Introduction

The mvnfast R package provides computationally efficient tools related to the multivariate normal and Student's t distributions. The tools are generally faster than those provided by other packages, thanks to the use of C++ code through the Rcpp\RcppArmadillo packages and parallelization through the OpenMP API. The most important functions are:

• rmvn(): simulates multivariate normal random vectors.
• rmvt(): simulates Student's t normal random vectors.
• dmvn(): evaluates the probability density function of a multivariate normal distribution.
• dmvt(): evaluates the probability density function of a multivariate Student's t distribution.
• maha(): evaluates mahalanobis distances.

In the following sections we will benchmark each function against equivalent functions provided by other packages, while in the final section we provide an example application.

Simulating multivariate normal or Student's t random vectors

Simulating multivariate normal random variables is an essential step in many Monte Carlo algorithms (such as MCMC or Particle Filters), hence this operations has to be as fast as possible. Here we compare the rmvn function with the equivalent function rmvnorm (from the mvtnorm package) and mvrnorm (from the MASS package). In particular, we simulate $$10^4$$ twenty-dimensional random vectors:

# microbenchmark does not work on all platforms, hence we need this small wrapper
microwrapper <- function(..., times = 100L){
ok <- "microbenchmark" %in% rownames(installed.packages())
if( ok ){
library("microbenchmark")
microbenchmark(list = match.call(expand.dots = FALSE)$..., times = times) }else{ message("microbenchmark package is not installed") return( invisible(NULL) ) } } library("mvtnorm") library("mvnfast") library("MASS") # We might also need to turn off BLAS parallelism library("RhpcBLASctl") blas_set_num_threads(1) N <- 10000 d <- 20 # Creating mean and covariance matrix mu <- 1:d tmp <- matrix(rnorm(d^2), d, d) mcov <- tcrossprod(tmp, tmp) microwrapper(rmvn(N, mu, mcov, ncores = 2), rmvn(N, mu, mcov), rmvnorm(N, mu, mcov), mvrnorm(N, mu, mcov)) ## Unit: milliseconds ## expr min lq mean median ## rmvn(N, mu, mcov, ncores = 2) 6.202737 9.356082 11.555508 11.403996 ## rmvn(N, mu, mcov) 4.917440 5.160246 6.399035 5.265605 ## rmvnorm(N, mu, mcov) 14.690580 15.052695 16.869087 15.425904 ## mvrnorm(N, mu, mcov) 13.950568 14.384078 15.993633 14.815282 ## uq max neval cld ## 13.485178 18.62414 100 b ## 6.206907 30.99346 100 a ## 17.740624 29.02458 100 c ## 16.781134 24.24790 100 c In this example rmvn cuts the computational time, relative to the alternatives, even when a single core is used. This gain is attributable to several factors: the use of C++ code and efficient numerical algorithms to simulate the random variables. Parallelizing the computation on two cores gives another appreciable speed-up. To be fair, it is necessary to point out that rmvnorm and mvrnorm have many more safety check on the user's input than rmvn. This is true also for the functions described in the next sections. Notice that this function does not use one of the Random Number Generators (RNGs) provided by R, but one of the parallel cryptographic RNGs described in (Salmon et al., 2011) and available here. It is important to point out that this RNG can safely be used in parallel, without risk of collisions between parallel sequence of random numbers, as detailed in the above reference. We get similar performance gains when we simulate multivariate Student's t random variables: # Here we have a conflict between namespaces microwrapper(mvnfast::rmvt(N, mu, mcov, df = 3, ncores = 2), mvnfast::rmvt(N, mu, mcov, df = 3), mvtnorm::rmvt(N, delta = mu, sigma = mcov, df = 3)) ## Unit: milliseconds ## expr min lq ## mvnfast::rmvt(N, mu, mcov, df = 3, ncores = 2) 7.046654 9.444982 ## mvnfast::rmvt(N, mu, mcov, df = 3) 6.676374 7.048788 ## mvtnorm::rmvt(N, delta = mu, sigma = mcov, df = 3) 17.613624 18.714233 ## mean median uq max neval cld ## 12.523786 11.055335 15.583642 26.67929 100 b ## 8.063657 7.283086 8.097293 14.45066 100 a ## 22.455439 20.937000 22.397717 160.96288 100 c When d and N are large, and rmvn or rmvt are called several times with the same arguments, it would make sense to create the matrix where to store the simulated random variable upfront. This can be done as follows: A <- matrix(nrow = N, ncol = d) class(A) <- "numeric" # This is important. We need the elements of A to be of class "numeric". rmvn(N, mu, mcov, A = A)  Notice that here rmvn returns NULL, not the simulated random vectors! These can be found in the matrix provided by the user: A[1:2, 1:5]  ## [,1] [,2] [,3] [,4] [,5] ## [1,] -2.8920115 6.320758 3.208751 -1.717283 3.259752 ## [2,] -0.7204504 12.235853 -2.201966 9.493969 4.429800 Pre-creating the matrix of random variables saves some more time: microwrapper(rmvn(N, mu, mcov, ncores = 2, A = A), rmvn(N, mu, mcov, ncores = 2), times = 200) ## Unit: milliseconds ## expr min lq mean median ## rmvn(N, mu, mcov, ncores = 2, A = A) 6.044221 8.947618 10.71177 9.984821 ## rmvn(N, mu, mcov, ncores = 2) 6.494025 10.519379 13.11799 12.475034 ## uq max neval cld ## 12.35714 18.84868 200 a ## 15.16277 35.59698 200 b Don't look at the median time here, the mean is much more affected by memory re-allocation. Evaluating the multivariate normal and Student's t densities Here we compare the dmvn function, which evaluates the multivariate normal density, with the equivalent function dmvtnorm (from the mvtnorm package). In particular we evaluate the log-density of $$10^4$$ twenty-dimensional random vectors: # Generating random vectors N <- 10000 d <- 20 mu <- 1:d tmp <- matrix(rnorm(d^2), d, d) mcov <- tcrossprod(tmp, tmp) X <- rmvn(N, mu, mcov) microwrapper(dmvn(X, mu, mcov, ncores = 2, log = T), dmvn(X, mu, mcov, log = T), dmvnorm(X, mu, mcov, log = T), times = 500) ## Unit: milliseconds ## expr min lq mean median ## dmvn(X, mu, mcov, ncores = 2, log = T) 1.285882 1.406305 1.649631 1.532452 ## dmvn(X, mu, mcov, log = T) 2.246185 2.427389 2.595852 2.503581 ## dmvnorm(X, mu, mcov, log = T) 2.581662 2.792003 3.855094 2.892585 ## uq max neval cld ## 1.717268 5.829845 500 a ## 2.636381 6.663973 500 b ## 3.130071 146.045025 500 c Again, we get some speed-up using C++ code and some more from the parallelization. We get similar results if we use a multivariate Student's t density: # We have a namespace conflict microwrapper(mvnfast::dmvt(X, mu, mcov, df = 4, ncores = 2, log = T), mvnfast::dmvt(X, mu, mcov, df = 4, log = T), mvtnorm::dmvt(X, delta = mu, sigma = mcov, df = 4, log = T), times = 500) ## Unit: milliseconds ## expr min lq ## mvnfast::dmvt(X, mu, mcov, df = 4, ncores = 2, log = T) 4.102857 5.497727 ## mvnfast::dmvt(X, mu, mcov, df = 4, log = T) 2.441430 2.740683 ## mvtnorm::dmvt(X, delta = mu, sigma = mcov, df = 4, log = T) 2.785010 3.108017 ## mean median uq max neval cld ## 8.003070 6.31515 8.069671 457.94787 500 b ## 3.642025 3.12200 4.048915 11.53906 500 a ## 4.733767 3.79991 5.641744 114.96263 500 a Evaluating the Mahalanobis distance Finally, we compare the maha function, which evaluates the square mahalanobis distance with the equivalent function mahalanobis (from the stats package). Also in the case we use $$10^4$$ twenty-dimensional random vectors: # Generating random vectors N <- 10000 d <- 20 mu <- 1:d tmp <- matrix(rnorm(d^2), d, d) mcov <- tcrossprod(tmp, tmp) X <- rmvn(N, mu, mcov) microwrapper(maha(X, mu, mcov, ncores = 2), maha(X, mu, mcov), mahalanobis(X, mu, mcov)) ## Unit: milliseconds ## expr min lq mean median uq ## maha(X, mu, mcov, ncores = 2) 1.156353 1.253181 1.578370 1.306841 1.612218 ## maha(X, mu, mcov) 2.130691 2.276088 2.353069 2.311144 2.350686 ## mahalanobis(X, mu, mcov) 4.010210 4.178524 5.962155 4.285853 4.931068 ## max neval cld ## 4.270702 100 a ## 4.530075 100 a ## 116.211884 100 b The acceleration is similar to that obtained in the previous sections. Example: mean-shift mode seeking algorithm As an example application of the dmvn function, we implemented the mean-shift mode seeking algorithm. This procedure can be used to find the mode or maxima of a kernel density function, and it can be used to set up clustering algorithms. Here we simulate $$10^4$$ d-dimensional random vectors from mixture of normal distributions: set.seed(5135) N <- 10000 d <- 2 mu1 <- c(0, 0); mu2 <- c(2, 3) Cov1 <- matrix(c(1, 0, 0, 2), 2, 2) Cov2 <- matrix(c(1, -0.9, -0.9, 1), 2, 2) bin <- rbinom(N, 1, 0.5) X <- bin * rmvn(N, mu1, Cov1) + (!bin) * rmvn(N, mu2, Cov2) Finally, we plot the resulting probability density and, starting from 10 initial points, we use mean-shift to converge to the nearest mode: # Plotting np <- 100 xvals <- seq(min(X[ , 1]), max(X[ , 1]), length.out = np) yvals <- seq(min(X[ , 2]), max(X[ , 2]), length.out = np) theGrid <- expand.grid(xvals, yvals) theGrid <- as.matrix(theGrid) dens <- dmixn(theGrid, mu = rbind(mu1, mu2), sigma = list(Cov1, Cov2), w = rep(1, 2)/2) plot(X[ , 1], X[ , 2], pch = '.', lwd = 0.01, col = 3) contour(x = xvals, y = yvals, z = matrix(dens, np, np), levels = c(0.002, 0.01, 0.02, 0.04, 0.08, 0.15 ), add = TRUE, lwd = 2) # Mean-shift library(plyr) inits <- matrix(c(-2, 2, 0, 3, 4, 3, 2, 5, 2, -3, 2, 2, 0, 2, 3, 0, 0, -4, -2, 6), 10, 2, byrow = TRUE) traj <- alply(inits, 1, function(input) ms(X = X, init = input, H = 0.05 * cov(X), ncores = 2, store = TRUE)$traj
)

invisible( lapply(traj,
function(input){
lines(input[ , 1], input[ , 2], col = 2, lwd = 1.5)
points(tail(input[ , 1]), tail(input[ , 2]))
}))

As we can see from the plot, each initial point leads one of two points that are very close to the true mode. Notice that the bandwidth for the kernel density estimator was chosen by trial-and-error, and less arbitrary choices are certainly possible in real applications.

References

• Dirk Eddelbuettel and Romain Francois (2011). Rcpp: Seamless R and C++ Integration. Journal of Statistical Software, 40(8), 1-18. URL https://www.jstatsoft.org/v40/i08/.

• Eddelbuettel, Dirk (2013) Seamless R and C++ Integration with Rcpp. Springer, New York. ISBN 978-1-4614-6867-7.

• Dirk Eddelbuettel, Conrad Sanderson (2014). RcppArmadillo: Accelerating R with high-performance C++ linear algebra. Computational Statistics and Data Analysis, Volume 71, March 2014, pages 1054-1063. URL https://dx.doi.org/10.1016/j.csda.2013.02.005

• https://www.openmp.org/

• John K. Salmon, Mark A. Moraes, Ron O. Dror, and David E. Shaw (2011). Parallel Random Numbers: As Easy as 1, 2, 3. D. E. Shaw Research, New York, NY 10036, USA.