I'm really in trouble my computer ( centrino 1.7 GHz 512 RAM)
run Bill's Code in 1.84 second.
But when changing slightly Bill's code (namely dimension of
matrix q and h) in order to match exactly my problem execution
time took about 16 MINUTES see log file above. Any comments
. do "C:\projets\nicolas\toulouse\gould.do"
. cscript
-------------------------------------------------------------------------BEGIN
r; t=0.00 23:35:02
.
. set memory 30m
(30720k)
r; t=0.00 23:35:02
. set rmsg on
r; t=0.00 23:35:02
. local OBS 35900
r; t=0.00 23:35:02
.
. set obs `OBS'
obs was 0, now 35900
r; t=0.00 23:35:02
. set seed 1234
r; t=0.00 23:35:02
.
. forvalues i=1(1)46 {
2. gen v`i' = uniform()
3. }
r; t=0.41 23:35:03
. forvalues i=1(1)35 {
2. gen vprobit`i' = uniform()
3. }
r; t=0.20 23:35:03
.
. gen dmills = uniform()
r; t=0.00 23:35:03
. gen selection = uniform()
r; t=0.02 23:35:03
. gen t = mod(_n-1, 5) + 1
r; t=0.02 23:35:03
.
. local instrume v1 v2 v3 v4 v5 v6 v7 v8 v9 v10 ///
> v11 v12 v13 v14 v15 v16 v17 v18 v19 v20 ///
> v21 v22 v23 v24 v25 v26 v27 v28 v29 v30 ///
> v31 v32 v33 v34 v35 v36 v37 v38 v39 v40 ///
> v41 v42 v43 v44 v45 v46
r; t=0.00 23:35:03
.
. local vprobit vprobit1 vprobit2 vprobit3 vprobit4 vprobit5
vprobit6 vprobit7 vprobit8 vprobit9 vprobit10
> ///
> vprobit11 vprobit12 vprobit13 vprobit14
vprobit15 vprobit16 vprobit17 vprobit18 vprobit19
> vprobit20 ///
> vprobit21 vprobit22 vprobit23 vprobit24
vprobit25 vprobit26 vprobit27 vprobit28 vprobit29
> vprobit30 ///
> vprobit31 vprobit32 vprobit33 vprobit34
vprobit35
r; t=0.00 23:35:03
. mata:
------------------------------------------------- mata (type
end to exit) ---------------------------------
: w = st_data(., tokens(st_local("instrume"))) // matrix
: q = st_data(., tokens(st_local("vprobit"))) // matrix
: dmills=st_data(., "dmills") // colvector
: s=st_data(., "selection") // colvector
: t=st_data(., "t") // colvector
:
: chw=cols(w) // scalar
: cq=cols(q) // scalar
:
: h = uniform(`OBS', 70)
:
: n = nt = `OBS'
: T = 21
: beta = uniform(46,1)
:
: F=J(cols(h),(cols(q)*T),0)
: gg=cols(F)
: bb=rows(F)
: gg
735
: bb
70
: for (i=1; i<=nt; i++) {
> jacobi=J(chw, (cq*T) ,0)
> jacobi[(chw - T + t[i]), (cq*t[i] -cq+1)..cq*t[i]] =
>
q[i,.]:*dmills[i,.]
> F = F + (s[i,.]:*h[i,.]')*beta'*jacobi
> }
:
: F=(1/n)*F
: gg=cols(F)
: bb=rows(F)
: gg
735
: bb
70
:
: end
-----------------------------------------------------------------------------------------------------------
r; t=974.58 23:51:17
.
end of do-file
r; t=975.23 23:51:17
.
---- Original message ----
>Date: Tue, 30 May 2006 12:41:43 -0500
>From: [email protected] (William Gould, Stata)
>Subject: Re: st: mata: why this loop is so slow
>To: [email protected]
>
>AbdelRahmen <[email protected]> reported
>
>> I've written this portion of code (see below) and it works
>> perfectly the problem is the execution time which is about 15
>> mn. Under SAS (IML) my co-author code the same thing and the
>> execution time is 1 (one) minute on 35900 observations. is
>> there a problem with my programmation Style?
>
>I replied, AbdelRahmen replied, and I now have run his code
on my
>computer.
>
>It ran is 0.84 seconds on my computer.
>
>Perhaps I have done something wrong. I concocted phony
values, but
>everything I think is as AbdelRahmen describes it. I wonder how
>fast the attached do-file runs on his computer.
>
>-- Bill
>[email protected]
>
>File try.do follows:
>------------------------------------------------------------------------------
>cscript
>
>set memory 30m
>set rmsg on
>local OBS 35900
>
>set obs `OBS'
>set seed 1234
>
>forvalues i=1(1)46 {
> gen v`i' = uniform()
>}
>gen vprobit = uniform()
>gen dmills = uniform()
>gen selection = uniform()
>gen t = mod(_n-1, 5) + 1
>
>local instrume v1 v2 v3 v4 v5 v6 v7 v8 v9 v10 ///
> v11 v12 v13 v14 v15 v16 v17 v18 v19 v20 ///
> v21 v22 v23 v24 v25 v26 v27 v28 v29 v30 ///
> v31 v32 v33 v34 v35 v36 v37 v38 v39 v40 ///
> v41 v42 v43 v44 v45 v46
>
>local vprobit "vprobit"
>
>mata:
>
>w = st_data(., tokens(st_local("instrume"))) // matrix
>q = st_data(., tokens(st_local("vprobit"))) // matrix
>dmills=st_data(., "dmills") // colvector
>s=st_data(., "selection") // colvector
>t=st_data(., "t") // colvector
>
>chw=cols(w) // scalar
>cq=cols(q) // scalar
>
>h = uniform(`OBS', 1)
>
>n = nt = `OBS'
>T = 21
>beta = uniform(46,1)
>
>F = J(1,21,0)
>for (i=1; i<=nt; i++) {
> jacobi=J(chw, (cq*T) ,0)
> jacobi[(chw - T + t[i]), (cq*t[i] -cq+1)..cq*t[i]] =
>
q[i,.]:*dmills[i,.]
> F = F + (s[i,.]:*h[i,.]')*beta'*jacobi
>}
>
>F=(1/n)*F
>
>end
>------------------------------------------------------------------------------
><end>
>*
>* For searches and help try:
>* http://www.stata.com/support/faqs/res/findit.html
>* http://www.stata.com/support/statalist/faq
>* http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
