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Sometimes, with big data, matrices are too big to handle, and it is possible to use tricks to numerically still do the map. Map-Reduce is one of those. With several cores, it is possible to split the problem, to map on each machine, and then to agregate it back at the end.

Consider the case of the linear regression, $\mathbf{y}=\mathbf{X}\mathbf{\beta}+\mathbf{\varepsilon}$ (with classical matrix notations). The OLS estimate of $\mathbf{\beta}$ is $\widehat{\mathbf{\beta}}=[\mathbf{X}^T\mathbf{X}]^{-1}\mathbf{X}^T\mathbf{y}$. To illustrate, consider a not too big dataset, and run some regression.

lm(dist~speed,data=cars)$coefficients (Intercept) speed -17.579095 3.932409 y=cars$dist
X=cbind(1,cars$speed) solve(crossprod(X,X))%*%crossprod(X,y) [,1] [1,] -17.579095 [2,] 3.932409 How is this computed in R? Actually, it is based on the QR decomposition of $\mathbf{X}$, $\mathbf{X}=\mathbf{Q}\mathbf{R}$, where $\mathbf{Q}$ is an orthogonal matrix (ie $\mathbf{Q}^T\mathbf{Q}=\mathbb{I}$). Then $\widehat{\mathbf{\beta}}=[\mathbf{X}^T\mathbf{X}]^{-1}\mathbf{X}^T\mathbf{y}=\mathbf{R}^{-1}\mathbf{Q}^T\mathbf{y}$ solve(qr.R(qr(as.matrix(X)))) %*% t(qr.Q(qr(as.matrix(X)))) %*% y [,1] [1,] -17.579095 [2,] 3.932409 So far, so good, we get the same output. Now, what if we want to parallelise computations. Actually, it is possible. Consider $m$ blocks m = 5 and split vectors and matrices [latex display=”true”]\mathbf{y}=\left[\begin{matrix}\mathbf{y}_1\\\mathbf{y}_2\\\vdots \\\mathbf{y}_m\end{matrix}\right][/latex] and [latex display=”true”]\mathbf{X}=\left[\begin{matrix}\mathbf{X}_1\\\mathbf{X}_2\\\vdots\\\mathbf{X}_m\end{matrix}\right]=\left[\begin{matrix}\mathbf{Q}_1^{(1)}\mathbf{R}_1^{(1)}\\\mathbf{Q}_2^{(1)}\mathbf{R}_2^{(1)}\\\vdots \\\mathbf{Q}_m^{(1)}\mathbf{R}_m^{(1)}\end{matrix}\right][/latex] To split vectors and matrices, use (eg) Xlist = list() for(j in 1:m) Xlist[[j]] = X[(j-1)*10+1:10,] ylist = list() for(j in 1:m) ylist[[j]] = y[(j-1)*10+1:10] and get small QR recomposition (per subset) QR1 = list() for(j in 1:m) QR1[[j]] = list(Q=qr.Q(qr(as.matrix(Xlist[[j]]))),R=qr.R(qr(as.matrix(Xlist[[j]])))) Consider the QR decomposition of $\mathbf{R}^{(1)}$ which is the first step of the reduce part[latex display=”true”]\mathbf{R}^{(1)}=\left[\begin{matrix}\mathbf{R}_1^{(1)}\\\mathbf{R}_2^{(1)}\\\vdots \\\mathbf{R}_m^{(1)}\end{matrix}\right]=\mathbf{Q}^{(2)}\mathbf{R}^{(2)}[/latex]where[latex display=”true”]\mathbf{Q}^{(2)}=\left[\begin{matrix}\mathbf{Q}^{(2)}_1\\\mathbf{Q}^{(2)}_2\\\vdots\\\mathbf{Q}^{(2)}_m\end{matrix}\right][/latex] R1 = QR1[[1]]$R
for(j in 2:m) R1 = rbind(R1,QR1[[j]]$R) Q1 = qr.Q(qr(as.matrix(R1))) R2 = qr.R(qr(as.matrix(R1))) Q2list=list() for(j in 1:m) Q2list[[j]] = Q1[(j-1)*2+1:2,] Define – as step 2 of the reduce part[latex display=”true”]\mathbf{Q}^{(3)}_j=\mathbf{Q}^{(2)}_j\mathbf{Q}^{(1)}_j[/latex] and[latex display=”true”]\mathbf{V}_j=\mathbf{Q}^{(3)T}_j\mathbf{y}_j[/latex] Q3list = list() for(j in 1:m) Q3list[[j]] = QR1[[j]]$Q %*% Q2list[[j]]
Vlist = list()
for(j in 1:m) Vlist[[j]] = t(Q3list[[j]]) %*% ylist[[j]] 

and finally set – as the step 3 of the reduce part[latex display=”true”]\widehat{\mathbf{\beta}}=[\mathbf{R}^{(2)}]^{-1}\sum_{j=1}^m\mathbf{V}_j[/latex]

sumV = Vlist[[1]]
for(j in 2:m) sumV = sumV+Vlist[[j]]
solve(R2) %*% sumV
[,1]
[1,] -17.579095
[2,]   3.932409

It looks like we’ve been able to parallelise our linear regression…