[julia-users] Re: Help me optimize Stochastic Gradient Descent of Least Squares Error

[Freddy Chua]

begin
N = 10000
K = 100
rate = 1e-2
ITERATIONS = 100

# generate y
y = rand(N)

# generate x
x = rand(K, N)

# generate w
w = zeros(Float64, K)

tic()
for i=1:ITERATIONS
for n=1:N
y_hat = 0.0
x_n = x[:,n]
for k=1:K
y_hat += w[k] * x_n[k]
end

for k=1:K
w[k] += rate * (y[n] - y_hat) * x_n[k]
end
end
end
toc()
end