[R] R help

[David Winsemius]

On Feb 19, 2012, at 11:46 AM, li li wrote:

> Actually I still get an error for the case of equal correlation.

No. You need to read the error message for meaning.

> Below is the code
>
>> m <- 100000
>> n <- 500
>> m1 <- 0.5*m
>> mu <- c(rep(2, m1), rep(0, m-m1))
>> rho <- 0.5
>> x.mod1 <- matrix(rnorm(n*m, sd=sqrt(1-rho)), nrow=n, ncol=m)+rnorm(n,
> sd=sqrt(rho))+t(replicate(n,mu))
> Error: cannot allocate vector of size 381.5 Mb

You don't have enough space in your machine (whatever it might be).

--  
David.
>>
>>
> R(173,0xa0a7b540) malloc: *** mmap(size=400003072) failed (error  
> code=12)
> *** error: can't allocate region
> *** set a breakpoint in malloc_error_break to debug
> R(173,0xa0a7b540) malloc: *** mmap(size=400003072) failed (error  
> code=12)
> *** error: can't allocate region
> *** set a breakpoint in malloc_error_break to debug
> R(173,0xa0a7b540) malloc: *** mmap(size=400003072) failed (error  
> code=12)
> *** error: can't allocate region
> *** set a breakpoint in malloc_error_break to debug
>
>
>
>
>
>
> ÔÚ 2012Äê2ÔÂ19ÈÕ ÉÏÎç10:53£¬li li <hannah.hlx at gmail.com>дµÀ£º
>
>>
>> Petr,
>>   Thanks for the help. That certainly makes sense and solves my  
>> current
>> problem. But, in general, for arbitrary covariance matrix (instead  
>> of the
>> special equi-correlation case), it there a way to generate numbers  
>> from
>> multivariate normal when the dimension is very high?
>>   Thanks.
>>         Hannah
>>
>> ÔÚ 2012Äê2ÔÂ19ÈÕ ÉÏÎç5:01£¬Petr Savicky <savicky at cs.cas.cz>дµÀ£º
>>
>> On Sat, Feb 18, 2012 at 06:00:53PM -0500, li li wrote:
>>>> Dear all,
>>>>  I need to generate numbers from multivariate normal with large
>>> dimensions
>>>> (5,000,000).
>>>> Below is my code and the error I got from R. Sigma in the code is  
>>>> the
>>>> covariance
>>>> matrix. Can anyone give some idea on how to take care of this  
>>>> error.
>>> Thank
>>>> you.
>>>>                Hannah
>>>>
>>>>> m <- 5000000
>>>>> m1 <- 0.5*m
>>>>> rho <- 0.5
>>>>> Sigma <- rho* matrix(1, m, m)+diag(1-rho, m)
>>>> Error in matrix(1, m, m) : too many elements specified
>>>
>>> Hi.
>>>
>>> The matrix of dimension m times m does not fit into memory,
>>> since it requires 8*m^2 = 2e+14 bytes = 2e+05 GB.
>>>
>>> Generating a multivariate normal with a covariance matrix
>>> with 1 on the diagonal and rho outside of the diagonal may
>>> be done also as follows.
>>>
>>> m <- 10 # can be 5000000
>>> rho <- 0.5
>>> # single vector
>>> x <- rnorm(1, sd=sqrt(rho)) + rnorm(m, sd=sqrt(1 - rho))
>>>
>>> # several vectors
>>> a <- t(replicate(10000, rnorm(1, sd=sqrt(rho)) + rnorm(m,  
>>> sd=sqrt(1 -
>>> rho))))
>>>
>>> # check the sample covariance matrix if m is not too large
>>> sigma <- cov(a)
>>> range(diag(sigma)) # elements on the diagonal
>>>
>>> [1] 0.9963445 1.0196015
>>>
>>> diag(sigma) <- NA
>>> range(sigma, na.rm=TRUE) # elements outside of the diagonal
>>>
>>> [1] 0.4935129 0.5162836
>>>
>>> Generating several vectors using replicate() may not be efficient.
>>> The following can be used instead.
>>>
>>> n <- 10000
>>> a <- matrix(rnorm(n*m, sd=sqrt(1 - rho)), nrow=n, ncol=m) + rnorm(n,
>>> sd=sqrt(rho))
>>>
>>> Note that the size of "a" is n times m and it should fit into the  
>>> memory.
>>>
>>> Hope this helps.
>>>
>>> Petr Savicky.
>>>
>>> ______________________________________________
>>> R-help at r-project.org mailing list
>>> https://stat.ethz.ch/mailman/listinfo/r-help
>>> PLEASE do read the posting guide
>>> http://www.R-project.org/posting-guide.html
>>> and provide commented, minimal, self-contained, reproducible code.
>>>
>>
>>
>
> 	[[alternative HTML version deleted]]
>
> ______________________________________________
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> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.

David Winsemius, MD
West Hartford, CT