# Benchmark Study for ‘fastglm’

#### Jared Huling

#### 2026-05-01

This vignette is a more comprehensive benchmarking study than the small inline timings in the other vignettes. It compares fastglm against the canonical reference implementations across a range of sample sizes and model classes:

- standard GLMs against `stats::glm()`, `glm2::glm.fit2()`, and `speedglm::speedglm.wfit()`,
- the sparse and `big.matrix` solver paths against the dense path,
- negative-binomial regression against `MASS::glm.nb()`,
- Firth-penalized logistic against `logistf::logistf()`,
- hurdle and zero-inflated count regressions against `pscl::hurdle()` and `pscl::zeroinfl()`.

To re-run the benchmarks (after a code change, on a different machine, etc.), execute `vignettes/_precompile.R` from the package root.

    library(fastglm)
    suppressPackageStartupMessages({
        library(MASS)
        library(pscl)
        library(logistf)
        library(speedglm)
        library(Matrix)
        library(bigmemory)
        library(microbenchmark)
    })

    bench_unit <- "milliseconds"
    .fmt <- function(mb) {
        s <- summary(mb, unit = bench_unit)
        s <- s[, c("expr", "min", "median", "mean", "max")]
        names(s) <- c("expr", "min (ms)", "median (ms)", "mean (ms)", "max (ms)")
        s
    }
    .collect <- function(mb, n) {
        s <- summary(mb, unit = bench_unit)
        data.frame(n = n, expr = as.character(s$expr), median = s$median,
                   stringsAsFactors = FALSE)
    }
    .plot_scaling <- function(df, title) {
        methods <- unique(df$expr)
        cols    <- seq_along(methods)
        op <- par(mar = c(4.2, 4.2, 3, 1), las = 1)
        on.exit(par(op), add = TRUE)
        plot(NA, log = "xy",
             xlim = range(df$n), ylim = range(df$median),
             xlab = "n (log scale)",
             ylab = paste0("median time (", bench_unit, ", log scale)"),
             main = title)
        grid(equilogs = FALSE, col = "gray85")
        for (k in seq_along(methods)) {
            sub <- df[df$expr == methods[k], ]
            sub <- sub[order(sub$n), ]
            lines (sub$n, sub$median, col = cols[k], lwd = 2)
            points(sub$n, sub$median, col = cols[k], pch = 19)
        }
        legend("topleft", legend = methods, col = cols,
               pch = 19, lty = 1, lwd = 2, bty = "n")
    }
    sessionInfo()
    #> R version 4.5.1 (2025-06-13)
    #> Platform: aarch64-apple-darwin20
    #> Running under: macOS Sequoia 15.7.3
    #>
    #> Matrix products: default
    #> BLAS:   /Library/Frameworks/R.framework/Versions/4.5-arm64/Resources/lib/libRblas.0.dylib
    #> LAPACK: /Library/Frameworks/R.framework/Versions/4.5-arm64/Resources/lib/libRlapack.dylib;  LAPACK version 3.12.1
    #>
    #> locale:
    #> [1] en_US.UTF-8/en_US.UTF-8/en_US.UTF-8/C/en_US.UTF-8/en_US.UTF-8
    #>
    #> time zone: America/Chicago
    #> tzcode source: internal
    #>
    #> attached base packages:
    #> [1] stats     graphics  grDevices utils     datasets  methods   base
    #>
    #> other attached packages:
    #>  [1] microbenchmark_1.5.0 bigmemory_4.6.4      speedglm_0.3-5
    #>  [4] biglm_0.9-3          DBI_1.2.3            Matrix_1.7-5
    #>  [7] logistf_1.26.1       pscl_1.5.9           MASS_7.3-65
    #> [10] fastglm_0.0.5
    #>
    #> loaded via a namespace (and not attached):
    #>  [1] sandwich_3.1-1         generics_0.1.4         tidyr_1.3.1
    #>  [4] shape_1.4.6.1          lattice_0.22-7         lme4_1.1-37
    #>  [7] magrittr_2.0.4         mitml_0.4-5            estimability_1.5.1
    #> [10] evaluate_1.0.4         grid_4.5.1             iterators_1.0.14
    #> [13] mice_3.18.0            mvtnorm_1.3-3          foreach_1.5.2
    #> [16] jomo_2.7-6             operator.tools_1.6.3.1 glmnet_4.1-10
    #> [19] nnet_7.3-20            backports_1.5.0        survival_3.8-3
    #> [22] multcomp_1.4-28        mgcv_1.9-3             purrr_1.2.1
    #> [25] bigmemory.sri_0.1.8    TH.data_1.1-3          codetools_0.2-20
    #> [28] reformulas_0.4.1       Rdpack_2.6.4           cli_3.6.5
    #> [31] rlang_1.1.7            rbibutils_2.3          splines_4.5.1
    #> [34] pan_1.9                tools_4.5.1            uuid_1.2-1
    #> [37] nloptr_2.2.1           minqa_1.2.8            dplyr_1.1.4
    #> [40] boot_1.3-31            broom_1.0.12           vctrs_0.7.2
    #> [43] R6_2.6.1               rpart_4.1.24           zoo_1.8-14
    #> [46] emmeans_1.11.2         lifecycle_1.0.4        pkgconfig_2.0.3
    #> [49] pillar_1.11.1          glue_1.8.0             Rcpp_1.1.0
    #> [52] xfun_0.52              tibble_3.3.0           tidyselect_1.2.1
    #> [55] knitr_1.50             xtable_1.8-4           nlme_3.1-168
    #> [58] formula.tools_1.7.1    compiler_4.5.1

# Standard GLMs

Logistic regression with an increasing number of observations, holding `p = 30` fixed. Comparing the default fastglm path (`method = 0`, pivoted QR), the LLT-Cholesky path (`method = 2`), `stats::glm.fit()`, `glm2::glm.fit2()`, and `speedglm::speedglm.wfit()`.

    set.seed(1)
    p <- 30

    run_one_logit <- function(n) {
        X <- matrix(rnorm(n * p), n, p)
        beta <- rnorm(p) * 0.05
        y <- rbinom(n, 1, plogis(X %*% beta))
        microbenchmark(
            fastglm_qr   = fastglm(X, y, family = binomial(),            method = 0),
            fastglm_chol = fastglm(X, y, family = binomial(),            method = 2),
            glm.fit      = glm.fit(X, y, family = binomial()),
            glm2_fit2    = glm2::glm.fit2(X, y, family = binomial()),
            speedglm     = speedglm::speedglm.wfit(y = y, X = X,
                                                   family = binomial(),
                                                   intercept = FALSE),
            times = 5L
        )
    }

    logit_tim <- list()
    for (n in c(1e3, 1e4, 1e5)) {
        cat("\n--- n =", n, "---\n")
        mb <- run_one_logit(n)
        print(.fmt(mb))
        logit_tim[[length(logit_tim) + 1]] <- .collect(mb, n)
    }
    #>
    #> --- n = 1000 ---
    #>           expr min (ms) median (ms) mean (ms) max (ms)
    #> 1   fastglm_qr 0.782649    0.820000 1.0789150 2.105022
    #> 2 fastglm_chol 0.396552    0.405285 0.4147232 0.455674
    #> 3      glm.fit 2.432202    2.562992 2.9429800 4.450960
    #> 4    glm2_fit2 2.499114    2.670330 2.9793962 4.506105
    #> 5     speedglm 1.928189    1.949714 2.4329318 4.355225
    #>
    #> --- n = 10000 ---
    #>           expr  min (ms) median (ms) mean (ms)  max (ms)
    #> 1   fastglm_qr  8.585072    8.746571  8.860674  9.280924
    #> 2 fastglm_chol  3.426247    4.690400 14.163278 53.598890
    #> 3      glm.fit 27.636501   28.415173 28.887140 30.403837
    #> 4    glm2_fit2 26.937287   28.327351 28.159472 28.958751
    #> 5     speedglm 19.654744   20.303077 21.238689 24.291106
    #>
    #> --- n = 1e+05 ---
    #>           expr  min (ms) median (ms) mean (ms)  max (ms)
    #> 1   fastglm_qr  89.25753    90.25970  91.00553  95.08548
    #> 2 fastglm_chol  37.25432    40.74473  40.27186  41.78884
    #> 3      glm.fit 284.38035   325.13812 335.31097 419.44287
    #> 4    glm2_fit2 326.96004   330.35184 341.28560 382.65243
    #> 5     speedglm 192.51038   196.15589 215.62233 249.94162
    logit_tim <- do.call(rbind, logit_tim)
    .plot_scaling(logit_tim, "Logistic regression: median time vs n (p = 30)")

plot of chunk unnamed-chunk-2

The same comparison for Poisson regression with a log link:

    run_one_poisson <- function(n) {
        X <- matrix(rnorm(n * p), n, p)
        beta <- rnorm(p) * 0.05
        y <- rpois(n, exp(X %*% beta + 1))
        microbenchmark(
            fastglm_qr   = fastglm(X, y, family = poisson(),            method = 0),
            fastglm_chol = fastglm(X, y, family = poisson(),            method = 2),
            glm.fit      = glm.fit(X, y, family = poisson()),
            glm2_fit2    = glm2::glm.fit2(X, y, family = poisson()),
            speedglm     = speedglm::speedglm.wfit(y = y, X = X,
                                                   family = poisson(),
                                                   intercept = FALSE),
            times = 5L
        )
    }

    pois_tim <- list()
    for (n in c(1e3, 1e4, 1e5)) {
        cat("\n--- n =", n, "---\n")
        mb <- run_one_poisson(n)
        print(.fmt(mb))
        pois_tim[[length(pois_tim) + 1]] <- .collect(mb, n)
    }
    #>
    #> --- n = 1000 ---
    #>           expr min (ms) median (ms) mean (ms) max (ms)
    #> 1   fastglm_qr 0.868954    0.969281 1.0339708 1.424545
    #> 2 fastglm_chol 0.477650    0.491836 0.5633072 0.865428
    #> 3      glm.fit 2.641138    2.913706 3.0120322 3.630304
    #> 4    glm2_fit2 2.721662    2.880168 2.8681304 3.035230
    #> 5     speedglm 2.068327    2.149589 2.2176162 2.455203
    #>
    #> --- n = 10000 ---
    #>           expr  min (ms) median (ms) mean (ms)  max (ms)
    #> 1   fastglm_qr  8.404467    8.701348  9.718296 13.499168
    #> 2 fastglm_chol  3.310258    3.514110  3.615282  3.915787
    #> 3      glm.fit 26.118312   26.669311 28.270172 31.484064
    #> 4    glm2_fit2 26.971112   27.684020 28.347859 31.823749
    #> 5     speedglm 19.046714   19.233592 19.286884 19.661427
    #>
    #> --- n = 1e+05 ---
    #>           expr  min (ms) median (ms) mean (ms)  max (ms)
    #> 1   fastglm_qr  89.36057    89.80078 100.39996 141.35496
    #> 2 fastglm_chol  36.22313    38.34779  38.18333  39.22138
    #> 3      glm.fit 325.01807   327.65740 330.18867 344.74932
    #> 4    glm2_fit2 278.52657   354.66779 363.70979 433.98287
    #> 5     speedglm 199.96290   204.68049 227.75442 284.12988
    pois_tim <- do.call(rbind, pois_tim)
    .plot_scaling(pois_tim, "Poisson regression: median time vs n (p = 30)")

plot of chunk unnamed-chunk-3

The Cholesky paths are 3–5x faster than `glm.fit()` at moderate `n` and the gap widens with sample size — the IRLS structure is the same, but each iteration’s WLS solve is materially cheaper in RcppEigen than in compiled R + LAPACK. speedglm is competitive at small `n` but its single-threaded cross-product accumulation overtakes the savings as `n` grows, since fastglm lets Eigen parallelise the WLS solve.

# Sparse and big.matrix paths

A sparse design matrix from one-hot encoding a 100-level factor against a continuous covariate. The column count is `p = 200`; fastglm on the dense matrix has to materialise all 200 columns explicitly, while the sparse path only operates on the non-zero entries:

    set.seed(2)
    n   <- 5e4
    g   <- factor(sample.int(100, n, replace = TRUE))
    xn  <- rnorm(n)
    Xd  <- model.matrix(~ g * xn)
    Xs  <- as(Xd, "CsparseMatrix")
    betas <- rnorm(ncol(Xd)) / 4
    y   <- rbinom(n, 1, plogis(Xd %*% betas))

    mb_sparse <- microbenchmark(
        fastglm_dense  = fastglm(Xd, y, family = binomial(), method = 2),
        fastglm_sparse = fastglm(Xs, y, family = binomial(), method = 2),
        times = 5L
    )
    print(.fmt(mb_sparse))
    #>             expr min (ms) median (ms) mean (ms) max (ms)
    #> 1  fastglm_dense 218.7811    220.4451  222.2950 227.3766
    #> 2 fastglm_sparse 247.9938    262.4799  268.1184 307.9439

    cat("ncol(Xd) =", ncol(Xd), "  fraction nonzero =",
        round(length(Xs@x) / prod(dim(Xs)), 3), "\n")
    #> ncol(Xd) = 200   fraction nonzero = 0.02

A `big.matrix` comparison on a moderately large dense design — `n = 5e5`, `p = 20`. The on-disc `big.matrix` runs in row-blocks but produces identical estimates:

    set.seed(3)
    n  <- 5e5
    p  <- 20
    X  <- matrix(rnorm(n * p), n, p)
    Xb <- as.big.matrix(X)
    y  <- rbinom(n, 1, plogis(X %*% rnorm(p) * 0.05))

    mb_big <- microbenchmark(
        dense       = fastglm(X,  y, family = binomial(), method = 2),
        big.matrix  = fastglm(Xb, y, family = binomial(), method = 2),
        times = 3L
    )
    print(.fmt(mb_big))
    #>         expr min (ms) median (ms) mean (ms) max (ms)
    #> 1      dense 129.0053    136.7083  136.9545 145.1500
    #> 2 big.matrix 141.8254    142.1299  142.3005 142.9463

    f1 <- fastglm(X,  y, family = binomial(), method = 2)
    f2 <- fastglm(Xb, y, family = binomial(), method = 2)
    cat("max coef diff:", max(abs(coef(f1) - coef(f2))), "\n")
    #> max coef diff: 1.19349e-15

The dense path is faster for matrices that fit in RAM (the row-block reads have non-zero overhead), but the `big.matrix` path is the only viable option once the design exceeds available memory.

# Negative-binomial regression

`fastglm_nb()` against `MASS::glm.nb()` across a range of sample sizes. The data-generating process is NB(`mu`, `theta = 2`) with three covariates and an intercept:

    set.seed(4)
    run_one_nb <- function(n) {
        X  <- cbind(1, matrix(rnorm(n * 3), n, 3))
        mu <- exp(X %*% c(0.5, 0.4, -0.2, 0.3))
        y  <- MASS::rnegbin(n, mu = mu, theta = 2)
        df <- data.frame(y = y, x1 = X[, 2], x2 = X[, 3], x3 = X[, 4])
        microbenchmark(
            fastglm_nb = fastglm_nb(X, y),
            glm.nb     = MASS::glm.nb(y ~ x1 + x2 + x3, data = df),
            times = 5L
        )
    }

    nb_tim <- list()
    for (n in c(1e3, 1e4, 1e5, 5e5)) {
        cat("\n--- n =", n, "---\n")
        mb <- run_one_nb(n)
        print(.fmt(mb))
        nb_tim[[length(nb_tim) + 1]] <- .collect(mb, n)
    }
    #>
    #> --- n = 1000 ---
    #>         expr min (ms) median (ms) mean (ms) max (ms)
    #> 1 fastglm_nb 0.611515    0.686873 0.9694204 2.219494
    #> 2     glm.nb 7.588854    7.803079 7.7879828 8.017263
    #>
    #> --- n = 10000 ---
    #>         expr  min (ms) median (ms) mean (ms)  max (ms)
    #> 1 fastglm_nb  6.882834    7.264339   7.26912  7.707754
    #> 2     glm.nb 59.773449   60.203990  62.97967 69.503487
    #>
    #> --- n = 1e+05 ---
    #>         expr  min (ms) median (ms) mean (ms)  max (ms)
    #> 1 fastglm_nb  58.78539    59.63278   62.1734  72.74929
    #> 2     glm.nb 511.89140   513.57281  525.5684 568.34331
    #>
    #> --- n = 5e+05 ---
    #>         expr  min (ms) median (ms) mean (ms)  max (ms)
    #> 1 fastglm_nb  292.6352    294.9895  296.1172  300.6103
    #> 2     glm.nb 2049.1221   2113.7185 2114.2318 2191.1647
    nb_tim <- do.call(rbind, nb_tim)
    .plot_scaling(nb_tim, "Negative-binomial joint MLE: median time vs n")

plot of chunk unnamed-chunk-6

Accuracy on the largest case: coefficients and `theta` agree to floating-point precision against `glm.nb`, since both maximise the same likelihood. The runtime difference is structural — `glm.nb` runs its IRLS + theta-MLE alternation in R, fastglm_nb runs both loops in C++.

    set.seed(99)
    n  <- 5e5
    X  <- cbind(1, matrix(rnorm(n * 3), n, 3))
    mu <- exp(X %*% c(0.5, 0.4, -0.2, 0.3))
    y  <- MASS::rnegbin(n, mu = mu, theta = 2)
    df <- data.frame(y = y, x1 = X[, 2], x2 = X[, 3], x3 = X[, 4])
    f_nb <- fastglm_nb(X, y)
    m_nb <- MASS::glm.nb(y ~ x1 + x2 + x3, data = df)
    cat("coef max abs diff:", max(abs(unname(coef(f_nb)) - unname(coef(m_nb)))), "\n")
    #> coef max abs diff: 2.930989e-14
    cat("theta diff       :", abs(f_nb$theta - m_nb$theta), "\n")
    #> theta diff       : 3.095302e-13
    cat("logLik diff      :",
        abs(as.numeric(logLik(f_nb)) - as.numeric(logLik(m_nb))), "\n")
    #> logLik diff      : 1.164153e-10

# Firth bias-reduced logistic

Firth-penalized logistic against `logistf::logistf()` on the canonical sex2 example (Heinze and Schemper, 2002), and on a larger simulated example with mild quasi-separation:

    data(sex2, package = "logistf")
    X_sex2 <- model.matrix(~ age + oc + vic + vicl + vis + dia, data = sex2)
    y_sex2 <- sex2$case

    mb_firth1 <- microbenchmark(
        fastglm = fastglm(X_sex2, y_sex2, family = binomial(), firth = TRUE),
        logistf = logistf(case ~ age + oc + vic + vicl + vis + dia, data = sex2),
        times = 10L
    )
    cat("\n--- Heinze-Schemper sex2 (n =", nrow(sex2), ") ---\n")
    #>
    #> --- Heinze-Schemper sex2 (n = 239 ) ---
    print(.fmt(mb_firth1))
    #>      expr min (ms) median (ms) mean (ms) max (ms)
    #> 1 fastglm 0.190978   0.2052255 0.2634332 0.699255
    #> 2 logistf 6.731749   6.9578640 7.1186045 8.638290

    set.seed(5)
    n <- 2000;  p <- 10
    X_big <- cbind(1, matrix(rnorm(n * p), n, p))
    beta  <- rnorm(p + 1) * 0.4
    y_big <- rbinom(n, 1, plogis(X_big %*% beta))
    df_big <- data.frame(y = y_big, X_big[, -1])

    mb_firth2 <- microbenchmark(
        fastglm = fastglm(X_big, y_big, family = binomial(), firth = TRUE),
        logistf = logistf(y ~ ., data = df_big, control = logistf.control(maxit = 50)),
        times = 5L
    )
    cat("\n--- simulated (n =", n, ", p =", p, ") ---\n")
    #>
    #> --- simulated (n = 2000 , p = 10 ) ---
    print(.fmt(mb_firth2))
    #>      expr  min (ms) median (ms) mean (ms)  max (ms)
    #> 1 fastglm  1.174322     1.25583  1.605494  2.688985
    #> 2 logistf 48.478318    49.67937 52.509405 65.116241

    # accuracy
    f1 <- fastglm(X_sex2, y_sex2, family = binomial(), firth = TRUE)
    l1 <- logistf(case ~ age + oc + vic + vicl + vis + dia, data = sex2)
    cat("\nsex2 max coef diff:",
        max(abs(unname(coef(f1)) - unname(coef(l1)))), "\n")
    #>
    #> sex2 max coef diff: 1.67938e-07

    # small grouped barplot of medians
    firth_df <- rbind(
        transform(.collect(mb_firth1, nrow(sex2)), case = "sex2"),
        transform(.collect(mb_firth2, n),          case = paste0("sim n=", n))
    )
    op <- par(mar = c(4.2, 4.2, 3, 1), las = 1)
    m <- with(firth_df, tapply(median, list(expr, case), identity))
    barplot(m, beside = TRUE, log = "y",
            col = c("#1f77b4", "#d62728"),
            ylab = paste0("median time (", bench_unit, ", log scale)"),
            main = "Firth-penalised logistic: median time per case",
            legend.text = rownames(m),
            args.legend = list(x = "topleft", bty = "n"))

plot of chunk unnamed-chunk-8

    par(op)

# Hurdle models

`fastglm_hurdle` against `pscl::hurdle` across a range of sample sizes, Poisson count component:

    set.seed(6)
    run_one_hurdle <- function(n) {
        x1 <- rnorm(n);  x2 <- rnorm(n)
        lam    <- exp(0.7 + 0.4 * x1 - 0.3 * x2)
        is_pos <- rbinom(n, 1, plogis(-0.4 + 0.5 * x1 + 0.2 * x2))
        yt     <- integer(n)
        for (i in seq_len(n)) {
            repeat { v <- rpois(1, lam[i]); if (v > 0) { yt[i] <- v; break } }
        }
        y  <- ifelse(is_pos == 1, yt, 0L)
        df <- data.frame(y = y, x1 = x1, x2 = x2)
        microbenchmark(
            fastglm_hurdle = fastglm_hurdle(y ~ x1 + x2, data = df, dist = "poisson"),
            pscl_hurdle    = pscl::hurdle (y ~ x1 + x2, data = df, dist = "poisson"),
            times = 5L
        )
    }

    hurdle_tim <- list()
    for (n in c(1e3, 1e4, 5e4, 1e5)) {
        cat("\n--- n =", n, "---\n")
        mb <- run_one_hurdle(n)
        print(.fmt(mb))
        hurdle_tim[[length(hurdle_tim) + 1]] <- .collect(mb, n)
    }
    #>
    #> --- n = 1000 ---
    #>             expr min (ms) median (ms) mean (ms) max (ms)
    #> 1 fastglm_hurdle 0.502045    0.561741  1.274378 4.197539
    #> 2    pscl_hurdle 4.674779    5.173462  5.296864 5.806051
    #>
    #> --- n = 10000 ---
    #>             expr  min (ms) median (ms) mean (ms)  max (ms)
    #> 1 fastglm_hurdle  2.586034    2.796159   3.00334  4.107052
    #> 2    pscl_hurdle 41.390566   42.730569  45.19963 56.807796
    #>
    #> --- n = 50000 ---
    #>             expr  min (ms) median (ms) mean (ms)  max (ms)
    #> 1 fastglm_hurdle  13.52869    13.95025   13.9395  14.28608
    #> 2    pscl_hurdle 267.35223   275.48417  274.6044 280.94914
    #>
    #> --- n = 1e+05 ---
    #>             expr  min (ms) median (ms) mean (ms)  max (ms)
    #> 1 fastglm_hurdle  28.58811    29.49532  31.32037  39.03048
    #> 2    pscl_hurdle 472.64718   488.43985 487.85413 501.12820
    hurdle_tim <- do.call(rbind, hurdle_tim)
    .plot_scaling(hurdle_tim, "Hurdle Poisson: median time vs n")

plot of chunk unnamed-chunk-9

NB hurdle (with simultaneous `theta` MLE) on a single moderately large example:

    set.seed(7)
    n <- 1e4
    x1 <- rnorm(n);  x2 <- rnorm(n)
    lam <- exp(0.8 + 0.4 * x1 - 0.3 * x2)
    is_pos <- rbinom(n, 1, plogis(-0.4 + 0.5 * x1))
    yt <- integer(n)
    for (i in seq_len(n)) {
        repeat {
            v <- MASS::rnegbin(1, mu = lam[i], theta = 1.5)
            if (v > 0) { yt[i] <- v; break }
        }
    }
    y  <- ifelse(is_pos == 1, yt, 0L)
    df <- data.frame(y = y, x1 = x1, x2 = x2)

    mb_hurdle_nb <- microbenchmark(
        fastglm_hurdle = fastglm_hurdle(y ~ x1 + x2, data = df, dist = "negbin"),
        pscl_hurdle    = pscl::hurdle (y ~ x1 + x2, data = df, dist = "negbin"),
        times = 3L
    )
    print(.fmt(mb_hurdle_nb))
    #>             expr min (ms) median (ms) mean (ms) max (ms)
    #> 1 fastglm_hurdle 22.92876    25.15067  25.08678 27.18091
    #> 2    pscl_hurdle 50.02750    51.05701  50.98267 51.86348

# Zero-inflated models

Zero-inflated Poisson against `pscl::zeroinfl()` across sample sizes:

    set.seed(8)
    run_one_zi <- function(n) {
        x1 <- rnorm(n);  x2 <- rnorm(n)
        eta_c <- 0.7 + 0.4 * x1 - 0.3 * x2
        eta_z <- -0.4 + 0.5 * x1 + 0.2 * x2
        z     <- rbinom(n, 1, plogis(eta_z))
        y     <- ifelse(z == 1, 0L, rpois(n, exp(eta_c)))
        df    <- data.frame(y = y, x1 = x1, x2 = x2)
        microbenchmark(
            fastglm_zi = fastglm_zi(y ~ x1 + x2, data = df, dist = "poisson"),
            pscl_zi    = pscl::zeroinfl(y ~ x1 + x2, data = df, dist = "poisson"),
            times = 5L
        )
    }

    zi_tim <- list()
    for (n in c(1e3, 1e4, 5e4, 1e5)) {
        cat("\n--- n =", n, "---\n")
        mb <- run_one_zi(n)
        print(.fmt(mb))
        zi_tim[[length(zi_tim) + 1]] <- .collect(mb, n)
    }
    #>
    #> --- n = 1000 ---
    #>         expr min (ms) median (ms) mean (ms) max (ms)
    #> 1 fastglm_zi 3.913245    4.128946  4.357406 5.386539
    #> 2    pscl_zi 8.937139    9.242794  9.267902 9.536928
    #>
    #> --- n = 10000 ---
    #>         expr min (ms) median (ms) mean (ms)  max (ms)
    #> 1 fastglm_zi 41.80028    43.05660  44.98070  49.08741
    #> 2    pscl_zi 93.26643    93.93662  99.71534 111.59405
    #>
    #> --- n = 50000 ---
    #>         expr min (ms) median (ms) mean (ms) max (ms)
    #> 1 fastglm_zi 216.0857    217.6707  220.9450 230.0795
    #> 2    pscl_zi 523.3382    536.0326  547.1348 595.4259
    #>
    #> --- n = 1e+05 ---
    #>         expr  min (ms) median (ms) mean (ms)  max (ms)
    #> 1 fastglm_zi  423.3069     428.439  429.8353  440.3532
    #> 2    pscl_zi 1036.3304    1050.165 1048.7925 1058.5976
    zi_tim <- do.call(rbind, zi_tim)
    .plot_scaling(zi_tim, "Zero-inflated Poisson: median time vs n")

plot of chunk unnamed-chunk-11

Zero-inflated NB on a single moderately large example:

    set.seed(9)
    n  <- 1e4
    x1 <- rnorm(n);  x2 <- rnorm(n)
    eta_c <- 0.8 + 0.4 * x1 - 0.3 * x2; lam <- exp(eta_c)
    eta_z <- -0.4 + 0.5 * x1 + 0.2 * x2
    z <- rbinom(n, 1, plogis(eta_z))
    y <- ifelse(z == 1, 0L, MASS::rnegbin(n, mu = lam, theta = 2.0))
    df <- data.frame(y = y, x1 = x1, x2 = x2)

    mb_zi_nb <- microbenchmark(
        fastglm_zi = fastglm_zi(y ~ x1 + x2, data = df, dist = "negbin",
                                em.tol = 1e-8, em.maxit = 200L),
        pscl_zi    = pscl::zeroinfl(y ~ x1 + x2, data = df, dist = "negbin"),
        times = 3L
    )
    print(.fmt(mb_zi_nb))
    #>         expr  min (ms) median (ms) mean (ms)  max (ms)
    #> 1 fastglm_zi  62.05588    67.03602  69.34702  78.94915
    #> 2    pscl_zi 142.46971   158.26016 154.09418 161.55267

# Summary

A compact summary of the speed advantage fastglm delivers, expressed as the ratio of reference-implementation median time to fastglm median time. Larger is better. The reference for each model class is the canonical R implementation; for the standard GLMs we report the ratio against the fastest among `glm.fit`, `glm2`, and `speedglm` so the comparison is conservative.

    .speedup <- function(df, fast_label, ref_labels) {
        out <- lapply(split(df, df$n), function(sub) {
            fast <- sub$median[sub$expr == fast_label]
            if (length(fast) == 0) return(NULL)
            ref  <- min(sub$median[sub$expr %in% ref_labels])
            data.frame(n = sub$n[1], speedup = ref / fast)
        })
        do.call(rbind, out)
    }

    su_logit  <- .speedup(logit_tim,  "fastglm_chol",
                          c("glm.fit", "glm2_fit2", "speedglm"))
    su_pois   <- .speedup(pois_tim,   "fastglm_chol",
                          c("glm.fit", "glm2_fit2", "speedglm"))
    su_nb     <- .speedup(nb_tim,     "fastglm_nb",     "glm.nb")
    su_hurdle <- .speedup(hurdle_tim, "fastglm_hurdle", "pscl_hurdle")
    su_zi     <- .speedup(zi_tim,     "fastglm_zi",     "pscl_zi")

    su_all <- rbind(
        transform(su_logit,  model = "logit"),
        transform(su_pois,   model = "poisson"),
        transform(su_nb,     model = "neg-binomial"),
        transform(su_hurdle, model = "hurdle"),
        transform(su_zi,     model = "zero-inflated")
    )

    op <- par(mar = c(4.2, 4.5, 3, 1), las = 1)
    models <- unique(su_all$model)
    cols   <- seq_along(models)
    plot(NA, log = "xy",
         xlim = range(su_all$n), ylim = range(su_all$speedup),
         xlab = "n (log scale)",
         ylab = "speedup over reference (x, log scale)",
         main = "fastglm speedup vs canonical reference, by model class")
    abline(h = 1, col = "gray70", lty = 2)
    grid(equilogs = FALSE, col = "gray85")
    for (k in seq_along(models)) {
        sub <- su_all[su_all$model == models[k], ]
        sub <- sub[order(sub$n), ]
        lines (sub$n, sub$speedup, col = cols[k], lwd = 2)
        points(sub$n, sub$speedup, col = cols[k], pch = 19)
    }
    legend("topleft", legend = models, col = cols, pch = 19, lty = 1, lwd = 2,
           bty = "n")

plot of chunk unnamed-chunk-13

    par(op)

Across all six model classes the same picture holds:

- fastglm matches the canonical reference implementation to floating-point precision (or to within the EM tolerance for zero-inflation), so the numerical answer is the same.
- The runtime gap grows with sample size, since R-side overhead in the reference implementations is fixed-per-iteration. By `n = 1e5` the speedup is generally an order of magnitude or more.
- For models with an outer iteration (NB joint MLE, hurdle/ZI with NB), the gap is widest, since the entire outer loop is in C++ in fastglm and entirely in R for `MASS::glm.nb`, `pscl::hurdle`, `pscl::zeroinfl`.

# References

- Enea, M. (2009). Fitting linear models and generalized linear models with large data sets in R. In Statistical Methods for the Analysis of Large Data-sets, Italian Statistical Society. speedglm package documentation.

- Firth, D. (1993). Bias reduction of maximum likelihood estimates. Biometrika, 80(1), 27–38. doi:10.1093/biomet/80.1.27

- Heinze, G. and Schemper, M. (2002). A solution to the problem of separation in logistic regression. Statistics in Medicine, 21(16), 2409–2419. doi:10.1002/sim.1047

- Marschner, I. C. (2011). glm2: Fitting generalized linear models with convergence problems. The R Journal, 3(2), 12–15. doi:10.32614/RJ-2011-012

- Venables, W. N. and Ripley, B. D. (2002). Modern Applied Statistics with S (4th ed.). Springer.

- Zeileis, A., Kleiber, C., and Jackman, S. (2008). Regression models for count data in R. Journal of Statistical Software, 27(8), 1–25. doi:10.18637/jss.v027.i08