Simulating dynamic processes is slow in R. Using the Rcpp function, we can incorporate C++ code to improve performance.

My dad, Tim, wrote the C++ code you see here = ).

Example 1 - Two states, single unit

We’re going to simulate data goverened by the following equations:

\begin{align*} x_t &= a1x_{t-1} + b1y_{t-1}\\ y_t &= a2y_{t-1} + b2x_{t-1}. \end{align*}

Here it is in R:

library(tidyverse)
library(Rcpp)
# Parameters
a1 <- 0.8
a2 <- 0.2
b1 <- -0.5
b2 <- 0.5

# Time points
time <- 100

# Initialize df to store the values
df <- data.frame(
# a vector of length 100
'time' = c(numeric(time)),
# a vector of length 100
'x' = c(numeric(time)),
'y' = c(numeric(time))
)

# I always like to use a counter even though it isn't needed here
count <- 1

# First time point, x starts at 50 and y at 10
df[1, 'time'] <- 1
df[1, 'x'] <- 50
df[1, 'y'] <- 10

# For loop that iterates over the process
for(i in 2:time){
count <- count + 1

# store time
df[count, 'time'] <- i
# x
df[count, 'x'] <- a1*df[count - 1, 'x'] + b1*df[count - 1, 'y']
# y
df[count, 'y'] <- a2*df[count - 1, 'y'] + b2*df[count - 1, 'x']

}

Some of the output…

##   time       x       y
## 1    1 50.0000 10.0000
## 2    2 35.0000 27.0000
## 3    3 14.5000 22.9000
## 4    4  0.1500 11.8300
## 5    5 -5.7950  2.4410
## 6    6 -5.8565 -2.4093

Now, we can do the same thing but use a call to C++ that will improve performance.

# C++ function
cppFunction('DataFrame createTrajectory(int t, double x0, double y0,
double a1, double a2, double b1, double b2) {
// create the columns
NumericVector x(t);
NumericVector y(t);
x[0]=x0;
y[0]=y0;
for(int i = 1; i < t; ++i) {
x[i] = a1*x[i-1]+b1*y[i-1];
y[i] = a2*y[i-1]+b2*x[i-1];
}
// return a new data frame
return DataFrame::create(_["x"] = x, _["y"] = y);
}
')

# Parameters
a1 <- 0.8
a2 <- 0.2
b1 <- -0.5
b2 <- 0.5

# Time points
time <- 100

# Call the function and run it with 100 time points
df <- createTrajectory(time, 50, 10, a1, a2, b1, b2)

# Create a time column
df\$time <- c(1:time)

##         x       y time
## 1 50.0000 10.0000    1
## 2 35.0000 27.0000    2
## 3 14.5000 22.9000    3
## 4  0.1500 11.8300    4
## 5 -5.7950  2.4410    5
## 6 -5.8565 -2.4093    6

Example 2 - Two states, multiple units

In the last example, we simulated $$x$$ and $$y$$ over a single unit (e.g., a person, cell, company, nation, etc.). Here, we’ll incorporate multiple units and unobserved heterogeneity.

The equations governing the system are:

\begin{align*} x_{it} &= a1x_{i(t-1)} + b1y_{i(t-1)} + u_i + e_{it}\\ y_{it} &= a2y_{i(t-1)} + b2x_{i(t-1)} + m_i + e_{it} \end{align*}

Here is the simulation in base R:

# Parameters
a1 <- 0.8
a2 <- 0.2
b1 <- -0.5
b2 <- 0.5

# Time points and people
time <- 100
people <- 500

# Initialize df to store the values
df <- data.frame(
'time' = c(numeric(time*people)),
'person' = c(numeric(time*people)),
'x' = c(numeric(time*people)),
'y' = c(numeric(time*people))
)

# counter
count <- 0

# For each person...
for(i in 1:people){

# draw his or her stable individual differences, u and m
# draw one value from a normal distribution with mean 0 and sd 2
ui <- rnorm(1, 0, 2)
# draw one value from a normal distribution with mean 0 and sd 2
mi <- rnorm(1, 0, 2)

# now run this individual across time
for(j in 1:time){
count <- count + 1

# first time point
if(j == 1){
df[count, 'time'] <- j
df[count, 'person'] <- i
# draw 1 value from a normal distribution with mean 50 and sd 5
df[count, 'x'] <- rnorm(1, 50, 5)
# draw 1 value from a normal distribution with mean 10 and sd 3
df[count, 'y'] <- rnorm(1, 10, 3)

}else{

# all other time points

df[count, 'time'] <- j
df[count, 'person'] <- i
df[count, 'x'] <- a1*df[count - 1, 'x'] + b1*df[count - 1, 'y'] + ui + rnorm(1, 0, 1)
df[count, 'y'] <- a2*df[count - 1, 'y'] + b2*df[count - 1, 'x'] + mi + rnorm(1, 0, 1)
}
}
}

##   time person         x         y
## 1    1      1 49.103245  5.651547
## 2    2      1 39.015116 26.190747
## 3    3      1 20.608306 26.105858
## 4    4      1  5.870011 17.628131
## 5    5      1 -2.670205  9.518519
## 6    6      1 -5.533626  2.997096

Here it is using the Rccp function to incorporate C++ code.

# C++ function
cppFunction('
DataFrame createTrajectory2(
int timeSteps,
int peopleCount,
double a1,
double a2,
double b1,
double b2
)
{
// create the columns
NumericVector x(timeSteps * peopleCount);
NumericVector y(timeSteps * peopleCount);
NumericVector time(timeSteps * peopleCount);
NumericVector person(timeSteps * peopleCount);

int count = 0;
int previous = 0;
for (int i = 0; i < peopleCount; i++)
{
// set persons time 0 data
// draw 1 value from a normal distribution with mean 50 and sd 5
x[count] = R::rnorm(50, 5);
// draw 1 value from a normal distribution with mean 10 and sd 3
y[count] = R::rnorm(10, 3);
time[count] = 0;
person[count] = i;
previous = count;
count++;

// draw his or her stable individual differences, u and m
// draw one value from a normal distribution with mean 0 and sd 2
double ui = R::rnorm(0, 2);
// draw one value from a normal distribution with mean 0 and sd 2
double mi = R::rnorm(0, 2);

// now run this individual across time
for (int j = 1; j < timeSteps; j++)
{
// all other time points
x[count] = a1 * x[previous] + b1 * y[previous] + ui + R::rnorm(0, 1);
y[count] = a2 * y[previous] + b2 * x[previous] + mi + R::rnorm(0, 1);
time[count] = j;
person[count] = i;
previous = count;
count++;
}
}

// return a new data frame
return DataFrame::create(_["x"] = x, _["y"] = y, _["time"] = time, _["person"] = person);
}
')

# Parameters
a1 <- 0.8
a2 <- 0.2
b1 <- -0.5
b2 <- 0.5

# Time points
time <- 100
people <- 500

# Call the function and run it with 100 time steps and 500 people
df <- createTrajectory2(time, people, a1, a2, b1, b2)

Bo$$^2$$m =)