[Add] documentation and example for parallel computation (#322)

* Add documenation and example for parallel computation

* Update examples/40_advanced/example_parallel_n_jobs.py

docs/manual.rst

@@ -48,3 +48,24 @@ Auto-PyTorch allows users to inspect the training results and statistics. The fo
 >>> automl = TabularClassificationTask()
 >>> automl.fit(X_train, y_train)
 >>> automl.show_models()
+
+Parallel computation
+====================
+
+In it's default mode, *Auto-PyTorch* already uses two cores. The first one is used for model building, the second for building an ensemble every time a new machine learning model has finished training.
+
+Nevertheless, *Auto-PyTorch* also supports parallel Bayesian optimization via the use of `Dask.distributed  <https://distributed.dask.org/>`_. By providing the arguments ``n_jobs`` to the estimator construction, one can control the number of cores available to *Auto-PyTorch* (As shown in the Example :ref:`sphx_glr_examples_40_advanced_example_parallel_n_jobs.py`). When multiple cores are available, *Auto-PyTorch* will create a worker per core, and use the  available workers to both search for better machine learning models as well as building  an ensemble with them until the time resource is exhausted.
+
+**Note:** *Auto-PyTorch* requires all workers to have access to a shared file system for storing training data and models.
+
+*Auto-PyTorch* employs `threadpoolctl <https://github.com/joblib/threadpoolctl/>`_ to control the number of threads employed by scientific libraries like numpy or scikit-learn. This is done exclusively during the building procedure of models, not during inference. In particular, *Auto-PyTorch* allows each pipeline to use at most 1 thread during training. At predicting and scoring time this limitation is not enforced by *Auto-PyTorch*. You can control the number of resources
+employed by the pipelines by setting the following variables in your environment, prior to running *Auto-PyTorch*:
+
+.. code-block:: shell-session
+
+    $ export OPENBLAS_NUM_THREADS=1
+    $ export MKL_NUM_THREADS=1
+    $ export OMP_NUM_THREADS=1
+
+
+For further information about how scikit-learn handles multiprocessing, please check the `Parallelism, resource management, and configuration <https://scikit-learn.org/stable/computing/parallelism.html>`_ documentation from the library.

examples/40_advanced/README.txt

@@ -6,7 +6,3 @@ Advanced Tabular Dataset Examples
 =================================
 
 Advanced examples for using *Auto-PyTorch* on tabular datasets.
-We explain
-    1. How to customise the search space
-    2. How to split the data according to different resampling strategies
-    3. How to visualize the results of Auto-PyTorch

examples/40_advanced/example_parallel_n_jobs.py

@@ -0,0 +1,68 @@
+"""
+======================
+Tabular Classification
+======================
+
+The following example shows how to fit a sample classification model parallely on 2 cores
+with AutoPyTorch
+"""
+import os
+import tempfile as tmp
+import warnings
+
+os.environ['JOBLIB_TEMP_FOLDER'] = tmp.gettempdir()
+os.environ['OMP_NUM_THREADS'] = '1'
+os.environ['OPENBLAS_NUM_THREADS'] = '1'
+os.environ['MKL_NUM_THREADS'] = '1'
+
+warnings.simplefilter(action='ignore', category=UserWarning)
+warnings.simplefilter(action='ignore', category=FutureWarning)
+
+import sklearn.datasets
+import sklearn.model_selection
+
+from autoPyTorch.api.tabular_classification import TabularClassificationTask
+
+if __name__ == '__main__':
+    ############################################################################
+    # Data Loading
+    # ============
+    X, y = sklearn.datasets.fetch_openml(data_id=40981, return_X_y=True, as_frame=True)
+    X_train, X_test, y_train, y_test = sklearn.model_selection.train_test_split(
+        X,
+        y,
+        random_state=1,
+    )
+
+    ############################################################################
+    # Build and fit a classifier
+    # ==========================
+    api = TabularClassificationTask(
+        n_jobs=2,
+        seed=42,
+    )
+
+    ############################################################################
+    # Search for an ensemble of machine learning algorithms
+    # =====================================================
+    api.search(
+        X_train=X_train,
+        y_train=y_train,
+        X_test=X_test.copy(),
+        y_test=y_test.copy(),
+        optimize_metric='accuracy',
+        total_walltime_limit=300,
+        func_eval_time_limit_secs=50,
+        # Each one of the 2 jobs is allocated 3GB
+        memory_limit=3072,
+    )
+
+    ############################################################################
+    # Print the final ensemble performance
+    # ====================================
+    print(api.run_history, api.trajectory)
+    y_pred = api.predict(X_test)
+    score = api.score(y_pred, y_test)
+    print(score)
+    # Print the final ensemble built by AutoPyTorch
+    print(api.show_models())