On Feb 6, 2011, at 10:28 AM, Rohit Pandey wrote:
Hi,
I have been using R for close to two years now and have grown quite
comfortable with the language. I am presently trying to implement an
optimization routine in R (Newton Rhapson). I have some R functions
that
calculate the gradient and hessian (pre requisite matrices) fairly
efficiently. Now, I have to call this function iteratively until some
convergance criterion is reached. I think the standard method of
doing this
in most programming languages is a while loop. However, I know R can
get
pretty slow when you use loops. In order to make this efficient, I
want to
transfer this part of my code to a more efficient programming
language like
c++ or c. However, I have been trying to learn this all day without
any
luck. I found a package called Rcpp that makes this easier. However,
it
seems some functional knowledge of writing R packages is a pre
requisite. I
tried to follow the standard manual for doing this, but could not
find a
simple example to get me started. I know I am supposed to make a cpp
file
and put it some where before it can be called from R, but I'm
confused as to
how this can be done.
Dirk Eddelbuettel has 8 vignettes linked from his Rcpp page:
http://dirk.eddelbuettel.com/code/rcpp.html
And reading further you will see about 20 packages written with Rcpp.
And there is a mailing list link which I had originally sought on the
main Mailing List page (unsuccessfully):
http://lists.r-forge.r-project.org/pipermail/rcpp-devel/
--
David.
My requirement is to start with a parameter vector, update it
according to
the gradient and hessian, check if the parameter satisfies some
convergance
criterion and continue doing this until it does. Is there a way to
efficiently do this through an R function (replicate?). The problem
is that
the number of iterations is not fixed. If there is no function in R,
is
there a way I can quickly use Rcpp or some thing to have this last
part of
my code in a C or C++ program which repeatedly calls my R functions
for
updating the parameters?
--
Thanks in advance,
Rohit
Mob: 91 9819926213
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