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⚡ Bolt: [Performance] Avoid double matrix inversion in vuongtest #6

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⚡ Bolt: [Performance] Avoid double matrix inversion in vuongtest #6

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3 changes: 3 additions & 0 deletions .jules/bolt.md
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Original file line number Diff line number Diff line change
@@ -0,0 +1,3 @@
## 2026-06-22 - Optimize redundant matrix inversion in R/vuongtest.R
**Learning:** Found a matrix being computed by `chol2inv(chol(tmpvc))` in `calcAB`, and then repeatedly inverted again via `chol2inv(chol(A))` in `calcLambda`. Double inversion of positive-definite symmetric matrices returns the original matrix but with substantial overhead ($O(N^3)$ operations).
**Action:** When a function requires the original covariance matrix and its inverse, pass both or use the cached original instead of calling `chol2inv` on the inverted matrix.
10 changes: 5 additions & 5 deletions R/vuongtest.R
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Expand Up @@ -253,7 +253,7 @@ calcAB <- function(object, n, scfun, vc){
sc.cp <- crossprod(sc)/n
B <- matrix(sc.cp, nrow(A), nrow(A))

list(A=A, B=B, sc=sc)
list(A=A, B=B, sc=sc, tmpvc=tmpvc)
}

## a function to get the cross-product from Eq (2.7)
Expand All @@ -271,10 +271,10 @@ calcLambda <- function(object1, object2, n, score1, score2, vc1, vc2) {
AB2 <- calcAB(object2, n, score2, vc2)
Bc <- calcBcross(AB1$sc, AB2$sc, n)

W <- cbind(rbind(-AB1$B %*% chol2inv(chol(AB1$A)),
t(Bc) %*% chol2inv(chol(AB1$A))),
rbind(-Bc %*% chol2inv(chol(AB2$A)),
AB2$B %*% chol2inv(chol(AB2$A))))
W <- cbind(rbind(-AB1$B %*% AB1$tmpvc,
t(Bc) %*% AB1$tmpvc),
rbind(-Bc %*% AB2$tmpvc,
AB2$B %*% AB2$tmpvc))

lamstar <- eigen(W, only.values=TRUE)$values
## Discard imaginary part, as it only occurs for tiny eigenvalues?
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