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Improve performance of multivariate leaf regression model #154

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24 changes: 18 additions & 6 deletions include/stochtree/leaf_model.h
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Original file line number Diff line number Diff line change
Expand Up @@ -680,20 +680,32 @@ class GaussianMultivariateRegressionSuffStat {
void IncrementSuffStat(ForestDataset& dataset, Eigen::VectorXd& outcome, ForestTracker& tracker, data_size_t row_idx, int tree_idx) {
n += 1;
if (dataset.HasVarWeights()) {
XtWX += dataset.GetBasis()(row_idx, Eigen::all).transpose()*dataset.GetBasis()(row_idx, Eigen::all)/dataset.VarWeightValue(row_idx);
ytWX += (outcome(row_idx, 0)*(dataset.GetBasis()(row_idx, Eigen::all)))/dataset.VarWeightValue(row_idx);
for (int i = 0; i < p; i++) {
ytWX(0,i) += outcome(row_idx, 0) * dataset.BasisValue(row_idx, i) / dataset.VarWeightValue(row_idx);
for (int j = 0; j < p; j++) {
XtWX(i,j) += dataset.BasisValue(row_idx, i) * dataset.BasisValue(row_idx, j) / dataset.VarWeightValue(row_idx);
}
}
} else {
XtWX += dataset.GetBasis()(row_idx, Eigen::all).transpose()*dataset.GetBasis()(row_idx, Eigen::all);
ytWX += (outcome(row_idx, 0)*(dataset.GetBasis()(row_idx, Eigen::all)));
for (int i = 0; i < p; i++) {
ytWX(0,i) += outcome(row_idx, 0) * dataset.BasisValue(row_idx, i);
for (int j = 0; j < p; j++) {
XtWX(i,j) += dataset.BasisValue(row_idx, i) * dataset.BasisValue(row_idx, j);
}
}
}
}
/*!
* \brief Reset all of the sufficient statistics to zero
*/
void ResetSuffStat() {
n = 0;
XtWX = Eigen::MatrixXd::Zero(p, p);
ytWX = Eigen::MatrixXd::Zero(1, p);
for (int i = 0; i < p; i++) {
ytWX(0, i) = 0.0;
for (int j = 0; j < p; j++) {
XtWX(i, j) = 0.0;
}
}
}
/*!
* \brief Set the value of each sufficient statistic to the sum of the values provided by `lhs` and `rhs`
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