pa.cv.ncvreg timings

gistfile1.r

library(ncvreg)

generateData <- function(n,p,nNonzeroBeta, binomial=FALSE){
    trueBetaIndex <- (1:p)[order(runif(p,0,1))][1:nNonzeroBeta]
    X <- matrix(rnorm(n*p), nrow=n,ncol=p)
    trueBeta <- rep(0,p)
    trueBeta[trueBetaIndex] <- rnorm(nNonzeroBeta)

    if (binomial){
        eEta <- exp(X %*% trueBeta)
        Y <- rbinom(rep(1, n), 1, eEta/(1+eEta))
    }
    else{
        Y <- rnorm(rep(1, n),X %*% trueBeta, 1)
    }
    list(Y = Y,
         X = X,
         trueBeta = trueBeta,
         trueBetaIndex = trueBetaIndex)
}

compareTimes <- function(n,p,nNonzeroBeta,binomial=FALSE, seed=123123){
    dat <- generateData(n,p,nNonzeroBeta,binomial)
    cl <- makeCluster(8)
    startTime <- Sys.time()
    result <- cv.ncvreg(dat$X, dat$Y, 
                       family=ifelse(binomial, "binomial", "gaussian"), 
                       penalty="MCP", nfolds = 10, seed=seed)
    serialEndTime <-  as.numeric(Sys.time() - startTime)
    
    startTime <- Sys.time()
    result <- pa.cv.ncvreg(cl, dat$X, dat$Y, 
                          family=ifelse(binomial, "binomial", "gaussian"), 
                          penalty="MCP", nfolds = 10, seed=seed)
    parallelEndTime <-  as.numeric(Sys.time() - startTime )
    stopCluster(cl)
    out <- matrix(c(n,p,nNonzeroBeta,binomial,serialEndTime, parallelEndTime), nrow = 1)
    colnames(out) <- c("n", "p", "Nonzero Beta", "Is Binomial?", "Serial Time", "Parallel Time")
    out
}

rbind(compareTimes(1000, 100,  10, seed=123123),
      compareTimes(1000, 100,  10, binomial = TRUE, seed=123123),
      compareTimes(10000, 100, 10, seed=123123),
      compareTimes(10000, 100, 10,  binomial = TRUE, seed=123123)
      )
      
#         n   p Nonzero Beta Is Binomial? Serial Time Parallel Time
# [1,]  1000 100           10            0    2.108429      1.108614
# [2,]  1000 100           10            1    3.470646      1.533820
# [3,] 10000 100           10            0   10.027343      5.848476
# [4,] 10000 100           10            1   39.150664     17.808448