[ENH] vectorize CLA _reduce_matrix using numpy advanced indexing#693
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fkiraly merged 2 commits intoPyPortfolio:mainfrom Feb 26, 2026
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Replace nested loop implementation with np.ix_ based vectorized selection. Performance improvement: 10-36x speedup depending on matrix size. Benchmarks (100 iterations): - n=20: 10x faster - n=50: 18x faster - n=100: 12x faster - n=200: 34x faster - n=500: 37x faster All existing CLA tests pass with identical numerical results.
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Ok, why was this even here? Thanks for spotting this.
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_reduce_matrix using numpy advanced indexing
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Replace nested loop implementation with np.ix_ based vectorized selection. Performance improvement: 10-36x speedup depending on matrix size.
Benchmarks (100 iterations):
All existing CLA tests pass with identical numerical results.