Peter Rudenko created SPARK-5807:
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Summary: Parallel grid search
Key: SPARK-5807
URL: https://issues.apache.org/jira/browse/SPARK-5807
Project: Spark
Issue Type: New Feature
Components: ML
Affects Versions: 1.3.0
Reporter: Peter Rudenko
Priority: Minor
Right now in CrossValidator for each fold combination and ParamGrid
hyperparameter pair it searches the best parameter sequentially. Assuming
there's enough workers & memory on a cluster to cache all training/validation
folds it's possible to parallelize execution. Here's a draft i came with:
{code}
import scala.collection.immutable.{ Vector => ScalaVec }
....
val metrics = ScalaVec.fill(numModels)(0.0) //Scala vector is thread safe
val splits = MLUtils.kFold(dataset, map(numFolds), 0).zipWithIndex
def processFold(input: ((RDD[sql.Row], RDD[sql.Row]), Int)) = input match {
case ((training, validation), splitIndex) => {
val trainingDataset = sqlCtx.applySchema(training, schema).cache()
val validationDataset = sqlCtx.applySchema(validation, schema).cache()
// multi-model training
logDebug(s"Train split $splitIndex with multiple sets of parameters.")
val models = est.fit(trainingDataset, epm).asInstanceOf[Seq[Model[_]]]
var i = 0
trainingDataset.unpersist()
while (i < numModels) {
val metric = eval.evaluate(models(i).transform(validationDataset,
epm(i)), map)
logDebug(s"Got metric $metric for model trained with ${epm(i)}.")
metrics(i) += metric
i += 1
}
validationDataset.unpersist()
}
}
if (parallel) {
splits.par.foreach(processFold)
} else {
splits.foreach(processFold)
}
{code}
Assuming there's 3 folds it would redundantly cache all the combinations
(pretty much memory), so maybe it's possible to cache each fold separately.
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