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Optimise creation of matern 3/2 covariance matrix

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snhah
snhah 2020-4-16
回答： darova 2020-4-17
I'm making a function to create a Matern 3/2 covariance matrix (see below). The size of the matrix varies but is typically with n >= 1e5. My attempt currently takes very long.
How can I increase the performance of this code?
function K = matern32(n,tau)
% Function creates n x n matern covariance matrix
K = sparse(n,n);
eps = 1e-9;
for i = 1:n
for j = 1:n
K(i,j) = (1+sqrt(3)*abs(i-j)/tau)*exp(-sqrt(3)*abs(i-j)/tau);
if K(i,j) < eps
K(i,j) = 0;
end
end
end
end

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回答（1 个）

darova
darova 2020-4-17
Try this
[X,Y] = meshgrid(1:n);
K = (1+sqrt(3)*abs(X-Y)/tau).*exp(-sqrt(3)*abs(X-Y)/tau);
K = (K>1e-9).*K;
read this

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