Hello I'm trying to solve a largish elasticnet type problem (convex optimisation).
- The LARS.jl package produces Out of Memory errors for a test (1000, 262144) problem. /proc/meminfo suggests I have 17x this array size free so not sure what's going on there. - I have access to multiple GPUs and nodes. - I would potentially need to solve problems of the above sort of size or bigger (10k, 200k) many, many times. Looking for thoughts on the appropriate way to go about tackling this: - Rewrap an existing glmnet library for Julia (e.g. this CUDA enabled one https://github.com/jeffwong/cudaglmnet or http://www-hsc.usc.edu/~garykche/gpulasso.pdf) - Go back to basics and use and optimisation package on the objective function (https://github.com/JuliaOpt), but which one? Would this be inefficient compared to specific glmnet solvers which do some kind of coordinate descent? - Rewrite some CUDA library from scratch (OK - probably a bad idea). Thoughts on the back of a postcard would be gratefully received. Cheers Matthew
