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Dmitriy Lyubimov commented on MAHOUT792:

more thoughts:
1  it looks like this method is compressing a lot of info into k+p uppertriangular R. I
guess there's more potential for rounding errors there. (I am not buying too much into rounding
errors though).
2  Argument of Q matrix being large is not very convincing to me. Q is n x (k+p), that is,
assuming A is much wider (in terms of nonzero element average #) which it should be in order
for projection method to make sense at all, it is a fraction of A. Besides, it is written
in blocks by mappers, and read by mappers, so each mapper sees only one block of size say
30,000 x (k+p), which it will not be, assuming A is sufficiently wide, and assuming k+p=500,
amounts to 120mb per mapper. So there's not so much actual memory pressure, that's what distributed
computations are for. Same goes for dense operations, we just distribute them.
3  it looks like you are writing B as output of the second MR, which is (k+p) x n. Going
back to argument of a 'big Q', we can't assume that B would be any less. In fact, some time
ago i came to conclusion that it looks like projection method would be much more efficient
if input is wide rather than tall since projection compression factor would be much better
for what seems to be fairly inexpensive operation (since it costs nothing to redistribute
Omega which is only backed by one long number as a random gen seed, as opposed to actual long
or wide bands such as B or Q). So we can't exclude very wide inputs.
Overall it looks like a great improvement. I am not convinced that it would cut processing
time that much (it looks it has the same amount of proposed MR steps but it looks like all
of them would require shuffleandsort and reduce phase, whereas with QR is a reduceless process),
but it definitely reduces complexity of MR implementation and i would be very eager to try
it out. Certainly all i said is the first impression and intuition only; and in my experience
intuition turns out to be wrong surprisingly often as far as benchmark guesstimates are concerned.
> Add new stochastic decomposition code
> 
>
> Key: MAHOUT792
> URL: https://issues.apache.org/jira/browse/MAHOUT792
> Project: Mahout
> Issue Type: New Feature
> Reporter: Ted Dunning
> Attachments: MAHOUT792.patch, MAHOUT792.patch, sd2.pdf
>
>
> I have figured out some simplification for our SSVD algorithms. This eliminates the
QR decomposition and makes life easier.
> I will produce a patch that contains the following:
>  a CholeskyDecomposition implementation that does pivoting (and thus rankrevealing)
or not. This should actually be useful for solution of large outofcore least squares problems.
>  an inmemory SSVD implementation that should work for matrices up to about 1/3 of
available memory.
>  an outofcore SSVD threaded implementation that should work for very large matrices.
It should take time about equal to the cost of reading the input matrix 4 times and will
require working disk roughly equal to the size of the input.

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