sum(ifelse(cumsum(W)<=v, W, 0) * R)
HTH,
David L. Reiner
-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org]
On Behalf Of fernando.cabrera at nordea.com
Sent: Monday, October 03, 2011 9:50 AM
To: r-help at r-project.org
Subject: [SPAM] - [R] Matrix/Vector manipulation - Bayesian Filter detected spam
Hi guys,
Have the following problem computing vectors with pure vector algebra and end up
reverting to recursion or for-looping.
Function my_cumsum calculates a weighted average (W) of ratios (R), but only up
to the given size/volume (v). Now I recurse into the vector (from left to right)
with what you have left from the difference of volume minus current weight, and
stop when the difference is less than or equal to the current weight.
Vectors W and R have the same length, and v is always a positive integer.
W: {w_1 w_2 .. w_m}
R: {r_1 r_2 .. r_m}
my_cumsum <- function(v, R, W) {
if (v <= W[1]) # check the head
v*R[1]
else
W[1]*R[1] + my_cumsum(v - W[1], R[2:length(R)], W[2:length(W)])
# recurse the tail }
Any help is greatly appreciated!
Fernando Alvarez
"Great ideas originate in the muscles." ~ Thomas A. Edison
______________________________________________
R-help at r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
This e-mail and any materials attached hereto, including, without limitation,
all content hereof and thereof (collectively, "XR Content") are
confidential and proprietary to XR Trading, LLC ("XR") and/or its
affiliates, and are protected by intellectual property laws. Without the prior
written consent of XR, the XR Content may not (i) be disclosed to any third
party or (ii) be reproduced or otherwise used by anyone other than current
employees of XR or its affiliates, on behalf of XR or its affiliates.
THE XR CONTENT IS PROVIDED AS IS, WITHOUT REPRESENTATIONS OR WARRANTIES OF ANY
KIND. TO THE MAXIMUM EXTENT PERMISSIBLE UNDER APPLICABLE LAW, XR HEREBY
DISCLAIMS ANY AND ALL WARRANTIES, EXPRESS AND IMPLIED, RELATING TO THE XR
CONTENT, AND NEITHER XR NOR ANY OF ITS AFFILIATES SHALL IN ANY EVENT BE LIABLE
FOR ANY DAMAGES OF ANY NATURE WHATSOEVER, INCLUDING, BUT NOT LIMITED TO, DIRECT,
INDIRECT, CONSEQUENTIAL, SPECIAL AND PUNITIVE DAMAGES, LOSS OF PROFITS AND
TRADING LOSSES, RESULTING FROM ANY PERSON'S USE OR RELIANCE UPON, OR
INABILITY TO USE, ANY XR CONTENT, EVEN IF XR IS ADVISED OF THE POSSIBILITY OF
SUCH DAMAGES OR IF SUCH DAMAGES WERE FORESEEABLE.