Fastest non-overlapping binning mean function out there?

Hi Henrik,

On 10/02/2012 05:19 PM, Henrik Bengtsson wrote:
Hi,

I'm looking for a super-duper fast mean/sum binning implementation
available in R, and before implementing z = binnedMeans(x y) in native
code myself, does any one know of an existing function/package for
this?  I'm sure it already exists.  So, given data (x,y) and B bins
bx[1] < bx[2] < ... < bx[B] < bx[B+1], I'd like to calculate the
binned means (or sums) 'z' such that z[1] = mean(x[bx[1] <= x & x <
bx[2]]), z[2] = mean(x[bx[2] <= x & x < bx[3]]), .... z[B].  Let's
assume there are no missing values and 'x' and 'bx' is already
ordered.  The length of 'x' is in the order of 10,000-millions.  The
number of elements in each bin vary.
You didn't say if you have a lot of bins or not. If you don't have a lot
of bins (e.g. < 10000), something like

   aggregate(x, by=list(bin=findInterval(x, bx)), FUN=mean)

might not be too bad:

   > x <- seq(0, 8, by=0.1)
   > bx <- c(2, 2.5, 4, 5.8)
   > aggregate(x, by=list(bin=findInterval(x, bx)), FUN=mean)
     bin    x
   1   0 0.95
   2   1 2.20
   3   2 3.20
   4   3 4.85
   5   4 6.90
Of course, if you have a lot of bins, using aggregate() is not optimal.
But you can replace it by your own optimized version e.g.:

   ## 'bin' must be a sorted vector of non-negative integers of the
   ## same length as 'x'.
   fast_aggregate_mean <- function(x, bin, nbins)
   {
     bin_count <- tabulate(bin + 1L, nbins=nbins)
     diff(c(0L, cumsum(x)[cumsum(bin_count)])) / bin_count
   }

Then:

   bin <- findInterval(x, bx)
   fast_aggregate_mean(x, bin, nbins=length(bx)+1L)

On my machine this is 100x faster or more than using aggregate() when
the number of bins is > 100k. Memory usage is also reduced a lot.
Another benefit of using fast_aggregate_mean() over aggregate() is
that all the bins are represented in the output (aggregate() ignores
empty bins).

Cheers,
H.
I didn't try it on a 10,000-millions-elements vector though (and I've
no idea how I could do this).

H.

Thanks,

Henrik

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Fastest non-overlapping binning mean function out there?

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