Only compute matrix_rank(exog) once in DiscreteModel.initialize #4805
Conversation
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
I was confused about why a script was taking >20% of total running time inside DiscreteModel.initialize. It turns out that computing the rank of exog can be pretty slow! It does seem vary a lot depending on BLAS and threading settings, e.g. I get wildly different results for OpenBLAS vs. MKL and OMP_NUM_THREADS=1 versus not. So part of the issue is probably hitting pathological edge cases in BLAS libraries. But there's definitely no reason to compute the rank *twice* in the same function.
Codecov Report
@@ Coverage Diff @@
## master #4805 +/- ##
==========================================
+ Coverage 81.12% 81.12% +<.01%
==========================================
Files 581 581
Lines 89847 89848 +1
Branches 10035 10035
==========================================
+ Hits 72887 72888 +1
Misses 14681 14681
Partials 2279 2279
Continue to review full report at Codecov.
|
|
@njsmith Thanks, |
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
Add this suggestion to a batch that can be applied as a single commit.
This suggestion is invalid because no changes were made to the code.
Suggestions cannot be applied while the pull request is closed.
Suggestions cannot be applied while viewing a subset of changes.
Only one suggestion per line can be applied in a batch.
Add this suggestion to a batch that can be applied as a single commit.
Applying suggestions on deleted lines is not supported.
You must change the existing code in this line in order to create a valid suggestion.
Outdated suggestions cannot be applied.
This suggestion has been applied or marked resolved.
Suggestions cannot be applied from pending reviews.
Suggestions cannot be applied on multi-line comments.
Suggestions cannot be applied while the pull request is queued to merge.
Suggestion cannot be applied right now. Please check back later.
I was confused about why a script was taking >20% of total running
time inside DiscreteModel.initialize. It turns out that computing the
rank of exog can be pretty slow! It does seem vary a lot depending on
BLAS and threading settings, e.g. I get wildly different results for
OpenBLAS vs. MKL and OMP_NUM_THREADS=1 versus not. So part of the
issue is probably hitting pathological edge cases in BLAS libraries.
But there's definitely no reason to compute the rank twice in the
same function.