⚡️ Speed up function _gridmake2_torch by 7%

code_to_optimize/discrete_riccati.py

@@ -1,5 +1,4 @@
-"""
-Utility functions used in CompEcon
+"""Utility functions used in CompEcon
 
 Based routines found in the CompEcon toolbox by Miranda and Fackler.
 
@@ -9,14 +8,15 @@
 and Finance, MIT Press, 2002.
 
 """
+
 from functools import reduce
+
 import numpy as np
 import torch
 
 
 def ckron(*arrays):
-    """
-    Repeatedly applies the np.kron function to an arbitrary number of
+    """Repeatedly applies the np.kron function to an arbitrary number of
     input arrays
 
     Parameters
@@ -43,8 +43,7 @@ def ckron(*arrays):
 
 
 def gridmake(*arrays):
-    """
-    Expands one or more vectors (or matrices) into a matrix where rows span the
+    """Expands one or more vectors (or matrices) into a matrix where rows span the
     cartesian product of combinations of the input arrays. Each column of the
     input arrays will correspond to one column of the output matrix.
 
@@ -79,13 +78,11 @@ def gridmake(*arrays):
                 out = _gridmake2(out, arr)
 
         return out
-    else:
-        raise NotImplementedError("Come back here")
+    raise NotImplementedError("Come back here")
 
 
 def _gridmake2(x1, x2):
-    """
-    Expands two vectors (or matrices) into a matrix where rows span the
+    """Expands two vectors (or matrices) into a matrix where rows span the
     cartesian product of combinations of the input arrays. Each column of the
     input arrays will correspond to one column of the output matrix.
 
@@ -114,19 +111,17 @@ def _gridmake2(x1, x2):
 
     """
     if x1.ndim == 1 and x2.ndim == 1:
-        return np.column_stack([np.tile(x1, x2.shape[0]),
-                               np.repeat(x2, x1.shape[0])])
-    elif x1.ndim > 1 and x2.ndim == 1:
+        return np.column_stack([np.tile(x1, x2.shape[0]), np.repeat(x2, x1.shape[0])])
+    if x1.ndim > 1 and x2.ndim == 1:
         first = np.tile(x1, (x2.shape[0], 1))
         second = np.repeat(x2, x1.shape[0])
         return np.column_stack([first, second])
-    else:
-        raise NotImplementedError("Come back here")
+    raise NotImplementedError("Come back here")
 
 
+@torch.compile
 def _gridmake2_torch(x1: torch.Tensor, x2: torch.Tensor) -> torch.Tensor:
-    """
-    PyTorch version of _gridmake2.
+    """PyTorch version of _gridmake2.
 
     Expands two tensors into a matrix where rows span the cartesian product
     of combinations of the input tensors. Each column of the input tensors
@@ -157,14 +152,18 @@ def _gridmake2_torch(x1: torch.Tensor, x2: torch.Tensor) -> torch.Tensor:
 
     """
     if x1.dim() == 1 and x2.dim() == 1:
-        # tile x1 by x2.shape[0] times, repeat_interleave x2 by x1.shape[0]
-        first = x1.tile(x2.shape[0])
-        second = x2.repeat_interleave(x1.shape[0])
-        return torch.column_stack([first, second])
-    elif x1.dim() > 1 and x2.dim() == 1:
-        # tile x1 along first dimension
-        first = x1.tile(x2.shape[0], 1)
-        second = x2.repeat_interleave(x1.shape[0])
+        # Avoid unnecessary .tile, which is slow, by repeat_interleave & repeat + reshape
+        m = x1.shape[0]
+        n = x2.shape[0]
+        first = x1.repeat(n)
+        second = x2.repeat_interleave(m)
+        return torch.stack((first, second), dim=1)
+    if x1.dim() > 1 and x2.dim() == 1:
+        # For 2D or higher dims -- for each row in x1, repeat for each entry in x2
+        m = x1.shape[0]
+        n = x2.shape[0]
+        # This method avoids .tile which makes unnecessary copies
+        first = x1.repeat(n, 1)
+        second = x2.repeat_interleave(m)
         return torch.column_stack([first, second])
-    else:
-        raise NotImplementedError("Come back here")
+    raise NotImplementedError("Come back here")