Info

此问题已关闭。 请重新打开它进行编辑或回答。

Improving code execution: vectorization

1 次查看（过去 30 天）
Anders Jessen
Anders Jessen 2015-3-1
关闭： MATLAB Answer Bot 2021-8-20
I have these functions that calculate bond yields. In the code below, the most simple one is displayed, although there are similar function with more complicated code inside the loop. Execution time is of the essence as the functions go into larger optimization problems. The performance is highly dependent on the maturity input, which translates into the # of loops. Now, my question is whether it is somehow possible to rewrite this function - such as vectorization instead of looping - that will result in improvements of performance?
function [Yield] = Yield_shadowrate_FO(...
alpha, beta, mu, phi, sigma, maturity, X)
N = size(X, 1);
s_mean = zeros(maturity-1, 1);
s_var = zeros(maturity-1, 1);
a = zeros(maturity-1, 1);
FO = zeros(maturity-1, 1);
for k = 1:maturity
if k == 1
short_rate = max(alpha+beta' * X,0);
else
i = (k-1);
X_mean = mu + (eye(N)-phi)^i*X - (phi\(eye(N)-phi)^i)*phi*mu;
S = (eye(N*N)-kron(eye(N)-phi,eye(N)-phi)) \ ...
(eye(N*N)-kron(eye(N)-phi,eye(N)-phi)^i)* ...
reshape(sigma*sigma', N*N, 1);
X_var = reshape(S, N, N);
s_mean(i) = alpha + beta' * X_mean;
s_var(i) = beta' * X_var * beta;
a(i) = s_mean(i) / s_var(i)^0.5;
FO(i)=s_mean(i)*0.5*erfc(-a(i)/sqrt(2))+s_var(i)^0.5*normpdf(a(i));
end
end
Yield = 1/maturity*(short_rate+sum(FO,1));
end
  1 个评论
Geoff Hayes
Geoff Hayes 2015-3-1
Anders - please comment on the performance of the above code and give us some indication of the size/dimension of each of the inputs alpha, beta, mu, phi, sigma, maturity, X. How often do you call the above function and how long does it take to execute it? Have you tried to profile the code?

此问题已关闭。

回答（0 个）

此问题已关闭。

标签

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by