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QR-Based Rank Determination and Pivoting #479

Merged
merged 8 commits into from
Mar 3, 2021
Merged

QR-Based Rank Determination and Pivoting #479

merged 8 commits into from
Mar 3, 2021

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dmbates
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@dmbates dmbates commented Mar 2, 2021

  • add statsrank to compute the rank and pivot vector for a model matrix using a pivoted QR decomposition
  • modify tests, etc.
  • remove statsqr and statscholesky functions

@dmbates dmbates requested a review from palday March 2, 2021 21:36
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palday commented Mar 2, 2021

@dmbates While I'm reviewing, can you go ahead and write a NEWS entry for this?

@palday palday changed the title Db/rankpivot QR-Based Rank Determination and Pivoting Mar 2, 2021
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codecov bot commented Mar 2, 2021

Codecov Report

Merging #479 (87f5554) into master (8d92489) will decrease coverage by 0.02%.
The diff coverage is 100.00%.

Impacted file tree graph

@@            Coverage Diff             @@
##           master     #479      +/-   ##
==========================================
- Coverage   93.30%   93.28%   -0.03%     
==========================================
  Files          27       27              
  Lines        1912     1891      -21     
==========================================
- Hits         1784     1764      -20     
+ Misses        128      127       -1     
Impacted Files Coverage Δ
src/Xymat.jl 85.29% <100.00%> (-1.55%) ⬇️
src/linalg/pivot.jl 100.00% <100.00%> (+2.94%) ⬆️

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I think this looks much cleaner. Should I try an MKL test run on the CIs?

x = deepcopy(x) # this is horrible
x[:, 1] .*= 1e6
rank = searchsortedlast(dvec ./ fdv, ranktol, rev=true)
@assert rank < n
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I like having this defense here (as a reminder to us as well), but note that @assert may disappear at some optimization levels.

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palday commented Mar 2, 2021

I've kicked off an MKL run

Co-authored-by: Phillip Alday <[email protected]>
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dmbates commented Mar 2, 2021

I've kicked off an MKL run

I think it would be better to only do the MKL run on the Future platform. As you can see, it takes a long time to run on 1.5

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palday commented Mar 3, 2021

@dmbates The MKL run is now done on nightly.

When 1.7 is released, we can revisit making MKL part of the standard test suite instead of purely optional like it is now.

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dmbates commented Mar 3, 2021

@dmbates While I'm reviewing, can you go ahead and write a NEWS entry for this?

Done.

@dmbates dmbates requested a review from palday March 3, 2021 17:03
@palday palday merged commit 8ccb580 into master Mar 3, 2021
@palday palday deleted the db/rankpivot branch March 3, 2021 18:10
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2 participants