[SciPy-User] fast small matrix multiplication with cython?

Charles R Harris charlesr.harris@gmail....
Tue Dec 7 10:10:22 CST 2010

On Tue, Dec 7, 2010 at 8:37 AM, Robert Kern <robert.kern@gmail.com> wrote:

> On Tue, Dec 7, 2010 at 08:54, Charles R Harris
> <charlesr.harris@gmail.com> wrote:
> > Blas adds quite a bit of overhead for multiplying small matrices, but so
> > does calling from python. For implementing Kalman filters it might be
> better
> > to write a whole Kalman class so that operations can be combined at the c
> > level.
> As I said, he's writing the Kalman filter in Cython.
> > Skipper, what kind of Kalman filter are you trying to implement?
> Does this help?
> http://groups.google.com/group/cython-users/browse_thread/thread/a605a70626a455d?pli=1
A bit, but it isn't a class. Since the Kalman filter is basically weighted
linear least squares with a noisy change of variable, Skipper's function
could probably be implemented that way also. Since he seems to be doing a
lot of observation updates in a single go the information Kalman filter,
which basically implements the usual least squares, might be a faster way to

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