Skip to content

R with MKL on Windows 10

June 3, 2016

Following up on my previous post, a commenter on Reddit asked to see a comparison with Microsoft R Open using multithreaded Intel MKL:

Microsoft R Open 3.2.5
Default CRAN mirror snapshot taken on 2016-05-01
The enhanced R distribution from Microsoft
Visit for information
about additional features.

Multithreaded BLAS/LAPACK libraries detected. Using 4 cores for math algorithms.

RcppEigen, RcppArmadillo & RcppGSL were all installed from MRAN as binary packages. As expected, MKL outperforms GotoBLAS:

lm benchmark for n = 1650 and p = 875: nrep = 20
   user system elapsed 
1908.28  27.55 1870.58 

   test relative elapsed user.self sys.self
3  LDLt    1.000    4.61      4.44     0.18
7  QR      1.386    6.39      6.12     0.25
8  LLt     1.460    6.73      6.42     0.32
1  1.631    7.52      7.40     0.08
9  arma    2.206   10.17     37.87     2.70
4  GESDD   2.560   11.80     43.82     2.86
6  SymmEig 5.514   25.42     25.14     0.26
2  PivQR   9.857   45.44     25.26    20.15
5  SVD   188.666  869.75    868.87     0.42
10 GSL   191.262  881.72    881.45     0.27

There are none of the multi-threading issues that I observed in the previous benchmark. Elapsed time for improves from 18.11 to 7.52, arma improves from 90.03 to 10.17, and GESDD improves from 90.77 to 11.80 seconds (in comparison to default libRblas). Compared with single-threaded SurviveGotoBLAS, MKL gives a 3x speedup for RcppArmadillo and GESDD. The other methods all perform roughly the same, since they do not rely on the BLAS library.

From → R

Leave a Comment

Leave a Reply

Fill in your details below or click an icon to log in: Logo

You are commenting using your account. Log Out /  Change )

Google photo

You are commenting using your Google account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s


Computational Bayesian statistics

Bayes' Food Cake

A bit of statistics, a bit of cakes. - Blogs to Learn R from the Community

Computational Bayesian statistics

Richard Everitt's blog

Computational Bayesian statistics

Let's Look at the Figures

David Firth's blog

Nicholas Tierney

Computational Bayesian statistics

Sweet Tea, Science

Two southern scientistas will be bringing you all that is awesome in STEM as we complete our PhDs. Ecology, statistics, sass.

Mad (Data) Scientist

Musings, useful code etc. on R and data science

Darren Wilkinson's blog

Statistics, computing, functional programming, data science, Bayes, stochastic modelling, systems biology and bioinformatics

(badness 10000)

Computational Bayesian statistics

Igor Kromin

Computational Bayesian statistics


I can't get no

Xi'an's Og

an attempt at bloggin, nothing more...

Sam Clifford

Postdoctoral Fellow, Bayesian Statistics, Aerosol Science

%d bloggers like this: