Merge pull request hildensia#12 from closedLoop/patch-1

fullcov_obs_log_likelihood performance improvement

Author: hildensia

bayesian_changepoint_detection/offline_changepoint_detection.py

@@ -164,7 +164,11 @@ def fullcov_obs_log_likelihood(data, t, s):
 
     N0 = dim          # weakest prior we can use to retain proper prior
     V0 = np.var(x)*np.eye(dim)
-    Vn = V0 + np.array([np.outer(x[i], x[i].T) for i in xrange(x.shape[0])]).sum(0)
+    
+    # Improvement over np.outer
+    # http://stackoverflow.com/questions/17437523/python-fast-way-to-sum-outer-products
+    # Vn = V0 + np.array([np.outer(x[i], x[i].T) for i in xrange(x.shape[0])]).sum(0)
+    Vn = V0 + np.einsum('ij,ik->jk', x, x)
 
     # section 3.2 from Xuan paper:
     return -(dim*n/2)*np.log(np.pi) + (N0/2)*np.linalg.slogdet(V0)[1] - \