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,]  1.08752344 -0.05411074 -0.10165651  0.1748222
#> [2,] -0.05411074  1.12428420 -0.02034545 -0.1443692
#> [3,] -0.10165651 -0.02034545  0.91685597 -0.1479509
#> [4,]  0.17482223 -0.14436922 -0.14795088  1.1772617

# Calculate covariance of subsets
fast_cov(x, col_x = 1, col_y = 1:2)
#>          [,1]        [,2]
#> [1,] 1.087523 -0.05411074

# \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 1.352285 1.359488 1.468069 1.405478 1.520448 1.913171    10
#>       cov 5.426709 5.443450 5.618673 5.461329 5.481492 7.051222    10

# }