Implement Cross-Validation Using Parallel Computing
Simple Parallel Cross Validation
In this example, use crossval
to compute a
cross-validation estimate of mean-squared error for a regression model. Run the
computations in parallel.
mypool = parpool() Starting parpool using the 'local' profile ... connected to 2 workers. mypool = Pool with properties: AttachedFiles: {0x1 cell} NumWorkers: 2 IdleTimeout: 30 Cluster: [1x1 parallel.cluster.Local] RequestQueue: [1x1 parallel.RequestQueue] SpmdEnabled: 1
opts = statset('UseParallel',true); load('fisheriris'); y = meas(:,1); X = [ones(size(y,1),1),meas(:,2:4)]; regf=@(XTRAIN,ytrain,XTEST)(XTEST*regress(ytrain,XTRAIN)); cvMse = crossval('mse',X,y,'Predfun',regf,'Options',opts) cvMse = 0.1028
This simple example is not a good candidate for parallel computation:
% How long to compute in serial? tic;cvMse = crossval('mse',X,y,'Predfun',regf);toc Elapsed time is 0.073438 seconds. % How long to compute in parallel? tic;cvMse = crossval('mse',X,y,'Predfun',regf,... 'Options',opts);toc Elapsed time is 0.289585 seconds.
Reproducible Parallel Cross Validation
To run crossval
in parallel in a reproducible fashion, set
the options and reset the random stream appropriately (see Running Reproducible Parallel Computations).
mypool = parpool() Starting parpool using the 'local' profile ... connected to 2 workers. mypool = Pool with properties: AttachedFiles: {0x1 cell} NumWorkers: 2 IdleTimeout: 30 Cluster: [1x1 parallel.cluster.Local] RequestQueue: [1x1 parallel.RequestQueue] SpmdEnabled: 1 s = RandStream('mlfg6331_64'); opts = statset('UseParallel',true,... 'Streams',s,'UseSubstreams',true); load('fisheriris'); y = meas(:,1); X = [ones(size(y,1),1),meas(:,2:4)]; regf=@(XTRAIN,ytrain,XTEST)(XTEST*regress(ytrain,XTRAIN)); cvMse = crossval('mse',X,y,'Predfun',regf,'Options',opts) cvMse = 0.1020
Reset the stream:
reset(s) cvMse = crossval('mse',X,y,'Predfun',regf,'Options',opts) cvMse = 0.1020