Microsoft has realized the power of R, so it has integrated it into its systems, including Power BI and SQL Server 2017. Microsoft released a free version of R with some improvements, including native SQL Server connection, package versioning in MRAN (Microsoft Cran), and optimizations in the linear algebra package.
This last one claims to be considerably faster than the one included in R, so following the line of the Article on Sparse Matrix, I ran some tests.
In the following tests, the performance of R 3.4.2 (32 and 64-bit) and Microsoft Open R 3.4.1 was compared using R’s standard matrices:
Time to perform a Linear Regression
Time to perform a Logistic Regression
Time to square the matrix.
Time to invert the matrix
Time to perform SVD decomposition
As you can see, Microsoft’s R wins in all tests. Additionally, you can have both R versions installed on your PC, so it doesn’t hurt to try it.
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