Why?

July 1, 2015

useR 2015: Computational

Filed under: R, useR 2015 — csgillespie @ 12:19 pm

These are my initial notes from useR 2015. I will/may revise when I have time.

Computational Performance; Chair: Dirk Eddelbuettel

Running R+Hadoop using Docker Containers (E. James Harner)

Introduction

  • Big data architectures:
    • HDFS/Hadoop: software framework for distributed storage and distributed processing
    • Tachyon/Spark: uses in-memory

Rc2 server (R cloud computing)

  • Has an editor & output panel. Interactive collaboration (Demo)
  • highly scalable
  • 4-tier architecture: client, app server, compute cloud (JSON over BSD sockets for R),
    databases (pgSQL & couchdb)

RC2 Client

  • Sharable project and workspaces
  • Graphs are written to files and moved to the database as blobs
  • Security: A 3 value token is used for auto-logins

Summary

Rc2 is an accessible IDE for students and data scientist to allow real time collaboration. It also acts as a front end to Hadoop and Spark clusters.

Algorithmic Differentiation for Extremum Estimation: An Introduction Using RcppEigen (Matt P. Dziubinski)

Why

  • Parametric model: We want to estimate a parameter by maximizing an objective function
  • No closed formed expressions, so we need to numerically optimize

Algorithms

  • Derivative free: does not rely on knowledge of the objective function
  • Gradient-based: needs the gradient of the objective function
    • Steepest ascent, newton
    • Often exhibit superior convergence rates
    • But getting the gradient can be tricky, e.g. finite difference methods

Algorithmic diffentiation

  • Essentially use the chain rule
  • Need to recode the objective function in Cpp using Rcpp

Improving computational performance with algorithm engineering (Kirill Müller)

Application: activity based microsimulation models

Weighted sampling without replacement

  • Random sample: sample.int
  • Common framework: Subdivide an interval according to probabilities
    • If sampling without replacement, remove sub-interval
  • R uses trivial algorithm with update in O(n)
    • Heap-like data structure
  • Alternative approaches:
    • Rejection sampling
    • One-pass sampling (Efraimidis and Spirakis, 2006)

Statistical matching (data fusion)

  • Use Gower's distance to compare distribution
    • works with interval, ordinal and nominal variables

Please note that the notes/talks section of this post is merely my notes on the
presentation. I may have made mistakes: these notes are not guaranteed to be
correct. Unless explicitly stated, they represent neither my opinions nor the
opinions of my employers. Any errors you can assume to be mine and not the
speaker’s. I’m happy to correct any errors you may spot – just let me know!

Advertisements

Leave a Comment »

No comments yet.

RSS feed for comments on this post. TrackBack URI

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s

Create a free website or blog at WordPress.com.

%d bloggers like this: