support parallel MinTrace optimization #249
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jmoralez
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AzulGarza
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Nov 16, 2023
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Awesome @jmoralez! Could we test that the same results can be recovered using
num_threads=1andnum_threads>1? We could add the test in a cell with#| eval: false, just to test it while developing.
I just saw the tests, and approved. Thank you!
AzulGarza
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Nov 16, 2023
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Since the
solve_qpfunction uses the nogil context manager it's possible to parallelize the optimization problems using a thread pool, which will solve the optimization problems for each horizon in parallel.This adds the
num_threadsargument toMinTrace, which if set to a number greater than 1 will spawn a thread pool and submit the work there.Also removes deprecation warnings about the sparse argument in the OneHotEncoder.