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