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Parallelizing Linear Regression or Using Multiple Sources

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Parallelizing Linear Regression or Using Multiple Sources

See how it works to parallelize computation on multiple cores, using multiple sources to estimate the parameters of a linear regression.

· Performance Zone ·
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My previous post explained how mathematically, it was possible to parallelize computation to estimate the parameters of a linear regression. More specifically, we have a matrix \mathbf{X} which is n\times k matrix and \mathbf{y} a n-dimensional vector, and we want to compute \widehat{\mathbf{\beta}}=[\mathbf{X}^T\mathbf{X}]^{-1}\mathbf{X}^T\mathbf{y} by splitting the job. Instead of using the observations, we've seen that it was possible to compute "something" using the first n_1 rows, then the next n_2 rows, etc. Then, finally, we "aggregate" the m objects created to get our overall estimate.

Parallelizing on Multiple Cores

Let us see how it works from a computational point of view, to run each computation on a different core of the machine. Each core will see a slave, computing what we've seen in the previous post. Here, the data we use are

y = cars$dist
X = data.frame(1,cars$speed)
k = ncol(X)

On my laptop, I have three cores, so we will split it in m=3 chunks.

ncl = detectCores()-1
cl = makeCluster(ncl)

This is more or less what we will do: we have our dataset, and we split the jobs:

We can then create lists containing elements that will be sent to each core, as Ewen suggested:

chunk = function(x,n) split(x, cut(seq_along(x), n, labels = FALSE))
a_parcourir = chunk(seq_len(nrow(X)), ncl)
for(i in 1:length(a_parcourir)) a_parcourir[[i]] = rep(i, length(a_parcourir[[i]]))
Xlist = split(X, unlist(a_parcourir))
ylist = split(y, unlist(a_parcourir))

It is also possible to simplify the QR functions we will use.

compute_qr = function(x){
get_Vlist = function(j){
  Q3 = QR1[[j]]$Q %*% Q2list[[j]]
  t(Q3) %*% ylist[[j]]
clusterExport(cl, c("compute_qr", "get_Vlist"), envir=environment())

Then, we can run our functions on each core. The first one is 

QR1 = parLapply(cl=cl,Xlist, compute_qr)

Note that it is also possible to use

QR1 = pblapply(Xlist, compute_qr, cl=cl)

which will include a progress bar (that can be nice when the database is rather large). Then use

  R1 = pblapply(QR1, function(x) x$R, cl=cl) %>% do.call("rbind", .)
  Q1 = qr.Q(qr(as.matrix(R1)))
  R2 = qr.R(qr(as.matrix(R1)))
  Q2list = split.data.frame(Q1, rep(1:ncl, each=k))
  clusterExport(cl, c("QR1", "Q2list", "ylist"), envir=environment())
  Vlist = pblapply(1:length(QR1), get_Vlist, cl=cl)
  sumV = Reduce('+', Vlist)

And finally, the output is

solve(R2) %*% sumV
X1 -17.579095
X2   3.932409

which is what we were expecting...

Using Multiple Sources

In practice, it might also happen that various "servers" have the data, but we cannot get a copy. But it is possible to run some functions on their server and get an output that we can use afterward.

Datasets are supposed to be available somewhere. We can send a request and get a matrix. Then we aggregate all of them and send another request. That's what we will do here. Provider j should run f_1(\mathbf{X}) on his part of the data, that function will return R^{(1)}_j. More precisely, to the first provider, send

function1 = function(subX){
R1 = function1(Xlist[[1]])

and actually, send that function to all providers, and aggregate the output

for(j in 2:m) R1 = rbind(R1,function1(Xlist[[j]]))

The create on your side the following objects

Q1 = qr.Q(qr(as.matrix(R1)))
R2 = qr.R(qr(as.matrix(R1)))
for(j in 1:m) Q2list[[j]] = Q1[(j-1)*k+1:k,]

Finally, contact one last time the providers, and send one of your objects

return(t(Q1%*%Q2) %*% suby)}

Provider j should then run f_2(\mathbf{X},\mathbf{y},Q_j^{(2)}) on his part of the data, using also Q_j^{(2)} as argument (that we obtained on own side) and that function will return (\mathbf{Q}^{(2)}_j\mathbf{Q}^{(1)}_j)^{T}_j\mathbf{y}_j. For instance, ask the first provider to run

sumV = function2(Xlist[[1]],ylist[[1]], Q2list[[1]])

and do the same with all providers

for(j in 2:m) sumV = sumV+ function2(Xlist[[j]],ylist[[j]], Q2list[[j]])
solve(R2) %*% sumV
X1 -17.579095
X2   3.932409

which is what we were expecting...

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