Calculate massive covariance matrix in parallel

Speed up covariance calculation for large matrices. The default behavior is the same as cov ('pearson', no NA handling).

Usage

fast_cov(x, y = NULL, col_x = NULL, col_y = NULL, df = NA)

Arguments

x

a numeric vector, matrix or data frame; a matrix is highly recommended to maximize the performance

y

NULL (default) or a vector, matrix or data frame with compatible dimensions to x; the default is equivalent to y = x

col_x

integers indicating the subset indices (columns) of x to calculate the covariance, or NULL to include all the columns; default is NULL

col_y

integers indicating the subset indices (columns) of y to calculate the covariance, or NULL to include all the columns; default is NULL

df

a scalar indicating the degrees of freedom; default is nrow(x)-1

Value

A covariance matrix of x and y. Note that there is no NA handling. Any missing values will lead to NA in the resulting covariance matrices.

Examples

# Set ncores = 2 to comply to CRAN policy. Please don't run this line
ravetools_threads(n_threads = 2L)

x <- matrix(rnorm(400), nrow = 100)

# Call `cov(x)` to compare
fast_cov(x)
#>             [,1]         [,2]         [,3]         [,4]
#> [1,]  1.11343789 -0.018191052  0.111347455 -0.016289440
#> [2,] -0.01819105  1.110481918  0.007465818 -0.009387727
#> [3,]  0.11134745  0.007465818  0.734855745 -0.137734199
#> [4,] -0.01628944 -0.009387727 -0.137734199  1.281456246

# Calculate covariance of subsets
fast_cov(x, col_x = 1, col_y = 1:2)
#>          [,1]        [,2]
#> [1,] 1.113438 -0.01819105

# \donttest{

# Speed comparison, better to use multiple cores (4, 8, or more)
# to show the differences.

ravetools_threads(n_threads = -1)
x <- matrix(rnorm(100000), nrow = 1000)
microbenchmark::microbenchmark(
  fast_cov = {
    fast_cov(x, col_x = 1:50, col_y = 51:100)
  },
  cov = {
    cov(x[,1:50], x[,51:100])
  },
  unit = 'ms', times = 10
)
#> Unit: milliseconds
#>      expr      min       lq     mean   median       uq      max neval
#>  fast_cov 1.331681 1.337001 1.428004 1.350556 1.378608 1.922321    10
#>       cov 5.340258 5.361698 5.461946 5.398627 5.407384 6.108610    10

# }