[Rd] Fastest non-overlapping binning mean function out there?

[Hervé Pagès]

On 10/02/2012 06:11 PM, Hervé Pagès wrote:
> 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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>> https://stat.ethz.ch/mailman/listinfo/r-devel
>>
>

-- 
Hervé Pagès

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