Has anyone experimented with their stuff? As an example, say I'm fitting an ARMA model and I'm trying to assess which fit works better than others, but I want to do a bruteforce n^2 (i.e., p from 1 to n, q from 1 to n) fit until I get a decent model and I want to parallelize this, ... how would I do this without spending a fortune? If I could do this over multiple processors, even, or across multiple machines. Does anyone out there have a free solution? The current solution I have involves running commands over ssh in a python script which invokes R and has it run and write the results somewhere where I then reap the results, but I'd like something more integrated that doesn't require me to launch a full-blown R process across the entire cluster to do one calculation. FWIW, I'm using Yellow Dog Linux and Ubuntu.
libgretl - http://gretl.sourceforge.net/API/ OpenMP - http://en.wikipedia.org/wiki/OpenMP MPI - http://en.wikipedia.org/wiki/Message_Passing_Interface I'd just go the C/C++ route, use libgretl, and then OpenMP or MPI. There's also Python MPI bindings, so you'd just have to write a wrapper for libgretl, I think there's someone working on a SWIG wrapper for it.
Holy crap, I didn't even know about libgretl! That is freaking amazing. I'd hug you if you were here next to me (in friendly manner non-suggestive of any underlying sexual motives, of course.) I've been lurking on this forum for some time, and when someone asked a similar question a while back, no one answered -- aside from some horrible templatized class for regression that happened to exist in quantlib. You sir, have truly made my day. Still though, assuming there is a huge learning curve for both packages (gretl+openMP or MPI), I would like to know the answer to the original question. I am familiar with R and invested a lot of time into learning it, writing my own packages, etc. It's just that the drawbacks in R are so cleanly addressed by Revolution Computing's package, although their costs are too prohibitive for me at this point in time.
i went some seminars from revolution at the R in finance conference but this might be what you're really after. http://nws-r.sourceforge.net/