Bert,
You are absolutely correct: I was wrong not to vectorize in this case.
I am surprised, however, by your remark that sapply() (or really lapply())
is faster than apply() -- is there a reason for this? I would have guessed
that the major difference between the two would have been memory management
since replicate only holds 250 numbers at a time, rather than 2.5e6. I don't
know how memory management is implemented on the C level for R so I might be
entirely wrong about that though.
For UnitRoot: if you go with Bert's code, there's a little typo:
rmat <- matrix(rnorm(2.5e7, nrow=250)) ## each column is a sample of 250
move a parenthesis:
rmat <- matrix(rnorm(2.5e7), nrow=250) ## each column is a sample of 250
Michael Weylandt
On Fri, Aug 5, 2011 at 12:51 PM, Bert Gunter <gunter.ber...@gene.com> wrote:
> Michael:
>
> I'm sorry, but this "advice" is wrong. replicate() **IS** essentially
> a loop: it uses sapply(), which is basically an interpreted loop (with
> suitable caveats that R experts can provide).
>
> The correct advice is: whenever possible, move the loops down to
> underlying C code by vectorizing. In the example below, one can partly
> do this by removing the random number generation from the loop and
> structuring the result as a matrix:
>
> rmat <- matrix(rnorm(2.5e7, nrow=250)) ## each column is a sample of 250
>
> Now one must use apply() -- which is a loop for -- quantile()
>
> out <- apply(rmat,2,quantile, probs = .95)
>
> Unfortunately, in this case, it won't make much difference, as random
> number generation is very fast anyway and the looping for quantile()
> is the same either way. In fact, both versions took almost the same
> time on my computer (replicate() was actually 3 seconds faster --- 48
> vs 51 seconds -- perhaps because sapply() is slightly more efficient
> than apply() ).
>
> As here (I think), one often cannot vectorize and must loop in
> interpreted code, and for this replicate() is fine and yields nice
> clean code. But it's still a loop.
>
> Cheers,
> Bert
>
> On Fri, Aug 5, 2011 at 9:15 AM, R. Michael Weylandt
> <michael.weyla...@gmail.com> wrote:
> > This is a textbook of when NOT to use a loop in R: rather make a function
> > that does what you want and use the replicate function to do it
> repeatedly.
> >
> > f <- function(){
> > return(-1000*quantile(rnorm(250,0,0.2),0.95)
> > }
> >
> > x = replicate(1e5,f())
> >
> > There are your desired numbers.
> >
> > Some general coding principles: firstly, you don't need to convert to
> time
> > series: quantile immediately undoes that so you've just wasted the time
> > doing the coercions each direction. Secondly, the quantiles of c*X are
> > exactly c times the quantiles of X so you can cut down on the
> > multiplications needed by doing the -1000 multiplication after
> > quantilization.
> >
> > Specific to R: don't use loops unless entirely necessary. (And it's
> hardly
> > ever necessary) -- replicate is great for repeated operations, apply is
> > great for looping "over" thins.
> >
> > More broadly, what do you intend to do with the v95 values? There are
> > probably much more efficient ways to get the desired numbers or even
> closed
> > form results. I believe this idea is widely studied as VaR in finance.
> >
> > Feel free to write back if we can be of more help.
> >
> > Hope this helps,
> >
> > Michael Weylandt
> >
> > On Fri, Aug 5, 2011 at 11:35 AM, UnitRoot <akhussa...@gmail.com> wrote:
> >
> >> Hi,
> >> Can someone help me out to create a (for?) loop for the following
> >> procedure:
> >>
> >> x=rnorm(250,0,0.02)
> >> library(timeSeries)
> >> x=timeSeries(x)
> >> P=1000
> >> loss=-P*x
> >> loss
> >> v95=quantile(loss,0.95)
> >> v95
> >>
> >> I would like to generate 100 000 v95 values.
> >> Also, can anybody name a source where I could read up basic programming
> in
> >> R?
> >> Thank you.
> >>
> >> --
> >> View this message in context:
> >> http://r.789695.n4.nabble.com/Loop-noob-question-tp3721500p3721500.html
> >> Sent from the R help mailing list archive at Nabble.com.
> >>
> >> ______________________________________________
> >> R-help@r-project.org mailing list
> >> https://stat.ethz.ch/mailman/listinfo/r-help
> >> PLEASE do read the posting guide
> >> http://www.R-project.org/posting-guide.html
> >> and provide commented, minimal, self-contained, reproducible code.
> >>
> >
> > [[alternative HTML version deleted]]
> >
> > ______________________________________________
> > R-help@r-project.org mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-help
> > PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> > and provide commented, minimal, self-contained, reproducible code.
> >
>
>
>
> --
> "Men by nature long to get on to the ultimate truths, and will often
> be impatient with elementary studies or fight shy of them. If it were
> possible to reach the ultimate truths without the elementary studies
> usually prefixed to them, these would not be preparatory studies but
> superfluous diversions."
>
> -- Maimonides (1135-1204)
>
> Bert Gunter
> Genentech Nonclinical Biostatistics
>
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