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MixedLM reuse _smw_solve in special cases #1951

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josef-pkt opened this issue Sep 1, 2014 · 1 comment
Open

MixedLM reuse _smw_solve in special cases #1951

josef-pkt opened this issue Sep 1, 2014 · 1 comment

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@josef-pkt
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just an idea for possible performance improvements while staring at some linear algebra

_smw_solve is called very often to invert the residual covariance matrix

The calculations depend on exog_re

In some special cases like random constant the exog_re are the same across all units or only depend on the length for the individual exog_re.

_smw could be converted into a class that has a multiply/whiten method and keep the repeated calculations around. (similar to chol_factor, chol_solve or others)

related to #1948

@jbrockmendel
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I think mixed_linear_model may now do this.

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