Parallelize msmf corr coeff.m

McNair Project

Parallelize msmf corr coeff.m
Project Information
Project Title	Parallelize msmf corr coeff.m
Owner	Wei Wu
Start Date	2018-07-09
Deadline
Keywords	Matlab, parallel computing, CPU
Primary Billing
Notes
Has project status	Active
Is dependent on	Estimating Unobserved Complementarities between Entrepreneurs and Venture Capitalists Matlab Code
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This page documents all changes that Wei made to the Matlab code for Matching Entrepreneurs to VC. It also explains the decisions Wei made, and where further improvement might be achieved in the future.

Changes made to the code

To speed up the valuation of the objective function used by ga, Wei parallelized a couple of lines in msmf_corr_coeff.m.

Around line 80 of msmf_corr_coeff

Original code:

for m = 1 : M
   cholA = chol(exchsig(N1(m)-1, N2(m)-1, th));
   epsim12 = zeros(N1(m), N2(m), R);
   epsimR12 = reshape(mtimesx(repmat(cholA', [1 1 R]), reshape(epsimR(psa(m)+1: psa(m)+(N1(m)-1)*(N2(m)-1), :, :), [(N1(m)-1)*(N2(m)-1) 1 R])), [N1(m)-1 N2(m)-1 R]);
   epsim12(2:end, 2:end, :) = epsimR12;          
   f(psa(m)+1 : psa(m+1), :) = f(psa(m)+1 : psa(m+1), :) - reshape(epsim12, [N1(m)*N2(m) R])                   
end

For large R, monte_M (hence large M), and mktsize, computing epsimR12 is taking more than 50% time of msmf_corr_coeff.m.