1# 2# lm() via Armadillo -- improving on the previous GSL solution 3# 4# Copyright (C) 2010 Dirk Eddelbuettel and Romain Francois 5# 6# This file is part of Rcpp. 7# 8# Rcpp is free software: you can redistribute it and/or modify it 9# under the terms of the GNU General Public License as published by 10# the Free Software Foundation, either version 2 of the License, or 11# (at your option) any later version. 12# 13# Rcpp is distributed in the hope that it will be useful, but 14# WITHOUT ANY WARRANTY; without even the implied warranty of 15# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the 16# GNU General Public License for more details. 17# 18# You should have received a copy of the GNU General Public License 19# along with Rcpp. If not, see <http://www.gnu.org/licenses/>. 20 21suppressMessages(require(Rcpp)) 22 23## NOTE: This is the old way to compile Rcpp code inline. 24## The code here has left as a historical artifact and tribute to the old way. 25## Please use the code under the "new" inline compilation section. 26 27suppressMessages(require(inline)) 28 29lmArmadillo_old <- function() { 30 src <- ' 31 32 Rcpp::NumericVector yr(Ysexp); 33 Rcpp::NumericVector Xr(Xsexp); 34 std::vector<int> dims = Xr.attr("dim") ; 35 int n = dims[0], k = dims[1]; 36 37 arma::mat X(Xr.begin(), n, k, false); // use advanced armadillo constructors 38 arma::colvec y(yr.begin(), yr.size()); 39 40 arma::colvec coef = solve(X, y); // fit model y ~ X 41 42 arma::colvec resid = y - X*coef; // to compute std. error of the coefficients 43 double sig2 = arma::as_scalar(trans(resid)*resid)/(n-k); // requires Armadillo 0.8.2 or later 44 arma::mat covmat = sig2 * arma::inv(arma::trans(X)*X); 45 46 Rcpp::NumericVector coefr(k), stderrestr(k); 47 for (int i=0; i<k; i++) { // this is easier in RcppArmadillo with proper wrappers 48 coefr[i] = coef[i]; 49 stderrestr[i] = sqrt(covmat(i,i)); 50 } 51 52 return Rcpp::List::create( Rcpp::Named( "coefficients", coefr), 53 Rcpp::Named( "stderr", stderrestr)); 54 ' 55 56 ## turn into a function that R can call 57 fun_old <- cxxfunction(signature(Ysexp="numeric", Xsexp="numeric"), 58 src, 59 includes="#include <armadillo>", 60 plugin="RcppArmadillo") 61} 62 63 64## NOTE: Within this section, the new way to compile Rcpp code inline has been 65## written. Please use the code next as a template for your own project. 66 67lmArmadillo <- function() { 68 69 sourceCpp(code=' 70 #include <RcppArmadillo.h> 71 // [[Rcpp::depends(RcppArmadillo)]] 72 73 // [[Rcpp::export]] 74 Rcpp::List fun(const arma::vec & y, const arma::mat & X){ 75 76 int n = X.n_rows, k = X.n_cols; 77 78 arma::vec coef = solve(X, y); // fit model y ~ X 79 80 arma::vec resid = y - X*coef; // to compute std. error of the coefficients 81 double sig2 = arma::as_scalar(trans(resid)*resid)/(n-k); // requires Armadillo 0.8.2 or later 82 arma::mat covmat = sig2 * arma::inv(arma::trans(X)*X); 83 84 return Rcpp::List::create( Rcpp::Named( "coefficients") = coef, 85 Rcpp::Named( "stderr") = sqrt(arma::diagvec(covmat))); 86 }') 87 88 fun 89} 90