Speeding up loop for finding index in a large vector

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Michal Szkup
Michal Szkup 2020년 4월 2일
편집: Michal Szkup 2020년 4월 3일
I am trying to speed up the following piece of code. It computes position (i.e., index) of random draws according to the CDF m. In other words, it simulates the initial position of a large number of objects where these objects have CDF m. Is there a way to speed up this loop?
% Cumulative distribution function
m = sim.m;
m_vec = m(:);
m_cum =cumsum(m_vec)';
R = rand(s.N,s.T); % random draws
% Initial distirbution
ind_ini = zeros(s.N,1);
m_cum = [0 m_cum];
for ii=1:s.N
ind_ini(ii,1) = sum(R(ii,1)>m_cum,2);
end
The issue here is that m_cum is a very large vector (1-by-1e6) and s.N is also large (>100000). I tried using find function but it was slower on my machine. Also tried vectorizing naively but then I hit the limit on the size of the machine...

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Michal Szkup
Michal Szkup 2020년 4월 3일
편집: Michal Szkup 2020년 4월 3일
I managed to cut the time by factor of 3 following the method suggested in this answer:
For benefit of others, here is the solution:
ini=1;
for ii=1:s.N
while R(ii,1)>m_cum(ini)
ini= ini+1;
end
ind_ini(ii,1) = ini;
ini = 1;
end
This is fast enough for my puropose.

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