Help speeding up matrix algebra in loop...
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Hi everyone, I'm simply looking for some suggestions for speeding up the following block of code:
bhat = (X'*X)\(X'*y);
yhat = X*bhat;
resid = y - yhat;
bclu=zeros(size(X,2));
for i=idx.unique
idmat=find(idx.sample==i);
x_g=X(idmat,:);
u_g=resid(idmat,:);
bclu_i=x_g'*u_g*(u_g)'*x_g;
bclu = bclu+bclu_i;
end
vhat=((X'*X)\bclu)/(X'*X);
I suppose there might be some scope for the use of "sparse" here, or perhaps vectorization, but it's not obvious to me how to optimize this. Any suggestions would be great. Thanks!
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Accepted Answer
Walter Roberson
on 28 Aug 2015
You could probably use parfor, if you have the Parallel Computing Toolkit.
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