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Parallelize msmf corr coeff.m (view source)
Revision as of 12:34, 21 September 2020
, 12:34, 21 September 2020no edit summary
{{Project|Has project output=|Has sponsor=McNair ProjectsCenter
|Has title=Parallelize msmf corr coeff.m
|Has owner=Wei Wu,
==Around line 120 of msmf_corr_coeff solving LP problems==
For a large R, e.g. R = 200, solve solving 200 linear programming problems in parallel should be beneficial, especially when the each LP itself is easy to solve (takes less than 0.1 seconds each). Initially we managed to use gurobi inside a parfor:
% Gurobi inisde parfor. For large R (>100). By Wei.
model.rhs = [full(constrB); full(constrM)];
[asgr(:, r), ~, eflag(r)] = linprog(f(:, r), [B;-B], [constrB; constrM], [], [], zeros(L, 1), ones(L,1),options);
end
=Possible Further Improvements=
At this point I believe I have done everything I could for code performance. However if you look at the profiler, you will find that the function moments also takes a good percentage of time. I tried to parallelise moments with parfor, but it did not give any improvements.
