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st: Why is Mata much slower than MATLAB at matrix inversion?


From   Patrick Roland <patrick.rolande@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Why is Mata much slower than MATLAB at matrix inversion?
Date   Thu, 19 Jul 2012 18:22:09 -0700

I'm comparing two code snippets. In Mata:

mata
timer_on(1)
M = rnormal(2000,2000,0,1)
J = cholinv(M)
timer_off(1)
timer()
end

In MATLAB:

tic;
M = normrnd(0,1,2000,2000);
J = inv(M);
toc;

I find that MATLAB is about 20 times faster (1.5 seconds vs 30
seconds). Is there something I'm missing here, or is MATLAB just much
faster at matrix inversion? I'd much prefer to use Mata because of
integration with Stata, but if the speed difference is going to be on
this order then MATLAB is more attractive.


Any input here is appreciated.
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