inst/examples/FastLM/lmGSL.R

In jjallaire/Rcpp: Seamless R and C++ Integration

#
# lm() via GNU GSL -- building on something from the Intro to HPC tutorials
#
# Copyright (C) 2010 Dirk Eddelbuettel and Romain Francois
#
# This file is part of Rcpp.
#
# Rcpp is free software: you can redistribute it and/or modify it
# under the terms of the GNU General Public License as published by
# the Free Software Foundation, either version 2 of the License, or
# (at your option) any later version.
#
# Rcpp is distributed in the hope that it will be useful, but
# WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
# GNU General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with Rcpp.  If not, see <http://www.gnu.org/licenses/>.

suppressMessages(require(Rcpp))
suppressMessages(require(inline))

lmGSL <- function() {

    src <- '

    Rcpp::NumericVector Yr(Ysexp);
    Rcpp::NumericMatrix Xr(Xsexp);

    int i,j,n = Xr.nrow(), k = Xr.ncol();
    double chisq;

    gsl_matrix *X = gsl_matrix_alloc (n, k);
    gsl_vector *y = gsl_vector_alloc (n);
    gsl_vector *c = gsl_vector_alloc (k);
    gsl_matrix *cov = gsl_matrix_alloc (k, k);
    for (i = 0; i < n; i++) {
        for (j = 0; j < k; j++)
            gsl_matrix_set (X, i, j, Xr(i,j));
        gsl_vector_set (y, i, Yr(i));
    }

    gsl_multifit_linear_workspace *work = gsl_multifit_linear_alloc (n, k);
    gsl_multifit_linear (X, y, c, cov, &chisq, work);
    gsl_multifit_linear_free (work);

    Rcpp::NumericVector coefr(k), stderrestr(k);
    for (i = 0; i < k; i++) {
        coefr(i) = gsl_vector_get(c,i);
        stderrestr(i) = sqrt(gsl_matrix_get(cov,i,i));
    }
    gsl_matrix_free (X);
    gsl_vector_free (y);
    gsl_vector_free (c);
    gsl_matrix_free (cov);


    return Rcpp::List::create( Rcpp::Named( "coef", coefr),
                               Rcpp::Named( "stderr", stderrestr));
    '

    ## turn into a function that R can call
    ## compileargs redundant on Debian/Ubuntu as gsl headers are found anyway
    fun <- cfunction(signature(Ysexp="numeric", Xsexp="numeric"),
                     src,
                     includes="#include <gsl/gsl_multifit.h>",
                     Rcpp=TRUE,
                     cppargs="-I/usr/include",
                     libargs="-lgsl -lgslcblas")
}