Increase efficiency on nested loops

Question

V 2015-4-30

0
链接

此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/214462-increase-efficiency-on-nested-loops

编辑： James Tursa 2015-4-30

I have a loop that looks like:

for t=1:size(datesdaily1,1)
for i=1:size(secids,1)
    for j=1:size(secids,1)
        if not(isnan(weig1(t,i)*weig1(t,j)*rho(i,j)*sqrt(Rates(t,i)*Rates(t,j))))
        numerator=numerator + weig1(t,i)*weig1(t,j)*rho(i,j)*sqrt(Rates(t,i)*Rates(t,j));
        denominator=denominator+ weig1(t,i)*weig1(t,j)*(1-rho(i,j))*sqrt(Rates(t,i)*Rates(t,j));
        end
    end
end
end

It takes a lot of time to run... is there anyway to increase efficiency? (maybe avoiding loops?)

Thanks, V

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Answer 1

James Tursa 2015-4-30

1
链接

此回答的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/214462-increase-efficiency-on-nested-loops#answer_177336

编辑：James Tursa 2015-4-30

在 MATLAB Online 中打开

This gets the inner loops vectorized (gets about a 100x speed improvement on my machine):

rho1 = 1 - rho;
for t=1:size(datesdaily1,1)
    w = weig1(t,:) .* sqrt(Rates(t,:));
    x = w.' * w;
    y = x .* rho;
    z = x .* rho1;
    numerator   = numerator   + sum(y(~isnan(y)));
    denominator = denominator + sum(z(~isnan(z)));
end