# Simple CRPS optimization

**URL:** <https://discourse.julialang.org/t/simple-crps-optimization/91473>\
**Category:** Performance\
**Tags:** question, performance\
**Created:** [December 9, 2022, 12:10pm UTC](https://discourse.julialang.org/t/simple-crps-optimization/91473 "2022-12-09T12:10:17Z")\
**Posts on this page:** 2\
**Page:** 1

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**Author:** ![cmarcotte](https://avatars.discourse-cdn.com/v4/letter/c/a3d4f5/32.png) [@cmarcotte](https://discourse.julialang.org/u/cmarcotte)\
**Post date:** [December 9, 2022, 12:10pm UTC](https://discourse.julialang.org/t/simple-crps-optimization/91473/1 "2022-12-09T12:10:17Z")

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I have a short function for computing the Continuous Ranked Probability Score (CRPS) from an ensemble of states `Xb::Array{Float64,2}` and a set comparison state `y::Array{Float64,1}`, where `y` may have varying sparsity (i.e., `findall(isnan.(y))` may or may not be empty), and when it _is_ sparse, it typically only has ~8000 or so non-`NaN`s.

The cluster I am running the following function on has relatively low-performing cores on the compute nodes, but many of them, so I know that threading is helpful here. I compute the CRPS using the following function:

```julia
Xb = rand(Float64, 6_000_000, 20)
y = rand(Float64, 6_000_000)

function CRPS(X,y)
	inds = findall(.!isnan.(y));
	N,M = size(X);
	out = zeros(eltype(X),N)
	Threads.@threads for n in inds
		for j in 1:M
			out[n] += abs(X[n,j]-y[n])/M;
			for k in 1:M
				out[n] -= abs(X[n,j]-X[n,k])/(2*M*(M-1));
			end
		end
	end
	return mean(out[inds])
end

```

My question is that running this function takes several hundred milliseconds, even with many threads. Looking at the output of `@report_opt CRPS(Xb,y)` suggests 4 problems with runtime dispatch (three from the lock-wait-unlock of threading and one from the call to mapreduce within `mean(out[inds])`) which I don’t think I can do much about without completely restructuring the function.

Am I leaving a lot of performance on the table with this function?

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<div class="post-metadata">

**Author:** ![Oscar\_Smith](https://sea2.discourse-cdn.com/julialang/user_avatar/discourse.julialang.org/oscar_smith/32/25343_2.png) [@Oscar\_Smith](https://discourse.julialang.org/u/Oscar_Smith)\
**Post date:** [December 9, 2022, 1:53pm UTC](https://discourse.julialang.org/t/simple-crps-optimization/91473/2 "2022-12-09T13:53:06Z")

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the main easy speedup I can see is using multiplication instead of division.