Faster transpose matrix multiplication in R

May 23rd, 2017 | Categories: Free software, Linear Algebra, programming, R, Scientific Software, tutorials | Tags:

I’m working on optimising some R code written by a researcher at University of Sheffield and its very much a war of attrition! There’s no easily optimisable hotspot and there’s no obvious way to leverage parallelism. Progress is being made by steadily identifying places here and there where we can do a little better. 10% here and 20% there can eventually add up to something worth shouting about.

One such micro-optimisation we discovered involved multiplying two matrices together where one of them needed to be transposed. Here’s a minimal example.

#Set random seed for reproducibility
set.seed(3)

# Generate two random n by n matrices
n = 10
a = matrix(runif(n*n,0,1),n,n)
b = matrix(runif(n*n,0,1),n,n)

# Multiply the matrix a by the transpose of b
c = a %*% t(b)

When the speed of linear algebra computations are an issue in R, it makes sense to use a version that is linked to a fast implementation of BLAS and LAPACK and we are already doing that on our HPC system.

Here, I am using version 3.3.3 of Microsoft R Open which links to Intel’s MKL (an implementation of BLAS and LAPACK) on a Windows laptop.

In R, there is another way to do the computation c = a %*% t(b)  — we can make use of the tcrossprod function (There is also a crossprod function for when you want to do t(a) %*% b)

 c_new = tcrossprod(a,b)

Let’s check for equality

c_new == c
[,1] [,2] [,3] [,4] [,5] [,6] [,7] [,8] [,9] [,10]
[1,] TRUE TRUE TRUE TRUE TRUE TRUE TRUE TRUE TRUE TRUE
[2,] TRUE TRUE TRUE TRUE TRUE TRUE TRUE TRUE TRUE TRUE
[3,] TRUE TRUE TRUE TRUE TRUE TRUE TRUE TRUE TRUE TRUE
[4,] TRUE TRUE TRUE TRUE TRUE TRUE TRUE TRUE TRUE TRUE
[5,] TRUE TRUE TRUE TRUE TRUE TRUE TRUE TRUE TRUE TRUE
[6,] TRUE TRUE TRUE TRUE TRUE TRUE TRUE TRUE TRUE TRUE
[7,] TRUE TRUE TRUE TRUE TRUE TRUE TRUE TRUE TRUE TRUE
[8,] TRUE TRUE TRUE TRUE TRUE TRUE TRUE TRUE TRUE TRUE
[9,] TRUE TRUE TRUE TRUE TRUE TRUE TRUE TRUE TRUE TRUE
[10,] TRUE TRUE TRUE TRUE TRUE TRUE TRUE TRUE TRUE TRUE

Sometimes, when comparing the two methods you may find that some of those entries are FALSE which may worry you!
If that happens, computing the difference between the two results should convince you that all is OK and that the differences are just because of numerical noise. This happens sometimes when dealing with floating point arithmetic (For example, see http://www.walkingrandomly.com/?p=5380).

Let’s time the two methods using the microbenchmark package.

install.packages('microbenchmark')
library(microbenchmark)

We time just the matrix multiplication part of the code above:

microbenchmark(
original = a %*% t(b),
tcrossprod = tcrossprod(a,b)
)


Unit: nanoseconds
expr min lq mean median uq max neval
original 2918 3283 3491.312 3283 3647 18599 1000
tcrossprod 365 730 756.278 730 730 10576 1000

We are only saving microseconds here but that’s more than a factor of 4 speed-up in this small matrix case. If that computation is being performed a lot in a tight loop (and for our real application, it was), it can add up to quite a difference.

As the matrices get bigger, the speed-benefit in percentage terms gets lower but tcrossprod always seems to be the faster method. For example, here are the results for 1000 x 1000 matrices

#Set random seed for reproducibility
set.seed(3)

# Generate two random n by n matrices
n = 1000
a = matrix(runif(n*n,0,1),n,n)
b = matrix(runif(n*n,0,1),n,n)

microbenchmark(
original = a %*% t(b),
tcrossprod = tcrossprod(a,b)
)

Unit: milliseconds
expr min lq mean median uq max neval
original 18.93015 26.65027 31.55521 29.17599 31.90593 71.95318 100
tcrossprod 13.27372 18.76386 24.12531 21.68015 23.71739 61.65373 100

The cost of not using an optimised version of BLAS and LAPACK

While writing this blog post, I accidentally used the CRAN version of R.  The recently released version 3.4. Unlike Microsoft R Open, this is not linked to the Intel MKL and so matrix multiplication is rather slower.

For our original 10 x 10 matrix example we have:

library(microbenchmark)
#Set random seed for reproducibility
set.seed(3)

# Generate two random n by n matrices
n = 10
a = matrix(runif(n*n,0,1),n,n)
b = matrix(runif(n*n,0,1),n,n)

microbenchmark(
original = a %*% t(b),
tcrossprod = tcrossprod(a,b)
)

Unit: microseconds
       expr   min    lq    mean median     uq    max neval
   original 3.647 3.648 4.22727  4.012 4.1945 22.611   100
 tcrossprod 1.094 1.459 1.52494  1.459 1.4600  3.282   100

Everything is a little slower as you might expect and the conclusion of this article — tcrossprod(a,b) is faster than a %*% t(b) — seems to still be valid.

However, when we move to 1000 x 1000 matrices, this changes

library(microbenchmark)
#Set random seed for reproducibility
set.seed(3)

# Generate two random n by n matrices
n = 1000
a = matrix(runif(n*n,0,1),n,n)
b = matrix(runif(n*n,0,1),n,n)

microbenchmark(
original = a %*% t(b),
tcrossprod = tcrossprod(a,b)
)

Unit: milliseconds
       expr      min       lq     mean   median       uq       max neval
   original 546.6008 587.1680 634.7154 602.6745 658.2387  957.5995   100
 tcrossprod 560.4784 614.9787 658.3069 634.7664 685.8005 1013.2289   100

As expected, both results are much slower than when using the Intel MKL-lined version of R (~600 milliseconds vs ~31 milliseconds) — nothing new there.  More disappointingly, however, is that now tcrossprod is slightly slower than explicitly taking the transpose.

As such, this particular micro-optimisation might not be as effective as we might like for all versions of R.

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