I am trying to speed up the following piece of code. It computes position (i.e., index) of random draws according to the CDF m. In other words, it simulates the initial position of a large number of objects where these objects have CDF m. Is there a way to speed up this loop?
m = sim.m;
m_vec = m(:);
m_cum =cumsum(m_vec)';
R = rand(s.N,s.T);
ind_ini = zeros(s.N,1);
m_cum = [0 m_cum];
for ii=1:s.N
ind_ini(ii,1) = sum(R(ii,1)>m_cum,2);
end
The issue here is that m_cum is a very large vector (1-by-1e6) and s.N is also large (>100000). I tried using find function but it was slower on my machine. Also tried vectorizing naively but then I hit the limit on the size of the machine...
