I have a 3D numpy array of shape (t, n1, n2):
x = np.random.rand(10, 2, 4)
I need to calculate another 3D array y which is of shape (t, n1, n1) such that:
y[0] = np.cov(x[0,:,:])
...and so on for all slices along the first axis.
So, a loopy implementation would be:
y = np.zeros((10,2,2))
for i in np.arange(x.shape[0]):
y[i] = np.cov(x[i, :, :])
Is there any way to vectorize this so I can calculate all covariance matrices in one go? I tried doing:
x1 = x.swapaxes(1, 2)
y = np.dot(x, x1)
But it didn't work.
Hacked into numpy.cov source code and tried using the default parameters. As it turns out, np.cov(x[i,:,:]) would be simply :
N = x.shape[2]
m = x[i,:,:]
m -= np.sum(m, axis=1, keepdims=True) / N
cov = np.dot(m, m.T) /(N - 1)
So, the task was to vectorize this loop that would iterate through i and process all of the data from x in one go. For the same, we could use broadcasting at the third step. For the final step, we are performing sum-reduction there along all slices in first axis. This could be efficiently implemented in a vectorized manner with np.einsum. Thus, the final implementation came to this -
N = x.shape[2]
m1 = x - x.sum(2,keepdims=1)/N
y_out = np.einsum('ijk,ilk->ijl',m1,m1) /(N - 1)
Runtime test
In [155]: def original_app(x):
...: n = x.shape[0]
...: y = np.zeros((n,2,2))
...: for i in np.arange(x.shape[0]):
...: y[i]=np.cov(x[i,:,:])
...: return y
...:
...: def proposed_app(x):
...: N = x.shape[2]
...: m1 = x - x.sum(2,keepdims=1)/N
...: out = np.einsum('ijk,ilk->ijl',m1,m1) / (N - 1)
...: return out
...:
In [156]: # Setup inputs
...: n = 10000
...: x = np.random.rand(n,2,4)
...:
In [157]: np.allclose(original_app(x),proposed_app(x))
Out[157]: True # Results verified
In [158]: %timeit original_app(x)
1 loops, best of 3: 610 ms per loop
In [159]: %timeit proposed_app(x)
100 loops, best of 3: 6.32 ms per loop
Huge speedup there!