release 0.2.0

openopt · Mar 24, 2017 · 235ff43 · 235ff43
1 parent 523402e
commit 235ff43
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Showing 2 changed files with 20 additions and 9 deletions.
diff --git a/copt/__init__.py b/copt/__init__.py
@@ -1,4 +1,4 @@
-__version__ = '0.1.dev0'
+__version__ = '0.2.0'
 
 from .gradient_descent import minimize_PGD, minimize_DavisYin, minimize_APGD
 from .primal_dual import fmin_CondatVu

diff --git a/copt/stochastic.py b/copt/stochastic.py
@@ -299,13 +299,11 @@ def minimize_BCD(
     else:
         trace_x = np.zeros((0, 0))
     stop_flag = np.zeros(1, dtype=np.bool)
-    trace_func = []
-    trace_time = []
-
 
     @njit(nogil=True)
     def _bcd_algorithm(
-            x, Ax, A_csc_data, A_csc_indices, A_csc_indptr, b, trace_x):
+            x, Ax, A_csr_data, A_csr_indices, A_csr_indptr, A_csc_data,
+            A_csc_indices, A_csc_indptr, b, trace_x, job_id):
         feature_indices = np.arange(n_features)
         for it in range(1, max_iter):
             np.random.shuffle(feature_indices)
@@ -316,15 +314,28 @@ def _bcd_algorithm(
                     i_idx = A_csc_indices[i_indptr]
                     grad_j += partial_gradient(Ax[i_idx], b[i_idx]) * A_csc_data[i_indptr] / n_samples
                 x_new = prox(x[j] - step_size * (grad_j + f_alpha * x[j]), step_size)
+
+                # .. update Ax ..
                 for i_indptr in range(A_csc_indptr[j], A_csc_indptr[j+1]):
                     i_idx = A_csc_indices[i_indptr]
                     Ax[i_idx] += A_csc_data[i_indptr] * (x_new - x[j])
                 x[j] = x_new
-            if trace:
-                trace_x[it, :] = x
+            if job_id == 0:
+                if trace:
+                    trace_x[it, :] = x
+                # .. recompute Ax ..
+                for i in range(n_samples):
+                    p = 0.
+                    for j in range(A_csr_indptr[i], A_csr_indptr[i+1]):
+                        j_idx = A_csr_indices[j]
+                        p += x[j_idx] * A_csr_data[j]
+                    # .. copy back to shared memory ..
+                    Ax[i] = p
+
         return it, None
 
     X_csc = sparse.csc_matrix(f.A)
+    X_csr = sparse.csr_matrix(f.A)
 
     trace_func = []
     start = datetime.now()
@@ -335,8 +346,8 @@ def _bcd_algorithm(
         for job_id in range(n_jobs):
             futures.append(executor.submit(
                 _bcd_algorithm,
-                xk, Ax, X_csc.data, X_csc.indices, X_csc.indptr, f.b,
-                trace_x))
+                xk, Ax, X_csr.data, X_csr.indices, X_csr.indptr, X_csc.data,
+                X_csc.indices, X_csc.indptr, f.b, trace_x, job_id))
         concurrent.futures.wait(futures)
 
     n_iter, certificate = futures[0].result()