How to Vectorize Nested Loop in R?

March 12, 2011

(This article was first published on Quantitative Finance Collector, and kindly contributed to R-bloggers)

Could any R expert here help me to vectorize my for loop? Thanks in advance for your favor. The reason I am in trouble is the variable inside my "for" function are updated after each loop, which makes me feel difficult to use lapply, sapply or whatever.

Simplifed codes are listed below:

for (i in 1:N) { #N could be a large number, AdjS and VarS are initially given and updated for each i
        PredS <- F %*% AdjS
        PredY <- H %*% PredS
        PredError <- (Y[i,] - t(PredY))
        VarY <- (H %*% VarS) %*% t(H)
        InvVarY <- solve(VarY)
        KG <- (VarS %*% t(H)) %*% InvVarY
        AdjS <- PredS + PredError
        VarS <- (diag(3) - KG %*% H) %*% VarS
        ll[i] <- PredError %*% InvVarY %*% t(PredError)
  }

The point is how to vectorize the for loop while allowing AdjS and VarS to be updated. I appreciate your help.
Tags - r , vectorize
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