MATLAB: Help speeding up matrix algebra in loop…

for loopmatrix algebra

Hi everyone, I'm simply looking for some suggestions for speeding up the following block of code:
    bhat  = (X'*X)\(X'*y);                  
    yhat  = X*bhat;                         
    resid = y - yhat;                       
    bclu=zeros(size(X,2));                  
    for i=idx.unique
        idmat=find(idx.sample==i);
        x_g=X(idmat,:);
        u_g=resid(idmat,:);
        bclu_i=x_g'*u_g*(u_g)'*x_g;
        bclu = bclu+bclu_i;
    end
    vhat=((X'*X)\bclu)/(X'*X);
I suppose there might be some scope for the use of "sparse" here, or perhaps vectorization, but it's not obvious to me how to optimize this. Any suggestions would be great. Thanks!

Best Answer

You could probably use parfor, if you have the Parallel Computing Toolkit.
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