Help speeding up matrix algebra in loop...

Question

John 2015-8-28

0
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https://ww2.mathworks.cn/matlabcentral/answers/237176-help-speeding-up-matrix-algebra-in-loop

评论： John 2015-8-28

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!