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[WIP] cd_fast speedup #15931

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[WIP] cd_fast speedup #15931

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a9b3fd7
[WIP] enet_coordinate_descent speedup
Tjalling-a-a Dec 19, 2019
0d5fec9
bugfix in residual update
Tjalling-a-a Dec 19, 2019
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14 changes: 5 additions & 9 deletions sklearn/linear_model/_cd_fast.pyx
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Original file line number Diff line number Diff line change
Expand Up @@ -174,22 +174,18 @@ def enet_coordinate_descent(floating[::1] w,

w_ii = w[ii] # Store previous value

if w_ii != 0.0:
# R += w_ii * X[:,ii]
_axpy(n_samples, w_ii, &X[0, ii], 1, &R[0], 1)

# tmp = (X[:,ii]*R).sum()
tmp = _dot(n_samples, &X[0, ii], 1, &R[0], 1)
# tmp = (X[:,ii]*R).sum() + w_ii * norm_cols_X[ii]
tmp = _dot(n_samples, &X[0, ii], 1, &R[0], 1) + w_ii * norm_cols_X[ii]

if positive and tmp < 0:
w[ii] = 0.0
else:
w[ii] = (fsign(tmp) * fmax(fabs(tmp) - alpha, 0)
/ (norm_cols_X[ii] + beta))

if w[ii] != 0.0:
# R -= w[ii] * X[:,ii] # Update residual
_axpy(n_samples, -w[ii], &X[0, ii], 1, &R[0], 1)
if (w_ii - w[ii]) != 0.0:
# R += (w_ii - w[ii]) * X[:,ii] # Update residual
_axpy(n_samples, w_ii - w[ii], &X[0, ii], 1, &R[0], 1)

# update the maximum absolute coefficient update
d_w_ii = fabs(w[ii] - w_ii)
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