Rcpp

Recreating rmultinom and rpois with Rcpp

Joshua French — written Jun 6, 2020 — source

Sometimes one needs to mimic the exact behavior of R’s Distributions within C++ code. The incredible Rcpp team has provided access to these distributions through Rmath.h (in the R:: namespace), as well as through the Rcpp:: namespace where there can be two forms: scalar as in R, and vectorized via Rcpp sugar. The behavior of these functions may not always exactly match what the user expects from the standard R behavior, particularly if attempting to use the functions in Rmath.h. In particular, the functions in Rmath.h are not vectorized. In what follows, I will use Rcpp to mimic the behavior of both the rmultinom and rpois functions available in base R so that this functionality and behavior is provided in native C++.

The multinomial distribution generalizes the binomial distribution to k discrete outcomes instead of 2; consequently, it is parameterized in terms of k probabilities that must sum to 1. The base R function rmultinom used for generating multinomial data takes three arguments: n the number of simulated data sets to produce, size, the number of multinomial outcomes to sample for each data set, and prob a numeric vector of probabilities. The function returns a k $\times$ n integer matrix.

The following C++ code uses the R::rmultinom function available in Rmath.h to generate size multinomial outcomes. The R::rmultinom function relies on referencing a pointer to an IntegerVector to store the results. We create a helper function, rmultinom_1, that draws size multinomial outcomes from the multinomial distribution based on the probabilities in prob. We then do this n independent times in the function rmultinom_rcpp. To match the base R functionality, rmultinom_rcpp returns a k $\times$ n IntegerMatrix.

#include <Rcpp.h>
using namespace Rcpp;

IntegerVector rmultinom_1(unsigned int &size, NumericVector &probs, unsigned int &N) {
    IntegerVector outcome(N);
    rmultinom(size, probs.begin(), N, outcome.begin());
    return outcome;
}

// [[Rcpp::export]]
IntegerMatrix rmultinom_rcpp(unsigned int &n, unsigned int &size, NumericVector &probs) {
    unsigned int N = probs.length();
    IntegerMatrix sim(N, n);
    for (unsigned int i = 0; i < n; i++) {
        sim(_,i) = rmultinom_1(size, probs, N);
    }
    return sim;
}

We now check if the rmultinom and rmultinom_rcpp functions produce the same results. We generate a vector of 200 probabilities that sum to 1. We will sample 500 multinomial outcomes and do this independently 20 times.

prob <- runif(200)
prob <- prob/sum(prob) # standardize the probabilities
size <- 500
n <- 20

set.seed(10)
sim_r <- rmultinom(n, size, prob)
set.seed(10)
sim_rcpp <- rmultinom_rcpp(n, size, prob)
all.equal(sim_r, sim_rcpp)
[1] TRUE

A benchmark of the functions suggests that the rmultinom_rcpp function is very slightly slower than the rmultinom function, but that is not really a concern for our purposes.

microbenchmark::microbenchmark(
    rmultinom(1000, size, prob),
    rmultinom_rcpp(1000, size, prob)
)
Unit: milliseconds
                             expr     min      lq    mean  median      uq     max neval cld
      rmultinom(1000, size, prob) 10.9042 11.1841 11.7729 11.6485 12.1532 14.1841   100  a 
 rmultinom_rcpp(1000, size, prob) 11.1452 11.3780 12.0209 11.8841 12.2702 14.9434   100   b

The poisson distribution is a non-negative discrete distribution characterized by having identical mean and variance. The base R function rpois used for generating Poisson data takes two arguments: n the number of simulated values to produce, and lambda, a positive numeric vector. The rpois function cycles (and recycles) through the values in lambda for each successive value simulated. The function produces an integer vector of length n. We provide similar functionality using the R::rpois function available in Rmath.h. Note that we cycle through the values of lambda so that if the end of the lambda vector is reached before we have generated n values, then we restart at the beginning of the lambda vector.

#include <Rcpp.h>
using namespace Rcpp;

// [[Rcpp::export]]
IntegerVector rpois_rcpp(unsigned int &n, NumericVector &lambda) {
    unsigned int lambda_i = 0;
    IntegerVector sim(n);
    for (unsigned int i = 0; i < n; i++) {
        sim[i] = R::rpois(lambda[lambda_i]);
        // update lambda_i to match next realized value with correct mean
        lambda_i++;
        // restart lambda_i at 0 if end of lambda reached
        if (lambda_i == lambda.length()) {
            lambda_i = 0;
        }
    }
    return sim;
}

We now evaluate whether the rpois and rpois functions produce the same results. We generate a positive vector with 200 values for lambda and draw length(lambda) + 5 independent Poisson values.

lambda <- runif(200, 0.5, 3)
set.seed(10)
pois_sim_r <- rpois(length(lambda) + 5, lambda)
set.seed(10)
pois_sim_rcpp <- rpois_rcpp(length(lambda) + 5, lambda)
all.equal(pois_sim_r, pois_sim_rcpp)
[1] TRUE

A benchmark of the two functions suggests the rpois_rcpp function may be slightly faster, but once again, that is not our primary concern here.

microbenchmark::microbenchmark(
    rpois(length(lambda) + 5, lambda),
    rpois_rcpp(length(lambda) + 5, lambda)
)
Unit: microseconds
                                   expr   min     lq    mean median     uq    max neval cld
      rpois(length(lambda) + 5, lambda) 7.455 7.7825 8.02154  7.909 8.2425 11.145   100   b
 rpois_rcpp(length(lambda) + 5, lambda) 6.737 6.9860 7.31607  7.182 7.4515 16.328   100  a

tags: basics 

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