusiast +33(0) 6 28 91 30 30 http://romainfrancois.blog.free.fr |- http://tr.im/ztCu : RGG #158:161: examples of package IDPmisc |- http://tr.im/yw8E : New R package : sos `- http://tr.im/y8y0 : search the graph gallery from R ______________________________________________ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel
