Repository: spark Updated Branches: refs/heads/branch-1.1 c085011ca -> ce06d7f45
[SPARK-3001][MLLIB] Improve Spearman's correlation The current implementation requires sorting individual columns, which could be done with a global sort. result on a 32-node cluster: m | n | prev | this ---|---|-------|----- 1000000 | 50 | 55s | 9s 10000000 | 50 | 97s | 76s 1000000 | 100 | 119s | 15s Author: Xiangrui Meng <[email protected]> Closes #1917 from mengxr/spearman and squashes the following commits: 4d5d262 [Xiangrui Meng] remove unused import 85c48de [Xiangrui Meng] minor updates a048d0c [Xiangrui Meng] remove cache and set a limit to cachedIds b98bb18 [Xiangrui Meng] add comments 0846e07 [Xiangrui Meng] first version (cherry picked from commit 2e069ca6560bf7ab07bd019f9530b42f4fe45014) Signed-off-by: Xiangrui Meng <[email protected]> Project: http://git-wip-us.apache.org/repos/asf/spark/repo Commit: http://git-wip-us.apache.org/repos/asf/spark/commit/ce06d7f4 Tree: http://git-wip-us.apache.org/repos/asf/spark/tree/ce06d7f4 Diff: http://git-wip-us.apache.org/repos/asf/spark/diff/ce06d7f4 Branch: refs/heads/branch-1.1 Commit: ce06d7f45bc551f6121c382b0833e01b8a83f636 Parents: c085011 Author: Xiangrui Meng <[email protected]> Authored: Fri Aug 15 21:07:55 2014 -0700 Committer: Xiangrui Meng <[email protected]> Committed: Fri Aug 15 21:08:08 2014 -0700 ---------------------------------------------------------------------- .../stat/correlation/SpearmanCorrelation.scala | 120 +++++++------------ 1 file changed, 42 insertions(+), 78 deletions(-) ---------------------------------------------------------------------- http://git-wip-us.apache.org/repos/asf/spark/blob/ce06d7f4/mllib/src/main/scala/org/apache/spark/mllib/stat/correlation/SpearmanCorrelation.scala ---------------------------------------------------------------------- diff --git a/mllib/src/main/scala/org/apache/spark/mllib/stat/correlation/SpearmanCorrelation.scala b/mllib/src/main/scala/org/apache/spark/mllib/stat/correlation/SpearmanCorrelation.scala index 9bd0c2c..4a6c677 100644 --- a/mllib/src/main/scala/org/apache/spark/mllib/stat/correlation/SpearmanCorrelation.scala +++ b/mllib/src/main/scala/org/apache/spark/mllib/stat/correlation/SpearmanCorrelation.scala @@ -19,10 +19,10 @@ package org.apache.spark.mllib.stat.correlation import scala.collection.mutable.ArrayBuffer -import org.apache.spark.{Logging, HashPartitioner} +import org.apache.spark.Logging import org.apache.spark.SparkContext._ -import org.apache.spark.mllib.linalg.{DenseVector, Matrix, Vector} -import org.apache.spark.rdd.{CoGroupedRDD, RDD} +import org.apache.spark.mllib.linalg.{Matrix, Vector, Vectors} +import org.apache.spark.rdd.RDD /** * Compute Spearman's correlation for two RDDs of the type RDD[Double] or the correlation matrix @@ -43,87 +43,51 @@ private[stat] object SpearmanCorrelation extends Correlation with Logging { /** * Compute Spearman's correlation matrix S, for the input matrix, where S(i, j) is the * correlation between column i and j. - * - * Input RDD[Vector] should be cached or checkpointed if possible since it would be split into - * numCol RDD[Double]s, each of which sorted, and the joined back into a single RDD[Vector]. */ override def computeCorrelationMatrix(X: RDD[Vector]): Matrix = { - val indexed = X.zipWithUniqueId() - - val numCols = X.first.size - if (numCols > 50) { - logWarning("Computing the Spearman correlation matrix can be slow for large RDDs with more" - + " than 50 columns.") - } - val ranks = new Array[RDD[(Long, Double)]](numCols) - - // Note: we use a for loop here instead of a while loop with a single index variable - // to avoid race condition caused by closure serialization - for (k <- 0 until numCols) { - val column = indexed.map { case (vector, index) => (vector(k), index) } - ranks(k) = getRanks(column) + // ((columnIndex, value), rowUid) + val colBased = X.zipWithUniqueId().flatMap { case (vec, uid) => + vec.toArray.view.zipWithIndex.map { case (v, j) => + ((j, v), uid) + } } - - val ranksMat: RDD[Vector] = makeRankMatrix(ranks, X) - PearsonCorrelation.computeCorrelationMatrix(ranksMat) - } - - /** - * Compute the ranks for elements in the input RDD, using the average method for ties. - * - * With the average method, elements with the same value receive the same rank that's computed - * by taking the average of their positions in the sorted list. - * e.g. ranks([2, 1, 0, 2]) = [2.5, 1.0, 0.0, 2.5] - * Note that positions here are 0-indexed, instead of the 1-indexed as in the definition for - * ranks in the standard definition for Spearman's correlation. This does not affect the final - * results and is slightly more performant. - * - * @param indexed RDD[(Double, Long)] containing pairs of the format (originalValue, uniqueId) - * @return RDD[(Long, Double)] containing pairs of the format (uniqueId, rank), where uniqueId is - * copied from the input RDD. - */ - private def getRanks(indexed: RDD[(Double, Long)]): RDD[(Long, Double)] = { - // Get elements' positions in the sorted list for computing average rank for duplicate values - val sorted = indexed.sortByKey().zipWithIndex() - - val ranks: RDD[(Long, Double)] = sorted.mapPartitions { iter => - // add an extra element to signify the end of the list so that flatMap can flush the last - // batch of duplicates - val end = -1L - val padded = iter ++ Iterator[((Double, Long), Long)](((Double.NaN, end), end)) - val firstEntry = padded.next() - var lastVal = firstEntry._1._1 - var firstRank = firstEntry._2.toDouble - val idBuffer = ArrayBuffer(firstEntry._1._2) - padded.flatMap { case ((v, id), rank) => - if (v == lastVal && id != end) { - idBuffer += id - Iterator.empty - } else { - val entries = if (idBuffer.size == 1) { - Iterator((idBuffer(0), firstRank)) - } else { - val averageRank = firstRank + (idBuffer.size - 1.0) / 2.0 - idBuffer.map(id => (id, averageRank)) - } - lastVal = v - firstRank = rank - idBuffer.clear() - idBuffer += id - entries + // global sort by (columnIndex, value) + val sorted = colBased.sortByKey() + // assign global ranks (using average ranks for tied values) + val globalRanks = sorted.zipWithIndex().mapPartitions { iter => + var preCol = -1 + var preVal = Double.NaN + var startRank = -1.0 + var cachedUids = ArrayBuffer.empty[Long] + val flush: () => Iterable[(Long, (Int, Double))] = () => { + val averageRank = startRank + (cachedUids.size - 1) / 2.0 + val output = cachedUids.map { uid => + (uid, (preCol, averageRank)) } + cachedUids.clear() + output } + iter.flatMap { case (((j, v), uid), rank) => + // If we see a new value or cachedUids is too big, we flush ids with their average rank. + if (j != preCol || v != preVal || cachedUids.size >= 10000000) { + val output = flush() + preCol = j + preVal = v + startRank = rank + cachedUids += uid + output + } else { + cachedUids += uid + Iterator.empty + } + } ++ flush() } - ranks - } - - private def makeRankMatrix(ranks: Array[RDD[(Long, Double)]], input: RDD[Vector]): RDD[Vector] = { - val partitioner = new HashPartitioner(input.partitions.size) - val cogrouped = new CoGroupedRDD[Long](ranks, partitioner) - cogrouped.map { - case (_, values: Array[Iterable[_]]) => - val doubles = values.asInstanceOf[Array[Iterable[Double]]] - new DenseVector(doubles.flatten.toArray) + // Replace values in the input matrix by their ranks compared with values in the same column. + // Note that shifting all ranks in a column by a constant value doesn't affect result. + val groupedRanks = globalRanks.groupByKey().map { case (uid, iter) => + // sort by column index and then convert values to a vector + Vectors.dense(iter.toSeq.sortBy(_._1).map(_._2).toArray) } + PearsonCorrelation.computeCorrelationMatrix(groupedRanks) } } --------------------------------------------------------------------- To unsubscribe, e-mail: [email protected] For additional commands, e-mail: [email protected]
