You could put all elements of the first list into a hash set. Then, iterate the second one and, for each of its elements, check the hash to see if it exists in the first list. If so, output it as an element of the intersection.
You might want to take a look at Bloom filters. They are bit vectors that give a probabilistic answer whether an element is a member of a set. Set intersection can be implemented with a simple bitwise AND operation. If you have a large number of null intersections, the Bloom filter can help you eliminate those quickly. You'll still have to resort to one of the other algorithms mentioned here to compute the actual intersection, however. http://en.wikipedia.org/wiki/Bloom_filter
without hashing, I suppose you have two options:
From the eviews features list it seems that it supports complex merges and joins (if this is 'join' as in DB terminology, it will compute an intersection). Now dig through your documentation :-)
Additionally, eviews has their own user forum - why not ask there_
with set 1 build a binary search tree with O(log n)
and iterate set2 and search the BST m X O(log n)
so total O(log n) + O(m)+O(log n) ==> O(log n)(m+1)
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