[julia-users] Help me optimize Stochastic Gradient Descent of Least Squares Error

[Freddy Chua]

This code takes 60+ secs to execute on my machine. The Java equivalent 
takes only 0.2 secs!!! Please tell me how to optimise the following code.

begin
 N = 10000
 K = 100
 rate = 1e-2
 ITERATIONS = 100


 # generate y
 y = rand(N)


 # generate x
 x = rand(K, N)


 # generate w
 w = zeros(Float64, K)


 tic()
 for i=1:ITERATIONS
 for n=1:N
 y_hat = 0.0
 x_n = x[:,n]
 for k=1:K
 y_hat += w[k] * x_n[k]
 end


 for k=1:K
 w[k] += rate * (y[n] - y_hat) * x_n[k]
 end
 end
 end
 toc()
end