ENH: reduce annihilator matrix memory usage (#36)

jeffgortmaker · Jun 12, 2024 · 96b1452 · 96b1452
1 parent d1a7361
commit 96b1452
Showing 1 changed file with 3 additions and 2 deletions.
diff --git a/pyblp/utilities/statistics.py b/pyblp/utilities/statistics.py
@@ -52,9 +52,10 @@ def estimate(
         parameters_list = np.split(parameters, [x.shape[1] for x in X_list[:-1]], axis=0)
         residuals_list = np.split(residuals, len(X_list), axis=0)
 
-        # optionally convert Jacobians
+        # optionally convert Jacobians (making sure to never create a full square matrix)
         if convert_jacobians:
-            jacobian = (np.eye(y.size) - X @ self.covariances @ XZ @ W @ Z.T) @ np.vstack(jacobian_list)
+            jacobian = np.vstack(jacobian_list)
+            jacobian -= X @ (self.covariances @ (XZ @ (W @ (Z.T @ jacobian))))
             jacobian_list = np.split(jacobian, len(jacobian_list), axis=0)
 
         return parameters_list, residuals_list, jacobian_list