Parallel calculation support in groupwise cross validation #501
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Previously the clever GP cross-validation calculations could leverage BLAS / LAPACK parallelism, but iteration across held-out groups happened in a serial for-loop. This could lead to suboptimal performance in situations with many held-out groups to evaluate. This commit plumbs thread pool support into the cross-validation and inverse covariance block calculation routines and uses the model's internal thread pool by default.
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Previously the clever GP cross-validation calculations could leverage BLAS / LAPACK parallelism, but iteration across held-out groups happened in a serial for-loop. This could lead to suboptimal performance in situations with many held-out groups to evaluate.
This commit plumbs thread pool support into the cross-validation and inverse covariance block calculation routines and uses the model's internal thread pool by default.