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Pecuzal has samplesize keyword #104

Merged
merged 24 commits into from
Feb 25, 2022
Merged

Pecuzal has samplesize keyword #104

merged 24 commits into from
Feb 25, 2022

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hkraemer
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@hkraemer hkraemer commented Feb 24, 2022

In order to speed up computations for PECUZAL I implemented the samplesize-keyword, too. This is affecting the pecora()-call, which is fine since #103 but also the function uzal_cost_pecuzal. Here I found out that the NN-search was carried out for each time horizon T, which is absolutely not necessary. So I dragged this search out of the loop. Turns out that PECUZAL is now way faster, up to a factor of 2. Pretty stupid that I haven't double checked this on the inital implementation. Tests have been adjusted also and I chose to make only a minor version increment, since this is more a bugfix. But actually there is a new keyword, too, so you decide.

@Datseris
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Let's increment minor version instead for this one. Can you please write 1.0 instead of 1.? (and in general for all floats end in .0 instead of .)

src/unified_de/pecuzal.jl Outdated Show resolved Hide resolved
@Datseris Datseris merged commit a9f782e into master Feb 25, 2022
@Datseris Datseris deleted the Pecuzal_sample_size_L branch February 25, 2022 09:13
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2 participants