Speeding up sandwiches in Julia

Speeding up sandwiches in Julia.ipynb

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     "data": {
      "text/plain": [
       "timeIt (generic function with 1 method)"
      ]
     },
     "execution_count": 1,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "function timeIt(f, k)\n",
    "    f()\n",
    "    t=time()\n",
    "    for i=1:k\n",
    "        f()\n",
    "    end\n",
    "    t=time()-t\n",
    "    println(\"Average time \", t/k)\n",
    "end"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 19,
   "metadata": {
    "collapsed": false
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   "outputs": [],
   "source": [
    "N=10\n",
    "T=10000\n",
    "X=randn(T,N);\n",
    "u=randn(T);"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 20,
   "metadata": {
    "collapsed": false
   },
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "Average time 0.6659400010108948\n",
      "Average time 0.6593200016021729\n",
      "Average time 0.009630000591278077\n",
      "true\n"
     ]
    }
   ],
   "source": [
    "function get_V(X::Array{Float64, 2}, u::Array{Float64, 1})\n",
    "    return X'*diagm(u.^2)*X\n",
    "end\n",
    "\n",
    "function get_V_oneLoop(X::Array{Float64, 2}, u::Array{Float64, 1})\n",
    "    Z=fill(0.0, N, T)\n",
    "    for i=1:T\n",
    "        @inbounds Z[:,i]=u[i]^2*X[i,:]\n",
    "    end\n",
    "    return Z*X\n",
    "end\n",
    "        \n",
    "f1()=get_V(X, u)\n",
    "timeIt(f1, 100)\n",
    "\n",
    "f2()=X'*diagm(u.^2)*X\n",
    "timeIt(f2, 100)\n",
    "\n",
    "f3()=get_V_oneLoop(X, u)\n",
    "timeIt(f3, 100)\n",
    "\n",
    "println(get_V_oneLoop(X, u)==get_V(X, u))"
   ]
  }
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