[R] performance: zoo's rollapply() vs inline

[Achim Zeileis]

On Mon, 23 Mar 2009, Ken-JP wrote:

> zoo's rollapply() function appears to be extremely useful for plugging in a
> function on-the-fly to run over a window.  With inline, there is a lot more
> coding and room for error, and the code is less portable because the user
> has to have R compiling set up or it won't work.
>
> However, rollapply() seems to be really slow.  Several orders of magnitude
> slower than inline, in fact.  I don't know how to call R functions from C
> inline yet, but it looks like I need to learn, because the speed difference
> is just way too big.

It depends what you want to do with it. If you use rollapply() for 
operations that you could do in a vectorized way then it is certainly not 
a good idea (see below). Important functions, especially rolling means, 
are special cased and are much faster than a regular rollapply().

> The results of a quick test are shown below.
>
> I am totally open to suggestions on how to do windowed calculations, in
> general, but it looks like I may have to bite the bullet and learn all the
> intricacies of calling R from C.
>
> NOTE:  pchg.inline() is not shown because it's much longer/complex than
> pchg.rollapply(), but I am doing no optimizations.
>
> ------------------------------------------------------------------------------------------------------------
>
> pchg.rollapply <-   function(this, m, shift=1, ...)  {
>  rollapply( m, shift+1, function(x) { x[shift+1]/x[1] - 1; }, align="right"
> );
> }

This is really a bad example because your function is flawed (no 
dependence on "this") and it is not clear to me why you would want to use 
rollapply(). Just doing
   m/lag(m, -shift) - 1
should do the job.
Z

>> dim( m )
> [1] 4518  800
>> system.time( x.rollapply <- pchg.rollapply( m, 20 ) )
>   user  system elapsed
> 146.94    0.81  157.03
>> system.time( x.inline    <- pchg.inline( m, 20 ) )
>   user  system elapsed
>   0.69    0.00    0.72
>
>
>
> -- 
> View this message in context: http://www.nabble.com/performance%3A--zoo%27s-rollapply%28%29-vs-inline-tp22656214p22656214.html
> Sent from the R help mailing list archive at Nabble.com.
>
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