The core of my program are the following lines

import numpy as np
import time

I, J = np.random.randn(20000,800), np.random.randn(10000,800)

d = np.zeros((len(I),1))
for j in range(len(J)):
    t0 = time.time()
    # Compute distance
    matrix_j = np.array([J[j]]).T*np.array([J[j]])
    for i in range(len(I)): 
        matrix_i = np.array([I[i]]).T*np.array([I[i]])
        d[i] = np.sum((matrix_i-matrix_j)**2)
    # Do stuff with vector d

I and J are some matrices with data. I basically compare vectors of each matrix where I first extract a vector and than multiply it with its transposed version to get a matrix matrix_i and matrix_j. Afterwards I subtract both matrices from each other and sum all elements. But it takes ages even for such a small data set.

What can I do to speed things a little bit up? Any ideas?

  • \$\begingroup\$ My Advice to start with is to work out what d[i] is in terms of I and J, mathmatically, you might spot some better matrix operations. I'm not sure what the matrix squaring is supposed to be doing? \$\endgroup\$ – gbartonowen May 1 '18 at 8:55
  • \$\begingroup\$ @gbartonowen I am squaring the matrices such that the elements do not cancel each other out. \$\endgroup\$ – I_told_you_so May 1 '18 at 9:01
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    \$\begingroup\$ The code in the post looks wrong to me, because d has shape (len(J), 1) but the assignments are to indices d[0], ..., d[len(I)-1] and for each iteration over j these overwrite all the assignments from the previous iteration. This makes no sense. Are you sure that this corresponds to your real code? Here at Code Review, we prefer like to see your real code (not some hypothetical version of it) precisely because of issues like this. \$\endgroup\$ – Gareth Rees May 1 '18 at 9:12
  • \$\begingroup\$ @GarethRees You are right! I corrected the error. This is exactly the core of an algorithm I use. Only the data sets are random. \$\endgroup\$ – I_told_you_so May 1 '18 at 9:15
  • \$\begingroup\$ Thank you. But this does not address the problem that the assignments to d get overwritten on each iteration. Please fix. \$\endgroup\$ – Gareth Rees May 1 '18 at 9:16

What you compute with the presented code is

matrix_j = array([ J[j,k]**2 for k in range(N) ]) 

(where N=800 is the vector length) so that

d[i] = sum( (J[j,k]**2 - I[i,k]**2)**2 for k in range(N) )

This does not make much sense geometrically.

What you could have intended, by what might be implied by the formulas and variable names, is to have J[j] and I[i] as actual row vectors which can be achieved by transforming the tables I,J into matrices,

I,J = np.matrix(I), np.matrix(J)

so that then d[i] is the square of the Frobenius norm of J[j].T*J[j]-I[i].T*I[i], which is also the sum over the squares over all matrix elements. As this matrix is symmetric, this quantity can be computed as

d[i] = np.sum(np.diag( (J[j].T*J[j]-I[i].T*I[i])**2 ))

which has the form for row vectors \$a,b\$ of equal dimension \begin{align}\|a^Ta-b^Tb\|_F^2 &= \text{trace}((a^Ta-b^Tb)^2)\\ &=\text{trace}((a^Ta-b^Tb)(a^Ta-b^Tb))\\ &=\text{trace}(a^Taa^Ta-a^Tab^Tb-b^Tba^Ta+b^Tbb^Tb))\\ &=(aa^T)^2-2(ab^T)^2+(bb^T)^2\\ &=\|a\|^4-2\langle a,b\rangle ^2+\|b\|^4 \end{align}

Re-expressed in the rows of the original matrices, that should be 2D-arrays, not converted to matrix objects, this is

d[i] = np.dot(I[i],I[i])**2 - 2*np.dot(I[i],J[j])**2 + np.dot(J[j],J[j])**2

For a component-wise derivation see the answer of Gareth Rees.

These norm squares and scalar products should be faster to compute than the original formula. Also, pre-computing the norm squares np.dot(I[i],I[i]) allows re-use so that all len(I)+len(J) norm squares are only computed once and the main computational cost is from the len(I)*len(J) scalar products.

scipy.linalg.norm might be faster in computing the norm, as squaring can be faster than multiplying the same number to itself, but I'm not sure how that translates over the several layers of interpretation and data encapsulation.

The scalar products are elements of a matrix product of I and J.T, so that a compact computation proceeds by (all are np.array objects)

dotIJ = np.dot(I,J.T); 
normI2 = [ np.dot(row,row) for row in I ]; 
normJ2 = [ np.dot(row,row) for row in J ]; 
d = np.zeros((len(I),1)); 
for j in range(len(J)):
    d[:,0] = [ normI2[i]**2 + normJ2[j]**2 - 2*dotIJ[i,j]**2 for i in range(len(I)) ]
    # process values of d
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  • \$\begingroup\$ These can be further optimised by using np.sum with an axis argument, I suspect, as an extra win! \$\endgroup\$ – gbartonowen May 1 '18 at 9:35
  • \$\begingroup\$ I'm not sure if that is faster than np.dot. Especially as there are still element-wise operations to perform first. If that result in an extra loop and data object creation, it should be slower. \$\endgroup\$ – Lutz Lehmann May 1 '18 at 9:53
  • \$\begingroup\$ @LutzL I am not sure if I get your answer right, but when I compute d[i]=np.dot(J[j],J[j])**2-2*np.dot(J[j],I[i])**2+np.dot(I[i],I[i])**2 it is much faster but I get different results compared to my approach. Do you see why? \$\endgroup\$ – I_told_you_so May 1 '18 at 10:06
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    \$\begingroup\$ I've added a first paragraph on why I think your computation might be wrong relative to what you expect to compute. Please check yourself, especially if the format of matrix_i, matrix_j is as expected. As you named them "matrix", one might think that you might expect the format of a 800x800 2D-array. \$\endgroup\$ – Lutz Lehmann May 1 '18 at 11:12

Here's an explicit working-out of the maths needed for the answer by LutzL.

Let's start by writing \$I\$ and \$J\$ for the two vectors I[i] and J[j] respectively and \$n\$ for the length of these vectors (800 in the example in the post). Then the distance \$d\$ that we want to compute is $$\sum_k \sum_l \left(I_k I_l − J_k J_l\right)^2$$ where \$k\$ and \$l\$ range over the indices from \$0\$ to \$n-1\$. Expand the square: $$\sum_k \sum_l \left(I_k^2 I_l^2 + J_k^2 J_l^2 − 2 I_k I_l J_k J_l\right).$$ Extract the sub-expressions that don't depend on \$l\$: $$\sum_k \left(I_k^2 \sum_l I_l^2 + J_k^2 \sum_l J_l^2 − 2 I_k J_k \sum_l I_l J_l\right).$$ Multiply out: $$ \left(\sum_k I_k^2\right) \left(\sum_l I_l^2\right) + \left(\sum_k J_k^2\right) \left(\sum_l J_l^2\right) − 2 \left(\sum_k I_k J_k\right) \left(\sum_l I_l J_l\right).$$ Now there are no nested summations, so rename \$l\$ to \$k\$ and then combine identical sums: $$ \left(\sum_k I_k^2\right)^2 + \left(\sum_k J_k^2\right)^2 - 2 \left(\sum_k I_k J_k\right)^2.$$ Finally, rewrite the sums as dot products: $$\left(I·I\right)^2 + \left(J·J\right)^2 - 2\left(I·J\right)^2$$

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