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From |
David Kantor <[email protected]> |

To |
[email protected] |

Subject |
Re: st: Mata - generalised cross products of the form X'SX |

Date |
Tue, 08 Feb 2011 09:29:54 -0500 |

At 07:12 AM 2/8/2011, Gordon Hughes wrote:

I am starting a new thread, but this is really a follow-up to mypost on performance monitoring. Following Bill Gould's helpfulsuggestion I have identified that most of the time is consumed inloops in my likelihood evaluation that calculate matrices of theform Z=X'SX where S is symmetric but not a diagonal matrix. Ofcourse, I am doing things outside loops where I can.This is a standard form in any GLS type calculation. They are notdirectly amenable to use with the Mata function --cross()-- but theycould be got into that form by forming by factorising S=QQ', thenforming P=Q'X, and finally using P=cross(P,P).Two questions follow:A. Is there any Mata function that does this more directly? MaybeStata Corp might consider extending --cross()-- to handle suchcases. The command --matrix glsaccum-- does this in Stata.B. Roughly, under what conditions might this sequence of stepsreduce execution time and/or memory use on the assumption that thedimension of S is large relative to cols(X)? In a related context Ihave to calculate X'B'BX where B is square but not symmetric andfound that use of --cross()-- does not save much (if any) time,though it is probably more efficient on memory. Hence, the overheadof factorisation may not pay off. On the other hand, the initialfactorisation would only need to be done once per function call,whereas the steps involving X have to be performed thousands oftimes per function call.Gordon Hughes [email protected]

`X'' * `invcov' * `X' `X'

local vref "\`v'[\`refobs']" quietly gen double `gen' = . tempname X Y forvalues obsno = 1/`=_N' { matrix `X' = J(`nvars', 1, .) matrix rownames `X' = `varlist' foreach v of local varlist { local rownum = rownumb(matrix(`X'), "`v'") matrix `X'[`rownum', 1] = `v'[`obsno'] - `vref' } matrix `Y' = `X'' * `invcov' * `X' // `Y' is 1x1 quietly replace `gen' = (scalar(`Y'[1,1])) in `obsno' } ----

local rows : rownames `invcov' local cols : colnames `invcov' local icrows = rowsof(`invcov') local iccols = colsof(`invcov') local vjref "\`vj'[\`refobs']" local vkref "\`vk'[\`refobs']" quietly gen double `gen' = 0 forvalues j = 1 / `icrows' { forvalues k = 1 / `icrows' { /* or iccols -- the same */ local vj = word("`rows'", `j') local vk = word("`rows'", `k') /* or cols -- should be the same */ quietly replace `gen' = `gen' + /// `invcov'[`j,', `k'] * (`vj' - `vjref') * (`vk' - `vkref') } } ----

I hope this is useful or interesting. --David * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: Mata - generalised cross products of the form X'SX***From:*Gordon Hughes <[email protected]>

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