[Feature Request] Use GPU for QR decomp?
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- Dominant language
- R
- Stars
- 401
- Forks
- 136
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Description
Summary:
gpuR has a qr method that can be used to speedup the QR decomp in stan_glm.
Description:
For the QR code in stan_glm.fit we can use gpuR for the QR decomp. I recently ran into a problem where the QR decomp took about as long as the stan sampling itself. The GPU method above should speed things up a bit for large models.
I'm pretty sure I know what the code would look like, though I'm not sure where that option should go since there are already quite a few. We could add opencl and opencl_options where opencl is boolean and opencl_options is a list of OpenCL device and platform info
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- Read the whole issue, then the project's contributing guide.
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- Fork the repository and make your change on a branch.
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Research direction
Start by reading the QR decomposition in R/stan_glm.fit.R around line 273 and the gpuR qr method linked in the issue. Determine how large-model QR timing should be compared with the existing path and where the proposed OpenCL options would belong. Done means the GPU path and its option behavior are defined and validated without disrupting existing stan_glm use.
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Assessment
- Tech stack
- r
- Domain
- performance
- Issue type
- Feature
- Difficulty
- 5/5
- Estimated time
- Over a week
- Activity status
- Stale
- Clarity
- Mostly clear
- Newbie friendliness
- 35/100