Is there a way to optimize a call to pnorm
? I am having some bottleneck in my code and after a lot a optimization and benchmark I realized that it comes from the call to pnorm
on relatively big vectors.
With microbenchmarking
I got on my machine that if length(u) ~ 1e7
then pnorm(u)
takes 1 sec.
Also I noted that using pnorm
on one vector on cutting the problem with sapply
does not change anything.
Is there a way to use Rcpp here ? or the built-in pnorm
is already optimized ?
Any ideas welcome
NOTE I have found these posts on SO: Use pnorm from Rmath.h with Rcpp and How can I use qnorm on Rcpp? but as far as I understood their purpose is to use the R functions into Cpp code
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