Merge pull request #1196 from m-muecke/perf/avoid-calc-bats-copies

perf: avoid copying BATS state histories

Author: robjhyndman

R/RcppExports.R

@@ -2,7 +2,7 @@
 # Generator token: 10BE3573-1514-4C36-9D1C-5A225CD40393
 
 calcBATS <- function(y, yHat, wTranspose, F, x, g, e) {
-    .Call(`_forecast_calcBATS`, y, yHat, wTranspose, F, x, g, e)
+    invisible(.Call(`_forecast_calcBATS`, y, yHat, wTranspose, F, x, g, e))
 }
 
 calcBATSFaster <- function(y, yHat, wTranspose, F, x, g, e, xNought, sPeriods, beta, tau, p, q) {

R/fitBATS.R

@@ -513,7 +513,7 @@ calcModel <- function(y, x.nought, F, g, w) {
   x[, 1] <- F %*% x.nought + g %*% e[, 1]
   y <- matrix(y, nrow = 1, ncol = length.ts)
 
-  loop <- calcBATS(
+  calcBATS(
     y = y,
     yHat = y.hat,
     wTranspose = w$w.transpose,
@@ -523,7 +523,7 @@ calcModel <- function(y, x.nought, F, g, w) {
     e = e
   )
 
-  list(y.hat = loop$y.hat, e = loop$e, x = loop$x)
+  list(y.hat = y.hat, e = e, x = x)
 }
 
 calcLikelihood <- function(

src/RcppExports.cpp

@@ -12,10 +12,9 @@ Rcpp::Rostream<false>& Rcpp::Rcerr = Rcpp::Rcpp_cerr_get();
 #endif
 
 // calcBATS
-List calcBATS(const arma::mat& y, arma::mat& yHat, const arma::mat& wTranspose, const arma::mat& F, arma::mat& x, const arma::mat& g, arma::mat& e);
+void calcBATS(const arma::mat& y, arma::mat& yHat, const arma::mat& wTranspose, const arma::mat& F, arma::mat& x, const arma::mat& g, arma::mat& e);
 RcppExport SEXP _forecast_calcBATS(SEXP ySEXP, SEXP yHatSEXP, SEXP wTransposeSEXP, SEXP FSEXP, SEXP xSEXP, SEXP gSEXP, SEXP eSEXP) {
 BEGIN_RCPP
-    Rcpp::RObject rcpp_result_gen;
     Rcpp::RNGScope rcpp_rngScope_gen;
     Rcpp::traits::input_parameter< const arma::mat& >::type y(ySEXP);
     Rcpp::traits::input_parameter< arma::mat& >::type yHat(yHatSEXP);
@@ -24,8 +23,8 @@ BEGIN_RCPP
     Rcpp::traits::input_parameter< arma::mat& >::type x(xSEXP);
     Rcpp::traits::input_parameter< const arma::mat& >::type g(gSEXP);
     Rcpp::traits::input_parameter< arma::mat& >::type e(eSEXP);
-    rcpp_result_gen = Rcpp::wrap(calcBATS(y, yHat, wTranspose, F, x, g, e));
-    return rcpp_result_gen;
+    calcBATS(y, yHat, wTranspose, F, x, g, e);
+    return R_NilValue;
 END_RCPP
 }
 // calcBATSFaster

src/calcBATS.cpp

@@ -4,7 +4,7 @@
 using namespace Rcpp;
 
 // [[Rcpp::export]]
-List calcBATS(const arma::mat& y,
+void calcBATS(const arma::mat& y,
               arma::mat& yHat,
               const arma::mat& wTranspose,
               const arma::mat& F,
@@ -16,12 +16,6 @@ List calcBATS(const arma::mat& y,
     e(0, t) = y(0, t) - yHat(0, t);
     x.col(t) = F * x.col(t - 1) + g * e(0, t);
   }
-
-  return List::create(
-    Named("y.hat") = yHat,
-    Named("e") = e,
-    Named("x") = x
-  );
 }
 
 // [[Rcpp::export]]