[問題] Shiny上做平行運算(rugarch)

[naturalsmen (日日夜夜)]

[問題類型]:

程式諮詢(我想用R 做某件事情，但是我不知道要怎麼用R 寫出來)
效能諮詢(我想讓R 跑更快)


[軟體熟悉度]:

入門(寫過其他程式，只是對語法不熟悉)

[問題敘述]:

最近在用rugarch pkg中的ugarchroll做模型回測

是用過去1000天的time window為建模樣本 預測隔天(t+1)的波動度

每天都會重新fit一個新的模型 圖示如下

T daily returns:

 |---------|--|--------|
 1         t t+1       T

1000 daily returns to fit AR(1)-GARCH(1,1):

 |-----------|
t-999        t

1-step forecast:

             |---|
             t  t+1

圖如果不好理解我再做修改

假設某指數有10000天日報酬率

每天用過去1000天的moving window做1-step forecast

就會有9900筆預測值

但可能是因為這樣就要重新fit 9900次AR(1)-GARCH(1,1)

所以跑很慢

但ugarchroll裡有一個參數可以設cluster

所以我參考這個網站裡的方法:
http://unstarched.net/2012/12/26/rolling-garch-forecasts/

在本機上跑是ok的

用RStudio runApp也沒問題

速度大概快了3~4倍

但一發布到Shiny Server上就直接斷掉(網頁變成灰色)

想請問是什麼原因

或是有沒有什麼建議的替代方法

現在沒加cluster的情況下 要跑快5分鐘...



[程式範例]:

Server部分比較精簡 :http://pastie.org/10641054

cluster部分在server的backtest最後幾行

目前是可執行狀況 只是因為server有省略一些

所以基本上跑不出圖

若需要完整版code我再提供

沒有加cluster部分會如下網址的輸出

http://naturalsmen.shinyapps.io/shinyTry

加了cluster後 切到Backtesting頁籤會直接灰屏...

現在只是跑比較久

問題主要是「在shiny上加快ugarchroll的處理速度」

怕講太多背景會模糊掉焦點@@

如果有需要補充什麼再請告知

謝謝各位大大<(_ _)>

PS. 我一個禮拜後可能會把shiny先關掉

因為免費帳戶一個月有時數限制...

怕直接被耗光囧



[環境敘述]:

R version 3.2.1 (2015-06-18)
Platform: i386-w64-mingw32/i386 (32-bit)
Running under: Windows 8 x64 (build 9200)

locale:
[1] LC_COLLATE=Chinese (Traditional)_Taiwan.950  LC_CTYPE=Chinese (Traditional
)_
[3] LC_MONETARY=Chinese (Traditional)_Taiwan.950 LC_NUMERIC=C
[5] LC_TIME=Chinese (Traditional)_Taiwan.950

attached base packages:
[1] parallel  stats     graphics  grDevices utils     datasets  methods   base

other attached packages:
 [1] xtable_1.7-4       rugarch_1.3-6      fExtremes_3010.81  fTrading_3010.78
 [5] fGarch_3010.82     fBasics_3011.87    timeSeries_3012.99 timeDate_3012.10
0
 [9] quantmod_0.4-5     TTR_0.23-0         Quandl_2.7.0       xts_0.9-7
[13] zoo_1.7-12         shiny_0.12.2

loaded via a namespace (and not attached):
 [1] codetools_0.2-11            digest_0.6.8                htmltools_0.2.6
 [4] R6_2.1.0                    SkewHyperbolic_0.3-2        expm_0.999-0
 [7] DistributionUtils_0.5-1     Rsolnp_1.15                 grid_3.2.1
[10] stringr_1.0.0               numDeriv_2014.2-1           httr_1.0.0
[13] GeneralizedHyperbolic_0.8-1 rgl_0.95.1429               httpuv_1.3.3
[16] lattice_0.20-31             mime_0.3                    Matrix_1.2-1
[19] KernSmooth_2.23-14          rstudioapi_0.3.1            jsonlite_0.9.16
[22] rsconnect_0.4.1.4           multicool_0.1-9             spd_2.0-1
[25] stringi_0.5-5               magrittr_1.5                tools_3.2.1
[28] mvtnorm_1.0-3               truncnorm_1.0-7             ks_1.10.0
[31] nloptr_1.0.4                Rcpp_0.12.2                 misc3d_0.8-4



[關鍵字]:


shiny, parallel, rugarch


--
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※ 文章網址: https://www.ptt.cc/bbs/R_Language/M.1450496557.A.FB5.html
→ naturalsmen: 補充：灰屏沒有顯示任何警告或錯誤訊息
→ naturalsmen: 啊範例程式的ugarchroll忘了加cluster進去 晚點修改
→ naturalsmen:  抱歉
→ cywhale: and what you mean "data = -data()$r" ?
→ cywhale: Igot "Error in -data()$r : invalid argument to unary"
→ naturalsmen: cywhale: data is the DAX index loaded from 'quand
→ naturalsmen: l' and r is the daily log return calculated from
→ naturalsmen:  the DAX data, containing Date, Open Price, Close
→ naturalsmen:  Price, and so on. i put them in the reactive var
→ naturalsmen: iable 'data', i.e., i make a list to contain the
→ naturalsmen:  variables i need in 'data'. In my computer, i ca
→ naturalsmen: n use data()$r to call the log return in the reac
→ naturalsmen: tive variable 'data'. The negative sign represent
→ naturalsmen: s the 'negative' log return. i'll check it later,
→ naturalsmen:  and thanks for replying:)
※ 編輯: naturalsmen (42.70.107.229), 12/19/2015 15:00:33
→ naturalsmen: I have just checked the problem and the data()$r
→ naturalsmen:  works fine as usual. Maybe u can re-confirm if t
→ naturalsmen: he quandl function works. Many thanks:)
推 cywhale: ya.. the issue is my fault when try and
→ cywhale: It' ok to use cluster and get result on shiny-server
→ cywhale: on linux, but I got troubles to deploy shinyapps.io
→ cywhale: At least, I have no error runing code on shiny-server
→ cywhale: (and also no error on local computer). What message
→ cywhale: when your app crash and press F-12 & select "console"
→ naturalsmen: Maybe I mixed up the definition of the "shiny ser
→ naturalsmen: ver" and the "shiny apps.io", sorry about that. W
→ naturalsmen: hat I mean "shiny server" in the article is the "
→ naturalsmen: shiny apps.io". I'll fix it as soon as possible.
→ naturalsmen:  I can run my app locally but run into trouble on
→ naturalsmen:  shinyapps.io.  Anyways, thanks a lot:)
→ naturalsmen: I may give it a shot using your method to see if
→ naturalsmen:  I can get any warning message.
hey, thanks for the advice. i just got these messages:

http://imgur.com/8zYVcMo
※ 編輯: naturalsmen (114.43.220.140), 12/19/2015 22:13:29
推 cywhale: I deploy it:https://cywhale.shinyapps.io/test_rugarch
→ cywhale: but only no error if I change code to:
→ cywhale: cluster = makePSOCKcluster(4). If using (10),it crash
→ cywhale: and got error: server responded with a status of 500
→ naturalsmen: so maybe it's due to the constraints as a free
→ naturalsmen: user?