check the following options:
ols1 <- function (y, x) {
coef(lm(y ~ x - 1))
}
ols2 <- function (y, x) {
xy <- t(x)%*%y
xxi <- solve(t(x)%*%x)
b <- as.vector(xxi%*%xy)
b
}
ols3 <- function (y, x) {
XtX <- crossprod(x)
Xty <- crossprod(x, y)
solve(XtX, Xty)
}
ols4 <- function (y, x) {
lm.fit(x, y)$coefficients
}
# check timings
MC <- 500
N <- 10000
set.seed(0)
x <- matrix(rnorm(N*MC), N, MC)
y <- matrix(rnorm(N*MC), N, MC)
invisible({gc(); gc(); gc()})
system.time(for (mc in 1:MC) ols1(y[, mc], x[, mc]))
invisible({gc(); gc(); gc()})
system.time(for (mc in 1:MC) ols2(y[, mc], x[, mc]))
invisible({gc(); gc(); gc()})
system.time(for (mc in 1:MC) ols3(y[, mc], x[, mc]))
invisible({gc(); gc(); gc()})
system.time(for (mc in 1:MC) ols4(y[, mc], x[, mc, drop = FALSE]))
I hope it helps.
Best,
Dimitris
ivo welch wrote:
Dear R experts:
I just tried some simple test that told me that hand computing the OLS
coefficients is about 3-10 times as fast as using the built-in lm()
function. (code included below.) Most of the time, I do not care,
because I like the convenience, and I presume some of the time goes
into saving a lot of stuff that I may or may not need. But when I do
want to learn the properties of an estimator whose input contains a
regression, I do care about speed.
What is the recommended fastest way to get regression coefficients in
R? (Is Gentlemen's weighted-least-squares algorithm implemented in a
low-level C form somewhere? that one was always lightning fast for
me.)
regards,
/ivo
bybuiltin = function( y, x ) coef(lm( y ~ x -1 ));
byhand = function( y, x ) {
xy<-t(x)%*%y;
xxi<- solve(t(x)%*%x)
b<-as.vector(xxi%*%xy)
## I will need these later, too:
## res<-y-as.vector(x%*%b)
## soa[i]<-b[2]
## sigmas[i]<-sd(res)
b;
}
MC=500;
N=10000;
set.seed(0);
x= matrix( rnorm(N*MC), nrow=N, ncol=MC );
y= matrix( rnorm(N*MC), nrow=N, ncol=MC );
ptm = proc.time()
for (mc in 1:MC) byhand(y[,mc],x[,mc]);
cat("By hand took ", proc.time()-ptm, "\n");
ptm = proc.time()
for (mc in 1:MC) bybuiltin(y[,mc],x[,mc]);
cat("By built-in took ", proc.time()-ptm, "\n");
______________________________________________
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PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
--
Dimitris Rizopoulos
Assistant Professor
Department of Biostatistics
Erasmus University Medical Center
Address: PO Box 2040, 3000 CA Rotterdam, the Netherlands
Tel: +31/(0)10/7043478
Fax: +31/(0)10/7043014
______________________________________________
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.
