lme4 performance tips

library("knitr")
knitr::opts_chunk$set(
  )
load(system.file("testdata", "lmerperf.rda", package="lme4"))
library("lme4")

overview

In general lme4's algorithms scale reasonably well with the number of observations and the number of random effect levels. The biggest bottleneck is in the number of top-level parameters, i.e. covariance parameters for lmer fits or glmer fits with nAGQ=0 [length(getME(model, "theta"))], covariance and fixed-effect parameters for glmer fits with nAGQ>0. lme4 does a derivative-free (by default) nonlinear optimization step over the top-level parameters.

For this reason, "maximal" models involving interactions of factors with several levels each (e.g. (stimulus*primer | subject)) will be slow (as well as hard to estimate): if the two factors have f1 and f2 levels respectively, then the corresponding lmer fit will need to estimate (f1*f2)*(f1*f2+1)/2 top-level parameters.

lme4 automatically constructs the random effects model matrix ($Z$) as a sparse matrix. At present it does not allow an option for a sparse fixed-effects model matrix ($X$), which is useful if the fixed-effect model includes factors with many levels. Treating such factors as random effects instead, and using the modular framework (?modular) to fix the variance of this random effect at a large value, will allow it to be modeled using a sparse matrix. (The estimates will converge to the fixed-effect case in the limit as the variance goes to infinity.)

setting calc.derivs = FALSE

After finding the best-fit model parameters (in most cases using derivative-free algorithms such as Powell's BOBYQA or Nelder-Mead, [g]lmer does a series of finite-difference calculations to estimate the gradient and Hessian at the MLE. These are used to try to establish whether the model has converged reliably, and (for glmer) to estimate the standard deviations of the fixed effect parameters (a less accurate approximation is used if the Hessian estimate is not available. As currently implemented, this computation takes 2*n^2 - n + 1 additional evaluations of the deviance, where n is the total number of top-level parameters. Using control = [g]lmerControl(calc.derivs = FALSE) to turn off this calculation can speed up the fit, e.g.

m0 <- lmer(y ~ service * dept + (1|s) + (1|d), InstEval,
     control = lmerControl(calc.derivs = FALSE))
## based on loaded lmerperf file
t1 <- fitlist$basic$times[["elapsed"]]
t2 <- fitlist$noderivs$times[["elapsed"]]
pct <- round(100*(t1-t2)/t1)
e1 <- fitlist$basic$optinfo$feval

Benchmark results for this run with and without derivatives show an approximately r pct% speedup (from r round(t1) to r round(t2) seconds on a Linux machine with AMD Ryzen 9 2.2 GHz processors). This is a case with only 2 top-level parameters, but the fit took only r e1 deviance function evaluations (see m0@optinfo$feval) to converge, so the effect of the additional 7 ($n^2 -n +1$) function evaluations is noticeable.

choice of optimizer

gg <- glmerControl()$optimizer

lmer uses the "r lmerControl()$optimizer" optimizer by default; glmer uses a combination of r gg[1] (nAGQ=0 stage) and r gg[2]. These are reasonably good choices, although switching glmer fits to nloptwrap for both stages may be worth a try.

allFits() gives an easy way to check the timings of a large range of optimizers:

tt <- sort(ss$times[,"elapsed"])
tt2 <- data.frame(optimizer = names(tt), elapsed = tt)
rownames(tt2) <- NULL
knitr::kable(tt2)

As expected, bobyqa - both the implementation in the minqa package [[g]lmerControl(optimizer="bobyqa")] and the one in nloptwrap [optimizer="nloptwrap" or optimizer="nloptwrap", optCtrl = list(algorithm = "NLOPT_LN_BOBYQA"] - are fastest.

changing optimizer tolerances

Occasionally, the default optimizer stopping tolerances are unnecessarily strict. These tolerances are specific to each optimizer, and can be set via the optCtrl argument in [g]lmerControl. To see the defaults for nloptwrap:

environment(nloptwrap)$defaultControl
## based on loaded lmerperf file
t1 <- fitlist$basic$times[["elapsed"]]
t2 <- fitlist$noderivs$times[["elapsed"]]
t3 <- fitlist$nlopt_sloppy$times[["elapsed"]]
pct <- round(100*(t1-t2)/t1)
e1 <- fitlist$basic$optinfo$feval

In the particular case of the InstEval example, this doesn't help much - loosening the tolerances to ftol_abs=1e-4, xtol_abs=1e-4 only saves 2 functional evaluations and a few seconds, while loosening the tolerances still further gives convergence warnings.

parallelization/BLAS

There are not many options for parallelizing lme4. Optimized BLAS does not seem to help much.

other packages



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lme4 documentation built on June 22, 2021, 9:07 a.m.