With the recent release of R-3.1.0, and the near-recent release of OpenBLAS 0.29rc2, it was time to recompile Rblas.dll and do some new speed tests. The test computer has an Intel i7-2600K, overclocked to 4.6Ghz with 16GB RAM and runs Windows 7 Home Premium 64bit. For the first ... [Read more...]

I’ve re-written the previous post a bit and now it is posted in the Rcpp gallery. I’ve had some really good comments, so I’ll probably have to post an updated version. Keep the comments coming! ∞ [Read more...]

I had the opportunity recently to be asked to join a committee which had to select candidates for an upcoming election. In the candidate selection phase, the members of the committee use preferential voting to rank the candidates. Prior to the meeting, I did some research on preferential voting systems. ... [Read more...]

After reinventing the wheel a few times, I decided it would be a good idea to keep a list of programming tips or tricks that I find useful, so I started a static page here to keep these tips. It will begin rather haphazardly, but if it grows, I will ... [Read more...]

As a result of my previous post, I’ve had a number of requests to describe how I compiled the BLAS, so I’ll do so below. Of course, the necessary caveats, I am not a programmer nor do I play one on the radio so I probably cannot debug ... [Read more...]

One of the more important pieces of software that powers R is its BLAS, which stands for Basic Linear Algebra Subprograms. This is the suite of programs which, as its name implies, performs basic linear algebra routines such as vector copying, scaling and dot products; linear combinations; and matrix multiplication. ... [Read more...]

In a recent LinkedIn conversation, the topic of correlation between multiple financial indices was raised. While the actual details are not relevant, the discussion reminded me of one of the concerns I have whenever multivariate correlation is used—how to populate the correlation matrix. First, some background. Unfortunately, most financial ... [Read more...]