(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)

}

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**Read the full post at How to Vectorize Nested Loop in R?**.

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