On Wed, 2009-03-25 at 16:28 -0400, 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.)
No one has yet mentioned Doug Bates' article in R News on this topic, which compares timings of various methods for least squares computations. Douglas Bates. Least squares calculations in R. R News, 4(1):17-20, June 2004. A Cholesky decomposition solution proved fastest in base R code, with an even faster version developed using sparse matrices and the Matrix package. You can find Doug's article here: http://cran.r-project.org/doc/Rnews/Rnews_2004-1.pdf HTH G > > 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"); > > ______________________________________________ > 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. -- %~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~% Dr. Gavin Simpson [t] +44 (0)20 7679 0522 ECRC, UCL Geography, [f] +44 (0)20 7679 0565 Pearson Building, [e] gavin.simpsonATNOSPAMucl.ac.uk Gower Street, London [w] http://www.ucl.ac.uk/~ucfagls/ UK. WC1E 6BT. [w] http://www.freshwaters.org.uk %~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~%~% ______________________________________________ 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.