Fix QR based fitting #559
Fix QR based fitting #559
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Avoid erroring out for low rank design matrices when dropcollinear=false. Avoid unnecessary triangular solves. Avoid indexing in the Q. Avoid slicing R matrix in a way that triggers a minimum norm solution. Remove unnecessary temporaries.
Codecov ReportAll modified and coverable lines are covered by tests ✅
Additional details and impacted files@@ Coverage Diff @@
## master #559 +/- ##
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- Coverage 90.04% 89.87% -0.18%
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Files 8 8
Lines 1125 1106 -19
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- Hits 1013 994 -19
Misses 112 112 ☔ View full report in Codecov by Sentry. |
andreasnoack
requested review from
devmotion
and removed request for
mousum-github
| fill!(p.delbeta, 0) | ||
| p.delbeta[1:rnk] = R \ view(p.qr.Q'r, 1:rnk) |
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Maybe one could save a few allocations here?
| fill!(p.delbeta, 0) | |
| p.delbeta[1:rnk] = R \ view(p.qr.Q'r, 1:rnk) | |
| mul!(view(p.delbeta, 1:rnk), view(p.qr.Q, :, 1:rnk)', r) | |
| ldiv!(R, view(p.delbeta, 1:rnk)) | |
| fill!(@view(p.delbeta[(rnk + 1):end]), 0) |
| return p | ||
| end | ||
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| function delbeta!(p::DensePredQR{T,<:QRCompactWY}, r::Vector{T}, wt::Vector{T}) where T<:BlasReal | ||
| rnk = rank(p.qr.R) | ||
| rnk == length(p.delbeta) || throw(RankDeficientException(rnk)) | ||
| X = p.X | ||
| W = Diagonal(wt) |
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This is also unused?
| W = Diagonal(wt) |
| @@ -63,23 +63,19 @@ function delbeta! end | |||
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| function delbeta!(p::DensePredQR{T,<:QRCompactWY}, r::Vector{T}) where T<:BlasReal | |||
| rnk = rank(p.qr.R) | |||
| rnk == length(p.delbeta) || throw(RankDeficientException(rnk)) | |||
| p.delbeta = p.qr\r | |||
| mul!(p.scratchm1, Diagonal(ones(size(r))), p.X) | |||
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Are scratch-spaces only used inside of a function but not carried around? Or is there another reason for why this is not needed anymore?
| qnr = qr(p.scratchm1) | ||
| Rinv = inv(qnr.R) | ||
| p.delbeta = Rinv * Rinv' * p.delbeta | ||
| ỹ = sqrtW * r |
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I think one could avoid this allocation by keeping sqrt.(wt) around separately,
sqrt_wt = sqrt.(wt)
mul!(p.scratchm1, Diagonal(sqrt_wt), X)
ỹ = (sqrt_wt .*= r)| @@ -88,44 +84,32 @@ function delbeta!(p::DensePredQR{T,<:QRPivoted}, r::Vector{T}) where T<:BlasReal | |||
| if rnk == length(p.delbeta) | |||
| p.delbeta = p.qr\r | |||
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Maybe
| p.delbeta = p.qr\r | |
| ldiv!(p.delbeta, p.qr, r) |
?
| end | ||
| p.delbeta[1:rnk] = Rinv * Rinv' * view(delbeta, 1:rnk) | ||
| invpermute!(delbeta, piv) | ||
| r̃ = sqrtW * r |
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It seems the same approach as above could applied here?
| invpermute!(delbeta, piv) | ||
| r̃ = sqrtW * r | ||
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| p.qr = pivoted_qr!(copy(p.scratchm1)) |
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Is scratchm1 reused in another function?
| R = UpperTriangular(view(parent(p.qr.R), 1:rnk, 1:rnk)) | ||
| permute!(p.delbeta, p.qr.p) | ||
| for k = (rnk + 1):length(p.delbeta) | ||
| p.delbeta[k] = -zero(T) |
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It seems that's copied from the current implementation - but why -zero(T) and not zero(T)?
| end | ||
| p.delbeta[1:rnk] = R \ (p.qr.Q'*r̃)[1:rnk] |
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Maybe
| p.delbeta[1:rnk] = R \ (p.qr.Q'*r̃)[1:rnk] | |
| mul!(view(p.delbeta, 1:rnk), view(p.qr.Q, :, 1:rnk)', r̃) | |
| ldiv!(R, view(p.delbeta, 1:rnk)) |
?
Co-authored-by: David Widmann <[email protected]>
Avoid erroring out for low rank design matrices when dropcollinear=false.
Avoid unnecessary triangular solves. Avoid indexing in the Q.
Avoid slicing R matrix in a way that triggers a minimum norm solution.
Remove unnecessary temporaries.
Fixes #558
I removed the white space so please review with https://github.com/JuliaStats/GLM.jl/pull/559/files?w=1