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Categorical matrix optimizations #3

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8 of 9 tasks
ElizabethSantorellaQC opened this issue Jul 9, 2020 · 1 comment
Closed
8 of 9 tasks

Categorical matrix optimizations #3

ElizabethSantorellaQC opened this issue Jul 9, 2020 · 1 comment
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@ElizabethSantorellaQC
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ElizabethSantorellaQC commented Jul 9, 2020

Replaces Quantco/glum#246
PR: Quantco/glum#253

  • Add functionality for F-ordered categorical x dense sandwiches
  • Keep speeding up hotspots (currently _check_csc and categorical own-sandwich)
  • Extend our data setup (in problems.py) to allow for matrices with mixed dense, sparse, and categorical parts. Currently, it just allows for etiher dense/sparse or dense/categorical.
  • Experiment with making small categoricals part of the sparse or dense blocks. Currently, sandwich operations including small categoricals are relatively slow.
  • Continue to speed up slow spots, like categorical sandwiched with dense
  • Cythonize row and column limiting for categorical sandwiches (currently just have rows)
  • Cook up an example where we expect a large performance gain from categorical
  • Allow for indices to have various int dtypes
  • Add a test for _vec_plus_matvec
@tbenthompson
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Closing in favor of #42

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