I want map a numpy.array from NxM to NxMx3, where a vector of three elements is a function of the original entry:
lambda x: [f1(x), f2(x), f3(x)]
However, things like numpy.vectorize do not allow to change dimensions.
Sure, I can create an array of zeros and make a loop (and it is what I am doing by now), but it does not sound neither Pythonic nor efficient (as every looping in Python). 
Is there a better way to perform an elementwise operation on numpy.array, producing a vector for each entry?
Now that I see your code, for most simple mathematical operations you can let numpy do the looping, what is often referred to as vectorization:
def complex_array_to_rgb(X, theme='dark', rmax=None):
    '''Takes an array of complex number and converts it to an array of [r, g, b],
    where phase gives hue and saturaton/value are given by the absolute value.
    Especially for use with imshow for complex plots.'''
    absmax = rmax or np.abs(X).max()
    Y = np.zeros(X.shape + (3,), dtype='float')
    Y[..., 0] = np.angle(X) / (2 * pi) % 1
    if theme == 'light':
        Y[..., 1] = np.clip(np.abs(X) / absmax, 0, 1)
        Y[..., 2] = 1
    elif theme == 'dark':
        Y[..., 1] = 1
        Y[..., 2] = np.clip(np.abs(X) / absmax, 0, 1)
    Y = matplotlib.colors.hsv_to_rgb(Y)
    return Y
This code should run much faster than yours.
If I understand your problem correctly, I suggest you use np.dstack:
Docstring:
Stack arrays in sequence depth wise (along third axis).
Takes a sequence of arrays and stack them along the third axis
to make a single array. Rebuilds arrays divided by `dsplit`.
This is a simple way to stack 2D arrays (images) into a single
3D array for processing.
    In [1]: a = np.arange(9).reshape(3, 3)
    In [2]: a
    Out[2]: 
    array([[0, 1, 2],
           [3, 4, 5],
           [6, 7, 8]])
    In [3]: x, y, z = a*1, a*2, a*3  # in your case f1(a), f2(a), f3(a) 
    In [4]: np.dstack((x, y, z))
    Out[4]: 
    array([[[ 0,  0,  0],
            [ 1,  2,  3],
            [ 2,  4,  6]],
           [[ 3,  6,  9],
            [ 4,  8, 12],
            [ 5, 10, 15]],
           [[ 6, 12, 18],
            [ 7, 14, 21],
            [ 8, 16, 24]]])
                        If you love us? You can donate to us via Paypal or buy me a coffee so we can maintain and grow! Thank you!
Donate Us With