Improve MaxRSweep run time

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No description provided.

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Wendy Wong commented: Current maxrsweep tries to us less memory for smaller predictor subsets. However, this makes the runtime unpredictable.

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Wendy Wong commented: I tried many different methods:

1 Use full memory;

2. save the CPMs and sweep vectors instead of generating it all the time.

However, nothing beats the original maxrsweep implementation. I was able to provide extra speedup by:

not using GLM to build a final GLM model. Just extract the coefficients and R2 value from CPm matrix;

do not allocate matrix in sweeping with sweep vectors.

I also fix the order of predictor subsets for maxrsweep so that it is in order and not scrambled.

!image-20221019-184619.png|width=947,height=409!

!image-20221019-184633.png|width=1122,height=732!

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JIRA Issue Details

Jira Issue: PUBDEV-8785
Assignee: Wendy Wong
Reporter: Wendy Wong
State: Resolved
Fix Version: 3.38.0.2
Attachments: Available (Count: 3)
Development PRs: Available

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Attachments From Jira

Attachment Name: image-20221019-184619.png
Attached By: Wendy Wong
File Link:https://h2o-3-jira-github-migration.s3.amazonaws.com/PUBDEV-8785/image-20221019-184619.png

Attachment Name: image-20221019-184633.png
Attached By: Wendy Wong
File Link:https://h2o-3-jira-github-migration.s3.amazonaws.com/PUBDEV-8785/image-20221019-184633.png

Attachment Name: SweepMaxR.pdf
Attached By: Wendy Wong
File Link:https://h2o-3-jira-github-migration.s3.amazonaws.com/PUBDEV-8785/SweepMaxR.pdf

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Linked PRs from JIRA

#6280
https://github.com/h2oai/h2oai-serving/pull/1112