st: st_views passed on from Mata funtion to Mata function? pointers?

[László Sándor <sandorl@gmail.com>]

Hi,
I am still struggling to make Christian Hansen's lassoShooting as fast
as possible. (See yesterday's email, code at
http://faculty.chicagobooth.edu/christian.hansen/research/)

Even if I don't run out of memory (it is already scary if my data
takes more than 50% of physical memory so a copy runs out of it), I am
worried about lines of code when a view is passed onto a function that
expects a real matrix. A copy is made there, inefficiently?

See e.g. the function

real rowvector MakeLassoWeights(real colvector v , real matrix XX ,
real scalar hetero )
{
real rowvector Ups
nObs = rows(v)
if (hetero == 1) {
St = XX:*(v*J(1,cols(XX),1))
Ups = sqrt(quadcolsum((St):^2)/nObs)
}
else {
Ups = sqrt(quadcolsum(XX:^2)/nObs)*sqrt(quadcolsum(v:^2)/nObs)
}
return(Ups)
}

And its use
Ups = MakeLassoWeights(v , data.Xs , hetero)

Where data.Xs is a HUGE view (think of 3 million rows, 500 columns),
and even v is long. Btw, I still think v should made more efficiently:
v = data.y - data.Xs*betas.betaAll

I find it stunning if Stata proudly sports a cross() function proudly
careful and efficient with views but does not do something similar for
other matrix multiplications.

Is there really nothing to do about this?

Or has anyone vetted LARS.ado much to see if their use of Mata is more
careful? (I cannot try the new code easily with the data.)

Thanks,

Laszlo
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