python
One little thing that I think Barry meant to say. If the bottleneck is in your code, you may be able to improve the situation enough by merely rewriting the R code of your function. If that doesn't work, then you can move to C. Patrick Burns patrick at burns-stat.com +44 (0)20 8525 0696 http://www.burns-stat.com (home of "The R Inferno" and "A Guide for the Unwilling S User")
Barry Rowlingson wrote:
On Sat, Nov 21, 2009 at 2:29 PM, Jean Legeande <jean.legeande at gmail.com> wrote:
Dear R users, I would like to make my R code for MCMC faster. It is possible to integrate C code into R but I think C is too complicated for me. I would need a C introduction only for MCMC and I do not know if such a thing exists. I was thinking of Python (and scipy). Where could I read about its integration into R ? How developed are the statistical packages in Python ? I could not find a Python package on the web with functions to simulate Wishart, or multivariate gamma or student distributions. Since I am a little bit lost, I write this message to the R help list. Sorry for these naive questions and thanks for your help.
Have you done a profile of your MCMC code to see where the bottleneck is? Without doing that first any effort could be a total waste of time. R can do a lot of it's calculations at the same level as C, so if 80% of your time is spent inverting matrices then converting to Python or C (or even assembly language) isn't going to help much since R's matrix inversion is done using C code (and quite possibly very optimised C code with maybe some assembly language too). So do a profile (see ?Rprof) and work out the bottleneck. It might be one of your functions, in which case just re-writing that in C and linking to R (see programmers guide and a good C book) will do the job. My hunch is that Python and R run at about the same speed, and both use C libraries for speedups (Python primarily via the numpy package). You can call the GSL from Python, and there are probably tricks for getting the distributions you want: http://www.mailinglistarchive.com/help-gsl at gnu.org/msg00096.html describes how to get samples from a Wishart. However using the GSL from Python probably wont be much faster than using R because again it's all at the C level already. Did I suggest you profile your code? Barry
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