[R] Vectorised uniroot function

Mark Clements m@rk@c|ement@ @end|ng |rom k|@@e
Tue Apr 23 14:11:44 CEST 2019

A vectorised uniroot function would be useful for function inversion,
e.g. for quantile functions and random number generation. To address
this, I have implemented rstpm2::vuniroot that adapts the C function
R_zeroin2 for Brent's method for a vectorised objective. The function
currently uses Rcpp, but could be re-implemented using the C API.

As an example, we can now rapidly sample from a proportional hazards
mixture Weibull distribution:

pweibullMixturePH <- function(q, p1, RR, shape1, shape2, scale1=1, scale2=1)
    1 - (p1*pweibull(q, shape1, scale1, lower.tail=FALSE) +
         (1-p1)*pweibull(q, shape2, scale2, lower.tail=FALSE))^RR
rfun <- function(pfun) function(n, ..., lower=1e-5, upper=1e6) {
    u <- runif(n)
    objective <- function(q) pfun(q, ...) - u
    rstpm2::vuniroot(objective, lower=rep(lower,length=n),
rweibullMixturePH <- rfun(pweibullMixturePH)
y <- rweibullMixturePH(n=1e4,p1=0.5,RR=2,shape1=1.5,shape2=0.5)

Has anyone previously developed a similar vectorised uniroot function?
Finally, would this be a useful addition to core R?

-- Mark

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