GSoC ends but the contribution continues

This GSoC has been a great experience for me. Partly because of the technical aspects of the project, I loved coding the algorithms and contributing to an open-source project felt refreshing ! But most importantly because of my mentors Chris Fonnesbeck and Bill Engels. Their feedback was timely and precise, thank you ! I also found the PyMC community to be very helpful, considerate and welcoming ! I plan to continue working on my project and beyond, and can highly recommend this project to future contributors.

Status update

The objective of my Google summer of code project was to speed up Gaussian process inference in PyMC by leveraging Fast Matrix-Matrix multiplication based algorithms to speed up the log-determinant and solve computations which are the most expensive computations during GP inference.

The project was mainly divided into the following parts:

• Familiarise myself with PyMC Codebase
• Come up with a plan to implement the algorithms
• Finish initial implementations in NumPy of:
• pivoted Cholesky Algorithm.
• Linear Conjugate Gradients, which works on batches of data.
• Check-in above two implementations.
• Change the algorithms to use JAX instead, check GPU utilisation.
• Implement log-determinant and solve functions.
• Implement a GP using the GPU accelerated log-determinant and solve functions.
• Convert Log-determinant and solve functions to Aesara OPs.
• Integrate code into PyMC

The list above also indicates the status of the individual milestones. I plan to continue working on the unfinished items after GSoC.

Contributions

As a part of my GSoC, I sent two pull-requests which will be merged soon PR:62 and PR:63. These two PRs implement the core logic of pivoted Cholesky algorithm and the batched linear conjugate gradients, in NumPy. Apart from forming a good starting point for moving on to JAX for GPU speed-up. The NumPy implementations are also readable reference implementations for someone looking to working on something similar in the future.

I also maintained a log of my work on HackMD and wrote a few blog posts here. I really like the process of maintaining a work log, it helps to give a sense of progress to the project and also helps to keep track of hacks and work-arounds which one tends to forget. I can highly recommend keeping a digital work diary for your projects.