Comparing two numpy arrays of different length

This may be a special case, but you should be able to use numpy digitize. The caveat here is the bins must be monotonically decreasing or increasing.

>>> import numpy
>>> a = numpy.array([10,7,2,0])
>>> b = numpy.array([10,9,8,7,6,5,4,3,2,1])

>>> indices = [numpy.where(a<=x)[0][0] for x in b]
[0, 1, 1, 1, 2, 2, 2, 2, 2, 3]

>>> numpy.digitize(b,a)
array([0, 1, 1, 1, 2, 2, 2, 2, 2, 3])

---

Setup for the timing test:

a = np.arange(50)[::-1]

b = np.random.randint(0,50,1E3)

np.allclose([np.where(a<=x)[0][0] for x in b],np.digitize(b,a))
Out[55]: True

Some timings:

%timeit [np.where(a<=x)[0][0] for x in b]
100 loops, best of 3: 4.97 ms per loop

%timeit np.digitize(b,a)
10000 loops, best of 3: 48.1 µs per loop

Looks like two orders of magnitude speed up, this will depend heavily on the number of bins however. Your timings will vary.

---

To compare to Jamie's answer I have timed the two following pieces of code. As I mainly wanted to focus on the speed of searchsorted vs digitize I pared down Jamie's code a bit. The relevant chunk is here:

a = np.arange(size_a)[::-1]
b = np.random.randint(0, size_a, size_b)

ja = np.take(a, np.searchsorted(a, b, side='right', sorter=a)-1)

#Compare to digitize
if ~np.allclose(ja,np.digitize(b,a)):
    print 'Comparison failed'

timing_digitize[num_a,num_b] = timeit.timeit('np.digitize(b,a)',
                      'import numpy as np; from __main__ import a, b',
                      number=3)
timing_searchsorted[num_a,num_b] = timeit.timeit('np.take(a, np.searchsorted(a, b, side="right", sorter=a)-1)',
                      'import numpy as np; from __main__ import a, b',
                      number=3)

This is a bit beyond my limited matplotlib ability so this is done in DataGraph. I have plotted the logarithmic ratio of timing_digitize/timing_searchsorted so values greater then zero searchsorted is faster and values less then zero digitize is faster. The colors also give relative speeds. For example is shows that in the top right (a = 1E6, b=1E6) digitize is ~300 times slower then searchsorted while for smaller sizes digitize can be up to 10x faster. The black line is roughly the break even point:

Looks like for raw speed searchsorted is almost always faster for large cases, but the simple syntax of digitize is nearly as good if the number of bins is small.

This is messy, but it works:

>>> idx = np.argsort(a)
>>> np.take(idx, np.searchsorted(a, b, side='right', sorter=idx)-1)
array([0, 1, 1, 1, 2, 2, 2, 2, 2, 3], dtype=int64)

If your array is always sorted, you should be able to get rid of the argsort call.