Transforming a Matrix in Parallel using RcppParallel

JJ Allaire — written Jun 29, 2014 — source

The RcppParallel package includes high level functions for doing parallel programming with Rcpp. For example, the parallelFor function can be used to convert the work of a standard serial “for” loop into a parallel one. This article describes using RcppParallel to transform an R matrix in parallel.

Serial Version

First a serial version of the matrix transformation. We take the square root of each item of a matrix and return a new matrix with the tranformed values. We do this by using std::transform to call the sqrt function on each element of the matrix:

#include <Rcpp.h>
using namespace Rcpp;

#include <cmath>
#include <algorithm>

// [[Rcpp::export]]
NumericMatrix matrixSqrt(NumericMatrix orig) {

  // allocate the matrix we will return
  NumericMatrix mat(orig.nrow(), orig.ncol());

  // transform it
  std::transform(orig.begin(), orig.end(), mat.begin(), ::sqrt);

  // return the new matrix
  return mat;
}

Parallel Version

Now we’ll adapt our code to run in parallel using the parallelFor function. RcppParallel takes care of dividing up work between threads, our job is to implement a “Worker” function object that is called by the RcppParallel scheduler.

The SquareRoot function object below includes pointers to the input matrix as well as the output matrix. Within it’s operator() method it performs a std::transform with the sqrt function on the array elements specified by the begin and end arguments:

// [[Rcpp::depends(RcppParallel)]]
#include <RcppParallel.h>
using namespace RcppParallel;

struct SquareRoot : public Worker
{
   // source matrix
   const RMatrix<double> input;
   
   // destination matrix
   RMatrix<double> output;
   
   // initialize with source and destination
   SquareRoot(const NumericMatrix input, NumericMatrix output) 
      : input(input), output(output) {}
   
   // take the square root of the range of elements requested
   void operator()(std::size_t begin, std::size_t end) {
      std::transform(input.begin() + begin, 
                     input.begin() + end, 
                     output.begin() + begin, 
                     ::sqrt);
   }
};

Note that SquareRoot derives from RcppParallel::Worker. This is required for function objects passed to parallelFor.

Note also that we use the RMatrix<double> type for accessing the matrix. This is because this code will execute on a background thread where it’s not safe to call R or Rcpp APIs. The RMatrix class is included in the RcppParallel package and provides a lightweight, thread-safe wrapper around R matrixes.

Here’s the parallel version of our matrix transformation function that makes uses of the SquareRoot function object. The main difference is that rather than calling std::transform directly, the parallelFor function is called with the range to operate on (in this case based on the length of the input matrix) and an instance of SquareRoot:

// [[Rcpp::export]]
NumericMatrix parallelMatrixSqrt(NumericMatrix x) {
  
  // allocate the output matrix
  NumericMatrix output(x.nrow(), x.ncol());
  
  // SquareRoot functor (pass input and output matrixes)
  SquareRoot squareRoot(x, output);
  
  // call parallelFor to do the work
  parallelFor(0, x.length(), squareRoot);
  
  // return the output matrix
  return output;
}

Benchmarks

A comparison of the performance of the two functions shows the parallel version performing about 2.5 times as fast on a machine with 4 cores:

# allocate a matrix
m <- matrix(as.numeric(c(1:1000000)), nrow = 1000, ncol = 1000)

# ensure that serial and parallel versions give the same result
stopifnot(identical(matrixSqrt(m), parallelMatrixSqrt(m)))

# compare performance of serial and parallel
library(rbenchmark)
res <- benchmark(matrixSqrt(m),
                 parallelMatrixSqrt(m),
                 order="relative")
res[,1:4]

                   test replications elapsed relative
2 parallelMatrixSqrt(m)          100   0.294    1.000
1         matrixSqrt(m)          100   0.755    2.568

You can learn more about using RcppParallel at https://rcppcore.github.com/RcppParallel.

tags: matrix parallel

Extending R with C++ and Fortran — Dirk Eddelbuettel and JBrandon Duck-Mayr
Benchmarking Rcpp code with RcppClock — Zach DeBruine
Simulation Smoother using RcppArmadillo — Tomasz Woźniak