On 04/11/2011 10:28 AM, Andreas Borg wrote: > Hi Hasan, > > I'd be happy to help you, but I am not able to run your code. You use > commandArgs to retrieve arguments of the R program, but which ones do > you actually provide? > > Best regards, > > Andreas > > Hasan Diwan schrieb: >> I was on vacation the last week and wrote some code to run a 500-day >> correlation between the Nasdaq tracking stock (QQQ) and 191 currency >> pairs >> for 500 days. The initial run took 9 hours(!) and I'd like to make it >> faster. So, I'm including my code below, in hopes that somebody will >> be able >> to figure out how to make it faster, either through parallelisation, >> or by >> making changes. I've marked the places where Rprof showed me it was >> slowing >> down: >> currencyCorrelation <- function(lagtime = 1) { >> require(quantmod) >> >> dataTrack <- getSymbols(commandArgs(trailingOnly=T)[1], >> from='2009-11-21', >> to='2011-04-03') >> stockData <- get(dataTrack) >> currencies <- row.names(oanda.currencies[grep(pattern='oz.', >> fixed=T, x >> =as.vector(oanda.currencies$oanda.df.1.length.oanda.df...2....1.)) == >> F]) >> correlations <- vector() >> values <- list() >> # optimise these loops using the apply family >> for (i in currencies) { >> for (j in currencies) { >> if (i == j) next() >> fx <- getFX(paste(i, j, sep='/'), from='2009-11-20', >> to='2011-04-02') >> # Prepare data by getting rates for market days only >> fx <- get(fx) >> fx <- fx[which(index(fx) %in% index(QQQ$QQQ.Close))] >> correlation <- cor(fx, QQQ$QQQ.Close) >> correlations <- c(correlations, correlation) In this piece of code you concatenate correlation and correlations. Because you dynamically change correllations the operating system is looking for a spot of memory for the object often. Preallocating the space you need, or a bit is also fine, will make this much faster. You can do this by not creating zero-length vectors for 'correlations' and 'vectors' before the start of the loop, but creating them already at the desired length and assign values in the loop, not concatenate. This could possibly speed up your codes by several orders of magnitude.
cheers, Paul >> string <- paste(paste(i,j,sep='/'), correlation, sep=',') >> values <- c(values,paste(string,'\n', sep='')) >> } >> } >> # TODO eliminate NA's >> values <- values[which(correlations[is.na(correlations) == F])] >> correlations <- correlations[is.na(correlations) == F] >> values <- values[order(correlations, decreasing=T)] >> write.table(values, file=commandArgs(trailingOnly=T)[2], sep='', >> qmethod=NULL, quote = F, row.names=F, col.names=F) >> rm('currencies', 'correlations', 'values', 'fx', 'string') >> return() >> } >> lagtime <- as.integer(commandArgs(trailingOnly=T)[3]) >> if (is.na(lagtime)) lagtime <- 1 >> print(paste(Sys.time(), '<--- starting', lagtime, 'day lag currencies >> correlation with', commandArgs(trailingOnly=T)[1], 'from 2009-11-20 to >> 2011-04-03')) >> currencyCorrelation(lagtime) >> print(paste(Sys.time(), '<--- ended, results in', >> commandArgs(trailingOnly=T)[2])) >> >> >> > > -- Paul Hiemstra, MSc Global Climate Division Royal Netherlands Meteorological Institute (KNMI) Wilhelminalaan 10 | 3732 GK | De Bilt | Kamer B 3.39 P.O. Box 201 | 3730 AE | De Bilt tel: +31 30 2206 494 http://intamap.geo.uu.nl/~paul http://nl.linkedin.com/pub/paul-hiemstra/20/30b/770 ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.