Add OpenMP support to density estimation tree code

There are two parts to the OpenMP support. First, cmake was instructed
to compile with compiler-appropriate OpenMP flags. Second, three OpenMP
pragmas were added to dt_utils.cpp to parallelize the cross-validation
loop. No non-pragma code changes were necessary.

CMakeLists.txt

@@ -250,13 +250,13 @@ endif (MSVC)
 add_definitions(-DBOOST_TEST_DYN_LINK)
 
 # We require OpenMP now.
-#find_package(OpenMP REQUIRED)
-#if (OPENMP_FOUND)
-#  set(CMAKE_C_FLAGS "${CMAKE_C_FLAGS} ${OpenMP_C_FLAGS}")
-#  set(CMAKE_CXX_FLAGS "${CMAKE_CXX_FLAGS} ${OpenMP_CXX_FLAGS}")
+find_package(OpenMP REQUIRED)
+if (OPENMP_FOUND)
+  set(CMAKE_C_FLAGS "${CMAKE_C_FLAGS} ${OpenMP_C_FLAGS}")
+  set(CMAKE_CXX_FLAGS "${CMAKE_CXX_FLAGS} ${OpenMP_CXX_FLAGS}")
 #  set(CMAKE_EXE_LINKER_FLAGS "${CMAKE_EXE_LINKER_FLAGS}
 #      ${OpenMP_EXE_LINKER_FLAGS}")
-#endif (OPENMP_FOUND)
+endif (OPENMP_FOUND)
 
 # Create a 'distclean' target in case the user is using an in-source build for
 # some reason.

src/mlpack/methods/det/dt_utils.cpp

@@ -177,6 +177,9 @@ DTree* mlpack::det::Trainer(arma::mat& dataset,
   regularizationConstants.resize(prunedSequence.size(), 0);
 
   // Go through each fold.
+  #pragma omp parallel for default(none) \
+    shared(testSize,cvData,prunedSequence,regularizationConstants,dataset) \
+    private(alpha,oldAlpha)
   for (size_t fold = 0; fold < folds; fold++)
   {
     // Break up data into train and test sets.
@@ -228,6 +231,7 @@ DTree* mlpack::det::Trainer(arma::mat& dataset,
       }
 
       // Update the cv regularization constant.
+      #pragma omp atomic
       regularizationConstants[i] += 2.0 * cvVal / (double) dataset.n_cols;
 
       // Determine the new alpha value and prune accordingly.
@@ -245,6 +249,7 @@ DTree* mlpack::det::Trainer(arma::mat& dataset,
     }
 
     if (prunedSequence.size() > 2)
+      #pragma omp atomic
       regularizationConstants[prunedSequence.size() - 2] += 2.0 * cvVal /
           (double) dataset.n_cols;