>>>>> Michael Lachmann <lachm...@eva.mpg.de>
>>>>> on Fri, 19 Aug 2011 02:08:48 +0200 writes:
> On my trials, after eliminating all the extra matrix<->dgeMatrix
> conversions, using expm() and the method below were equally fast.
> Michael
I'm sorry I hadn't time to get into this thread when it was
hot..
and I have told Ravi in the mean time what I would have said
*VERY* early here:
1) There's an 'expm' package --- which will be mentioned on the
Matrix::expm help page in the next version of Matrix ---
that has better and faster algorithms (notably also some
which work with *sparse* matrices!) than the one in Matrix.
2) Matrix::expm() is really more reliable than one of the 19
dubious ways that Peter mentioned correctly,
and, it is really typically not a good idea to use a faster
but considerably less reliable method.
Reliability is *much* *much* more important
than speed, *really*
and we (R-core) have always tried to emphasize this approach
in all contexts.
3) Thanks to Ravi, an upcoming version of the 'expm' package
will also contain a (Krylov space) version of expm()
which is faster for the special case of evaluating
expm(A * t) %*% v {A matrix, v vector, t scalar}
and *still* numerically reliable.
Martin Maechler, ETH Zurich
>> Which is why I said it applies when the system is "diagonalizable".
>> It won't work for non-diagonalizable matrix A, because T (eigenvector
>> matrix) is singular.
>>
>> Ravi. ________________________________________ From: peter dalgaard
>> [pda...@gmail.com] Sent: Thursday, August 18, 2011 6:37 PM To: Ravi
>> Varadhan Cc: 'cbe...@tajo.ucsd.edu'; r-de...@stat.math.ethz.ch;
>> 'nas...@uottawa.ca' Subject: Re: [Rd] An example of very slow
>> computation
>>
>> On Aug 17, 2011, at 23:24 , Ravi Varadhan wrote:
>>
>>> A principled way to solve this system of ODEs is to use the idea of
>>> "fundamental matrix", which is the same idea as that of
>>> diagonalization of a matrix (see Boyce and DiPrima or any ODE text).
>>>
>>> Here is the code for that:
>>>
>>>
>>> nlogL2 <- function(theta){ k <- exp(theta[1:3]) sigma <-
>>> exp(theta[4]) A <- rbind( c(-k[1], k[2]), c( k[1], -(k[2]+k[3])) ) eA
>>> <- eigen(A) T <- eA$vectors r <- eA$values x0 <- c(0,100) Tx0 <- T
>>> %*% x0
>>>
>>> sol <- function(t) 100 - sum(T %*% diag(exp(r*t)) %*% Tx0) pred <-
>>> sapply(dat[,1], sol) -sum(dnorm(dat[,2], mean=pred, sd=sigma,
>>> log=TRUE)) } This is much faster than using expm(A*t), but much
>>> slower than "by hand" calculations since we have to repeatedly do the
>>> diagonalization. An obvious advantage of this fuunction is that it
>>> applies to *any* linear system of ODEs for which the eigenvalues are
>>> real (and negative).
>>
>> I believe this is method 14 of the "19 dubious ways..." (Google for
>> it) and doesn't work for certain non-symmetric A matrices.
>>
>>>
>>> Ravi.
>>>
>>> -------------------------------------------------------
>>> Ravi Varadhan, Ph.D.
>>> Assistant Professor,
>>> Division of Geriatric Medicine and Gerontology School of Medicine Johns
Hopkins University
>>>
>>> Ph. (410) 502-2619
>>> email: rvarad...@jhmi.edu
>>>
>>>
>>> -----Original Message-----
>>> From: r-devel-boun...@r-project.org
[mailto:r-devel-boun...@r-project.org] On Behalf Of Ravi Varadhan
>>> Sent: Wednesday, August 17, 2011 2:33 PM
>>> To: 'cbe...@tajo.ucsd.edu'; r-de...@stat.math.ethz.ch;
'nas...@uottawa.ca'
>>> Subject: Re: [Rd] An example of very slow computation
>>>
>>> Yes, the culprit is the evaluation of expm(A*t). This is a lazy way of
solving the system of ODEs, where you save analytic effort, but you pay for it
dearly in terms of computational effort!
>>>
>>> Even in this lazy approach, I am sure there ought to be faster ways to
evaluating exponent of a matrix than that in "Matrix" package.
>>>
>>> Ravi.
>>>
>>> -------------------------------------------------------
>>> Ravi Varadhan, Ph.D.
>>> Assistant Professor,
>>> Division of Geriatric Medicine and Gerontology School of Medicine Johns
Hopkins University
>>>
>>> Ph. (410) 502-2619
>>> email: rvarad...@jhmi.edu
>>>
>>> -----Original Message-----
>>> From: r-devel-boun...@r-project.org
[mailto:r-devel-boun...@r-project.org] On Behalf Of cbe...@tajo.ucsd.edu
>>> Sent: Wednesday, August 17, 2011 1:08 PM
>>> To: r-de...@stat.math.ethz.ch
>>> Subject: Re: [Rd] An example of very slow computation
>>>
>>> John C Nash <nas...@uottawa.ca> writes:
>>>
>>>> This message is about a curious difference in timing between two ways
of computing the
>>>> same function. One uses expm, so is expected to be a bit slower, but
"a bit" turned out to
>>>> be a factor of >1000. The code is below. We would be grateful if
anyone can point out any
>>>> egregious bad practice in our code, or enlighten us on why one
approach is so much slower
>>>> than the other.
>>>
>>> Looks like A*t in expm(A*t) is a "matrix".
>>>
>>> 'getMethod("expm","matrix")' coerces it arg to a "Matrix", then calls
>>> expm(), whose method coerces its arg to a "dMatrix" and calls expm(),
>>> whose method coerces its arg to a 'dgeMatrix' and calls expm(), whose
>>> method finally calls '.Call(dgeMatrix_exp, x)'
>>>
>>> Whew!
>>>
>>> The time difference between 'expm( diag(10)+1 )' and 'expm( as(
diag(10)+1,
>>> "dgeMatrix" ))' is a factor of 10 on my box.
>>>
>>> Dunno 'bout the other factor of 100.
>>>
>>> Chuck
>>>
>>>
>>>> The problem arose in an activity to develop guidelines for nonlinear
>>>> modeling in ecology (at NCEAS, Santa Barbara, with worldwide
participants), and we will be
>>>> trying to include suggestions of how to prepare problems like this for
efficient and
>>>> effective solution. The code for nlogL was the "original" from the
worker who supplied the
>>>> problem.
>>>>
>>>> Best,
>>>>
>>>> John Nash
>>>>
>>>>
--------------------------------------------------------------------------------------
>>>>
>>>> cat("mineral-timing.R == benchmark MIN functions in R\n")
>>>> # J C Nash July 31, 2011
>>>>
>>>> require("microbenchmark")
>>>> require("numDeriv")
>>>> library(Matrix)
>>>> library(optimx)
>>>> # dat<-read.table('min.dat', skip=3, header=FALSE)
>>>> # t<-dat[,1]
>>>> t <- c(0.77, 1.69, 2.69, 3.67, 4.69, 5.71, 7.94, 9.67, 11.77,
17.77,
>>>> 23.77, 32.77, 40.73, 47.75, 54.90, 62.81, 72.88, 98.77, 125.92, 160.19,
>>>> 191.15, 223.78, 287.70, 340.01, 340.95, 342.01)
>>>>
>>>> # y<-dat[,2] # ?? tidy up
>>>> y<- c(1.396, 3.784, 5.948, 7.717, 9.077, 10.100, 11.263, 11.856,
12.251, 12.699,
>>>> 12.869, 13.048, 13.222, 13.347, 13.507, 13.628, 13.804, 14.087,
14.185, 14.351,
>>>> 14.458, 14.756, 15.262, 15.703, 15.703, 15.703)
>>>>
>>>>
>>>> ones<-rep(1,length(t))
>>>> theta<-c(-2,-2,-2,-2)
>>>>
>>>>
>>>> nlogL<-function(theta){
>>>> k<-exp(theta[1:3])
>>>> sigma<-exp(theta[4])
>>>> A<-rbind(
>>>> c(-k[1], k[2]),
>>>> c( k[1], -(k[2]+k[3]))
>>>> )
>>>> x0<-c(0,100)
>>>> sol<-function(t)100-sum(expm(A*t)%*%x0)
>>>> pred<-sapply(dat[,1],sol)
>>>> -sum(dnorm(dat[,2],mean=pred,sd=sigma, log=TRUE))
>>>> }
>>>>
>>>> getpred<-function(theta, t){
>>>> k<-exp(theta[1:3])
>>>> sigma<-exp(theta[4])
>>>> A<-rbind(
>>>> c(-k[1], k[2]),
>>>> c( k[1], -(k[2]+k[3]))
>>>> )
>>>> x0<-c(0,100)
>>>> sol<-function(tt)100-sum(expm(A*tt)%*%x0)
>>>> pred<-sapply(t,sol)
>>>> }
>>>>
>>>> Mpred <- function(theta) {
>>>> # WARNING: assumes t global
>>>> kvec<-exp(theta[1:3])
>>>> k1<-kvec[1]
>>>> k2<-kvec[2]
>>>> k3<-kvec[3]
>>>> # MIN problem terbuthylazene disappearance
>>>> z<-k1+k2+k3
>>>> y<-z*z-4*k1*k3
>>>> l1<-0.5*(-z+sqrt(y))
>>>> l2<-0.5*(-z-sqrt(y))
>>>> val<-100*(1-((k1+k2+l2)*exp(l2*t)-(k1+k2+l1)*exp(l1*t))/(l2-l1))
>>>> } # val should be a vector if t is a vector
>>>>
>>>> negll <- function(theta){
>>>> # non expm version JN 110731
>>>> pred<-Mpred(theta)
>>>> sigma<-exp(theta[4])
>>>> -sum(dnorm(dat[,2],mean=pred,sd=sigma, log=TRUE))
>>>> }
>>>>
>>>> theta<-rep(-2,4)
>>>> fand<-nlogL(theta)
>>>> fsim<-negll(theta)
>>>> cat("Check fn vals: expm =",fand," simple=",fsim,"
diff=",fand-fsim,"\n")
>>>>
>>>> cat("time the function in expm form\n")
>>>> tnlogL<-microbenchmark(nlogL(theta), times=100L)
>>>> tnlogL
>>>>
>>>> cat("time the function in simpler form\n")
>>>> tnegll<-microbenchmark(negll(theta), times=100L)
>>>> tnegll
>>>>
>>>> ftimes<-data.frame(texpm=tnlogL$time, tsimp=tnegll$time)
>>>> # ftimes
>>>>
>>>>
>>>> boxplot(log(ftimes))
>>>> title("Log times in nanoseconds for matrix exponential and simple MIN
fn")
>>>>
>>>
>>> --
>>> Charles C. Berry cbe...@tajo.ucsd.edu
>>>
>>> ______________________________________________
>>> R-devel@r-project.org mailing list
>>> https://stat.ethz.ch/mailman/listinfo/r-devel
>>
>> --
>> Peter Dalgaard, Professor,
>> Center for Statistics, Copenhagen Business School
>> Solbjerg Plads 3, 2000 Frederiksberg, Denmark
>> Phone: (+45)38153501
>> Email: pd....@cbs.dk Priv: pda...@gmail.com
>> "Døden skal tape!" --- Nordahl Grieg
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