Files for benchmarking coordinate descent algorithm using Python, Fortran, and C++ languages with Python interface for use in equadratures.

Refer to this discourse post for full description regarding the code and context.

System Configuration

The codes were tested with the following hardware/software:

• MacBook Pro 15-inch 2017
  • Intel i7-7920HQ @ 3.1GHz
  • 16GB 2133MHz
• macOS 10.15.7
• OpenBLAS 0.3.13
• Python 3.8.6
• Numpy 1.20.1
• pybind11 2.6.2
• Eigen 3.3.9

Benchmarking

Interactive plots of the benchmark can be found by selecting the following images:

Figure 1: Contours of dimensions against Observations for Python, Fortran, and C++; and speedups relative to Python

Figure 2: Contours of dimensions against % of active dimensions with fixed 2500 observations for Python, Fortran, and C++; and speedups relative to Python

File descriptions

• 0-benchmark-python-fortran.py

  • 1st plot benchmark, but using matplotlib instead.

• 1-benchmark-python-fortran-ndims-vs-nactive.py

  • 2nd plot benchmark, by fixing observations to 2500, and varying number of active dimensions.

• solver_fortran.f90

  • Fortran version of the code, but contains two different subroutines, elastic_net_cd_for and elastic_net_cd_purefor
  • The first subroutine uses explicit calls to BLAS. It is multi-threaded.
  • The second is written simply using Fortran built-in calls. It is not multi-threaded.
  • Compiled by running: sh compile.sh

• solver_cpp.cpp

  • C++ version of the code, but contains two different functions, elastic_net_cd_cpp and elastic_net_cd_cpp_nosets
  • The latter avoids the use of sets when checking for active dimensions.
  • Requires the Eigen library added to environment path. In this case, a version of it is included in the root directory, so no changes are required in the Path.
  • Compiled by running: python cppsetup.py build_ext -i; with the -i flag compiling the module in-place rather than globally - optional.

• solver_python.py

  • Python version of the code - same as the current version on the develop branch.
  • Written by @ascillitoe.

• compile.sh

  • Bash script to compile Fortran code.

• cppsetup.py

  • Setup file to compile C++ code