[…] The customer implemented the formula in the natural way. Let's time how long the straightforward computation takes. (I am using SAS 9.4, which uses multithreaded matrix multiplication. If you are using SAS 9.3, you might want to use N = 5000.) Since the contents of the matrices don't matter, I'll create random elements. As I've shown in a previous blog post, you can use the SQRVECH function to create the symmetric matrix R: …