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Speed up tauchen by 201% #823

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Speed up tauchen by 201% #823

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5bdc89a
Optimize tauchen
codeflash-ai[bot] Jan 22, 2026
b94bbf8
Apply suggestions from code review
misrasaurabh1 Jan 23, 2026
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9 changes: 4 additions & 5 deletions quantecon/markov/approximation.py
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Original file line number Diff line number Diff line change
Expand Up @@ -14,7 +14,7 @@
import warnings
import numpy as np
import numbers
from numba import njit
from numba import prange, njit


def rouwenhorst(n, rho, sigma, mu=0.):
Expand Down Expand Up @@ -263,12 +263,11 @@ def std_norm_cdf(x):
return 0.5 * erfc(-x / sqrt(2))


@njit
@njit(parallel=True)
def _fill_tauchen(x, P, n, rho, sigma, half_step):
for i in range(n):
for i in prange(n):
P[i, 0] = std_norm_cdf((x[0] - rho * x[i] + half_step) / sigma)
P[i, n - 1] = 1 - \
std_norm_cdf((x[n - 1] - rho * x[i] - half_step) / sigma)
P[i, n - 1] = 1.0 - std_norm_cdf((x[n - 1] - rho * x[i] - half_step) / sigma)
for j in range(1, n - 1):
z = x[j] - rho * x[i]
P[i, j] = (std_norm_cdf((z + half_step) / sigma) -
Expand Down
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