zoo's rollapply() function appears to be extremely useful for plugging in a
function on-the-fly to run over a window. With inline, there is a lot more
coding and room for error, and the code is less portable because the user
has to have R compiling set up or it won't work.
However, rollapply() seems to be really slow. Several orders of magnitude
slower than inline, in fact. I don't know how to call R functions from C
inline yet, but it looks like I need to learn, because the speed difference
is just way too big.
The results of a quick test are shown below.
I am totally open to suggestions on how to do windowed calculations, in
general, but it looks like I may have to bite the bullet and learn all the
intricacies of calling R from C.
NOTE: pchg.inline() is not shown because it's much longer/complex than
pchg.rollapply(), but I am doing no optimizations.
------------------------------------------------------------------------------------------------------------
pchg.rollapply <- function(this, m, shift=1, ...) {
rollapply( m, shift+1, function(x) { x[shift+1]/x[1] - 1; }, align="right"
);
}
> dim( m )
[1] 4518 800
> system.time( x.rollapply <- pchg.rollapply( m, 20 ) )
user system elapsed
146.94 0.81 157.03
> system.time( x.inline <- pchg.inline( m, 20 ) )
user system elapsed
0.69 0.00 0.72
--
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