Vectorization of Loops with Matrix Multiplications

Hi all. I have the following code which is being repeated many times with different time series and this is producing a huge bottleneck on my code:
%% Example Data
t = 252;
h = randn(252,2);
l = round(0.1 * t,0);
%% Loop
for i = 1:(l - 1)
o_tmp = h(1,:).' * h(1+i,:);
for j = 2:(t - i)
o_tmp = o_tmp + h(j,:).' * h(j+i,:);
end
o_tmp = o_tmp / (t - i);
end
I would like ti know if there is a suitable way to improve it, maybe by vectorizing all computations or just some of them. Any suggestion is more than welcome. Thanks in advance for your help!

1 comentario

David Hill
David Hill el 30 de Mzo. de 2020
It would help if you explained what you are trying to do (big picture).

Iniciar sesión para comentar.

 Respuesta aceptada

%% Example Data
t = 252;
h = randn(252,2);
l = round(0.1 * t,0);
%% Loop
for i = 1:(l - 1)
o_tmp = (h(1:(t-i),:).' * h((1+i):t,:))/(t-i);
end

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