My recollection is that Octave is significantly slower than Matlab, and some quick googling on benchmarks [1] suggests that it is (was?) as slow or slower than R.

I've complained before that Octave is the wrong solution to the Matlab problem, and if you aren't attached to one of the many fine Matlab toolkits, you're likely better served translating to a more expressive language, like Python+Numpy+Scipy.

[1] http://sciviews.org/benchmark/