An Introduction to mvnfast

Introduction

The mvn R package provides computationally efficient tools related to the multivariate normal distribution. 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:

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 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:

library("microbenchmark")
library("mvtnorm")
library("mvnfast")
library("MASS")

N <- 10000
d <- 20

# Creating mean and covariance matrix
mu <- 1:d
tmp <- matrix(rnorm(d^2), d, d)
mcov <- tcrossprod(tmp, tmp)

microbenchmark(rmvn(N, mu, mcov, ncores = 2),
               rmvn(N, mu, mcov),
               rmvnorm(N, mu, mcov),
               mvrnorm(N, mu, mcov))

## Unit: milliseconds
##                           expr    min     lq median     uq   max neval
##  rmvn(N, mu, mcov, ncores = 2)  2.655  2.748  2.798  3.148 24.57   100
##              rmvn(N, mu, mcov)  5.010  5.043  5.076  5.350 27.18   100
##           rmvnorm(N, mu, mcov) 22.762 23.414 23.717 24.013 51.01   100
##           mvrnorm(N, mu, mcov) 22.182 22.690 23.091 23.669 46.65   100

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.

Finally, 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.

Evaluating the multivariate normal density

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 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)

microbenchmark(dmvn(X, mu, mcov, ncores = 2),
               dmvn(X, mu, mcov),
               dmvnorm(X, mu, mcov))

## Unit: milliseconds
##                           expr   min    lq median    uq    max neval
##  dmvn(X, mu, mcov, ncores = 2) 1.677 1.704  1.721 1.829  2.052   100
##              dmvn(X, mu, mcov) 2.814 2.869  2.897 2.999  4.745   100
##           dmvnorm(X, mu, mcov) 3.627 4.063  4.149 4.228 26.735   100

Again, we get some speed-up using C++ code and some more from the parallelization.

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)

microbenchmark(maha(X, mu, mcov, ncores = 2),
               maha(X, mu, mcov),
               mahalanobis(X, mu, mcov))

## Unit: milliseconds
##                           expr   min    lq median    uq    max neval
##  maha(X, mu, mcov, ncores = 2) 1.334 1.382  1.415 1.487  1.903   100
##              maha(X, mu, mcov) 2.512 2.565  2.611 2.669  3.077   100
##       mahalanobis(X, mu, mcov) 6.880 7.079  7.191 7.525 30.817   100

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 <- 0.5 * dmvn(theGrid, mu1, Cov1) + 0.5 * dmvn(theGrid, mu2, Cov2)
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]))
           }))

plot of chunk mixPlot

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

h