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Add optional torch usage for big matrix computations #38

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bschneidr opened this issue Sep 1, 2024 · 0 comments
Open
4 tasks

Add optional torch usage for big matrix computations #38

bschneidr opened this issue Sep 1, 2024 · 0 comments

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@bschneidr
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The torch package includes some fast methods for matrix decompositions that can be used as drop-in replacements for the default BLAS/LAPACK matrix computations in the package, with easy-to-use options for GPU computing. This would lead to noticeably improved runtimes for some functions like make_gen_boot_factors() or make_fays_gen_rep_factors(). Let's do the following:

  • 1. Add torch to the package suggests
  • 2. Add a package-wide option like options(svrep.torch_device = c(NULL, 'cpu', 'cuda'))
  • 3. In make_fays_gen_rep_factors(), allow the eigendecomposition to use Torch's eigendecomposition depending on getOption("svrep.torch_device").
  • 4. In make_gen_boot_factors(), see if we can generate the multivariate normal draws using torch depending on getOption("svrep.torch_device").
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