user3390169 - 7 months ago 45

R Question

I have two matrices that I would like to multiply together such that each value of the resulting matrix would be a rolling sum-product of the same columns in the first two matrices.

`x<-matrix(seq(1:30), ncol=3)`

x

[,1] [,2] [,3]

[1,] 1 11 21

[2,] 2 12 22

[3,] 3 13 23

[4,] 4 14 24

[5,] 5 15 25

[6,] 6 16 26

[7,] 7 17 27

[8,] 8 18 28

[9,] 9 19 29

[10,] 10 20 30

y<-matrix(rep(seq(1:3), 4), ncol=3)/10

y

[,1] [,2] [,3]

[1,] 0.1 0.2 0.3

[2,] 0.2 0.3 0.1

[3,] 0.3 0.1 0.2

[4,] 0.1 0.2 0.3

so the result would look like:

`1.8 9.9 20.3`

2.5 10.7 21.2

3.2 11.5 22.1

3.9 12.3 23

4.6 13.1 23.9

5.3 13.9 24.8

6 14.7 25.7

In example output above the value of

`10.7`

`output[2, 2] = 12 * 0.2 + 13 * 0.3 + 14 * 0.1 + 15 * 0.2`

Does anybody know how to do that? I have been playing with the

`RcppRoll`

Answer

Using colSums:

```
t(
sapply(1:(nrow(x) - nrow(y) + 1), function(i){
colSums(x[i:((nrow(y)) + i - 1), ] * y)
})
)
```

Based on bigger example data (provided in ZheyuanLi's answer), microbenchmark:

```
Unit: milliseconds
expr min lq mean median uq max neval cld
zx 179.8928 186.8033 202.5204 192.3973 199.7500 299.5910 100 a
ZL 365.9814 368.3878 391.8303 370.0935 373.4502 489.5045 100 b
```