Merge pull request #3660 from lkuchenb/feature/parallel_xval_reintegr…

…ation

Reintegrate parallel crossvalidation

src/shogun/evaluation/CrossValidation.cpp

@@ -264,32 +264,49 @@ float64_t CCrossValidation::evaluate_one_run()
 		m_machine->set_store_model_features(true);
 
 		/* do actual cross-validation */
+		#pragma omp parallel for
 		for (index_t i=0; i <num_subsets; ++i)
 		{
+			CMachine* machine;
+			CFeatures* features;
+			CLabels* labels;
+
+			if (get_global_parallel()->get_num_threads()==1)
+				machine=m_machine;
+			else
+				machine=(CMachine*)m_machine->clone();
+
 			/* evtl. update xvalidation output class */
 			CCrossValidationOutput* current=(CCrossValidationOutput*)
 					m_xval_outputs->get_first_element();
+			#pragma omp critical
+			{
 			while (current)
 			{
 				current->update_fold_index(i);
 				SG_UNREF(current);
 				current=(CCrossValidationOutput*)
 						m_xval_outputs->get_next_element();
 			}
+			}
 
 			/* set feature subset for training */
 			SGVector<index_t> inverse_subset_indices=
 					m_splitting_strategy->generate_subset_inverse(i);
-			m_features->add_subset(inverse_subset_indices);
-			for (index_t p=0; p<m_features->get_num_preprocessors(); p++)
-			{
-				CPreprocessor* preprocessor = m_features->get_preprocessor(p);
-				preprocessor->init(m_features);
-				SG_UNREF(preprocessor);
-			}
+
+			if (get_global_parallel()->get_num_threads()==1)
+				features=m_features;
+			else
+				features=(CFeatures*)m_features->clone();
+
+			features->add_subset(inverse_subset_indices);
 
 			/* set label subset for training */
-			m_labels->add_subset(inverse_subset_indices);
+			if (get_global_parallel()->get_num_threads()==1)
+				labels=m_labels;
+			else
+				labels=machine->get_labels();
+			labels->add_subset(inverse_subset_indices);
 
 			SG_DEBUG("training set %d:\n", i)
 			if (io->get_loglevel()==MSG_DEBUG)
@@ -300,30 +317,33 @@ float64_t CCrossValidation::evaluate_one_run()
 
 			/* train machine on training features and remove subset */
 			SG_DEBUG("starting training\n")
-			m_machine->train(m_features);
+			machine->train(features);
 			SG_DEBUG("finished training\n")
 
 			/* evtl. update xvalidation output class */
+			#pragma omp critical
+			{
 			current=(CCrossValidationOutput*)m_xval_outputs->get_first_element();
 			while (current)
 			{
 				current->update_train_indices(inverse_subset_indices, "\t");
-				current->update_trained_machine(m_machine, "\t");
+				current->update_trained_machine(machine, "\t");
 				SG_UNREF(current);
 				current=(CCrossValidationOutput*)
 						m_xval_outputs->get_next_element();
 			}
+			}
 
-			m_features->remove_subset();
-			m_labels->remove_subset();
+			features->remove_subset();
+			labels->remove_subset();
 
 			/* set feature subset for testing (subset method that stores pointer) */
 			SGVector<index_t> subset_indices =
 					m_splitting_strategy->generate_subset_indices(i);
-			m_features->add_subset(subset_indices);
+			features->add_subset(subset_indices);
 
 			/* set label subset for testing */
-			m_labels->add_subset(subset_indices);
+			labels->add_subset(subset_indices);
 
 			SG_DEBUG("test set %d:\n", i)
 			if (io->get_loglevel()==MSG_DEBUG)
@@ -334,33 +354,42 @@ float64_t CCrossValidation::evaluate_one_run()
 
 			/* apply machine to test features and remove subset */
 			SG_DEBUG("starting evaluation\n")
-			SG_DEBUG("%p\n", m_features)
-			CLabels* result_labels=m_machine->apply(m_features);
+			SG_DEBUG("%p\n", features)
+			CLabels* result_labels=machine->apply(features);
 			SG_DEBUG("finished evaluation\n")
-			m_features->remove_subset();
+			features->remove_subset();
 			SG_REF(result_labels);
 
 			/* evaluate */
-			results[i]=m_evaluation_criterion->evaluate(result_labels, m_labels);
+			results[i]=m_evaluation_criterion->evaluate(result_labels, labels);
 			SG_DEBUG("result on fold %d is %f\n", i, results[i])
 
 			/* evtl. update xvalidation output class */
+			#pragma omp critical
+			{
 			current=(CCrossValidationOutput*)m_xval_outputs->get_first_element();
 			while (current)
 			{
 				current->update_test_indices(subset_indices, "\t");
 				current->update_test_result(result_labels, "\t");
-				current->update_test_true_result(m_labels, "\t");
+				current->update_test_true_result(labels, "\t");
 				current->post_update_results();
 				current->update_evaluation_result(results[i], "\t");
 				SG_UNREF(current);
 				current=(CCrossValidationOutput*)
 						m_xval_outputs->get_next_element();
 			}
+			}
 
 			/* clean up, remove subsets */
+			labels->remove_subset();
+			if (get_global_parallel()->get_num_threads()!=1)
+			{
+				SG_UNREF(machine);
+				SG_UNREF(features);
+				SG_UNREF(labels);
+			}
 			SG_UNREF(result_labels);
-			m_labels->remove_subset();
 		}
 
 		SG_DEBUG("done unlocked evaluation\n", get_name())

src/shogun/evaluation/CrossValidation.h

@@ -108,6 +108,11 @@ class CCrossValidationResult : public CEvaluationResult
  * speed up computations. Can be turned off by the set_autolock()  method.
  * Locking in general may speed up things (eg for kernel machines the kernel
  * matrix is precomputed), however, it is not always supported.
+ *
+ * Crossvalidation runs with current number of threads
+ * (Parallel::set_num_threads) for unlocked case, and currently duplicates all
+ * objects (might be changed later).
+ *
  */
 class CCrossValidation: public CMachineEvaluation
 {