running parallel code in R

Francesco Gadaleta · Francesco Gadaleta · commit 1a34bd58ee88 · 2015-09-02T11:47:58.000+02:00
diff --git a/parallel_template.R b/parallel_template.R
@@ -0,0 +1,35 @@
+require(snowfall)
+
+
+p = 2000; n = 200
+x <- matrix(rnorm(n*p), nrow=n, ncol=p)
+#df <- data.frame(x)
+
+# split data to parallelise
+mats = {}
+for(i in 1:p){
+  yi = x[,i]
+  xi = x[,-i]
+  mi = cbind(yi, xi)
+  mats[[i]] = mi
+}
+
+
+singlefit <- function(dat) {
+  fit = glmnet(y=dat[,1], x=dat[,-1], alpha=1, intercept=F, lambda=0.1)
+  singlecoeffs <- as.matrix(t(coef(fit)))
+  singlecoeffs <- singlecoeffs[,-1]
+  return(singlecoeffs)
+}
+
+start = Sys.time()
+
+sfInit(parallel = T, cpus = 4, type="SOCK")
+sfLibrary(glmnet)
+res <- sfLapply(mats, singlefit)
+sfStop()
+
+end = Sys.time()
+elapsed = end-start
+elapsed*60
+
