4
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I have the following small program:

(*Parameters*)
x0 = 4.;
g = 10.;
k = 0.5;
(*Define function*)    
fun[nTot_?IntegerQ, dt_?NumberQ] :=
 (fac = 1. - dt*k/g;
  list = Reap[Fold[Sow[fac*#] &, x0, Range[nTot]]][[2, 1]];
  list2 = ({(# - 1.)*dt, list[[#]]} & /@ Range[Length[list]]);)
(*Parameters*)
nTot = 10^7; dt = 10.^-3;
(*Computefunction*)
fun[nTot, dt]

which takes on my machine about 13 seconds. I want to speed it up and thought about Mathematica's Compile capabilities. Is there any way to Compile the function fun to C? For example here it is done for a Do loop, but I cannot apply this to my code. Any suggestions?

[Edit]

Thank you again for your answer. To illustrate what I mean see the following change of my initial program:

f[nTot_?IntegerQ, nMem_?IntegerQ, 
  dt_?NumberQ] :=
 (fun[t_] = -163.6 E^(-2. t) + 40. E^(-1. t);
  fac1 = 1. - dt*(41.8/0.1 + 1.);
  fac2 = dt^2/0.1;
  listExp = 
   Developer`ToPackedArray[
    fun[#*dt] & /@ Range[0, nMem - 1] // Reverse];
  list = Prepend[
    Reap[Fold[Append[Rest@#, Sow[fac1*Last[#] - fac2*listExp.#]] &, 
       ConstantArray[1., nMem], Range[nTot]]][[2, 1]], 1.];
  list2 = ({(# - 1.)*dt, list[[#]]} & /@ Range[Length[list]]);)
(*Define parameters*)
nTot = 10^4; nMem = 10^5; dt = 10.^-4;
(*Compute function*)
f[nTot, nMem, dt]

which takes 2.3 secs on my machine. And now the (equivalent) compiled version which takes 8.4 secs on my machine:

fun[t_] = -163.6 E^(-2.* t) + 40. E^(-1.* t);
cfun = Compile[{{x0, _Real}, {nTot, _Integer}, {dt, _Real}, {nMem, \
_Integer}}, 
   Block[{}, x = ConstantArray[x0, nMem]; 
    fac1 = 1. - dt*(41.8/0.1 + 1.);
    fac2 = dt^2/0.1; 
    listExp = Reverse[fun[#*dt] & /@ Range[0, nMem - 1]];
    Table[{i*dt, 
      Last[x = Append[Rest@x, fac1*Last[x] - fac2*(listExp.x)]]}, {i, 
      1, nTot}]], CompilationTarget -> "C"];
clist2 = Prepend[cfun[1., 10^4, 10.^-4, 10^5], {0., 1.}];

Why is the compiled version now so slow? Is there a way to speed it up? Or did I do some simple mistakes? Help is highly appreciated again!

[Edit2]:

Ok, a small modification in the compiled version speeds it up to around 3 secs on my machine. But still it is slower compared to the solution with Fold:

fac1 = 1. - dt*(41.8/0.1 + 1.);
fac2 = dt^2/0.1;
fun[t_] = -163.6 E^(-2.* t) + 40. E^(-1.* t);
cfun = Compile[{{x0, _Real}, {nTot, _Integer}, {dt, _Real}, {nMem, \
_Integer}}, Block[{fac2 = fac2, fac1 = fac1, x, listExp},
    x = Table[x0, {i, 1, 10^5}];
    listExp = Reverse[fun[#*dt] & /@ Range[0, nMem - 1]];
    Table[{i*dt, 
      Last[x = Append[Rest@x, fac1*Last[x] - fac2*listExp.x]]}, {i, 1,
       nTot}]], {{listExp, _Real, 1}}, 
   CompilationOptions -> {"InlineExternalDefinitions" -> True, 
     "InlineCompiledFunctions" -> True, 
     "ExpressionOptimization" -> True}, 
   RuntimeAttributes -> {Listable}, Parallelization -> True];
clist2 = Prepend[cfun[1, 10^4, 10^-4, 10^5], {0, 1}];

[Edit3]

Getting rid of Append and using Part instead is a little bit helpful:

dt = 10.^-4;
nMem = 10^5;
nTot = 10^5;
fac1 = 1. - dt*(41.8/0.1 + 1.);
fac2 = dt^2/0.1;
x0 = 1.;
x = Array[x0 &, nTot + nMem];
fun[t_] = -163.6 E^(-2.* t) + 40. E^(-1.* t);
listExp = 
  Developer`ToPackedArray[Reverse[fun[#*dt] & /@ Range[0, nMem - 1]]];
list = Table[{i*dt, 
    x[[i + nMem]] = 
     fac1*x[[i + nMem - 1]] - 
      fac2*listExp.x[[i ;; nMem + i - 1]]}, {i, 1, nTot}];

and a compiled version:

fac1 = 1. - dt*(41.8/0.1 + 1.);
fac2 = dt^2/0.1;
fun[t_] = -163.6 E^(-2.* t) + 40. E^(-1.* t);
cfun = Compile[{{x0, _Real}, {nTot, _Integer}, {dt, _Real}, {nMem, \
_Integer}}, Block[{fac2 = fac2, fac1 = fac1, x, listExp},
    x = Array[x0 &, nTot + nMem];
    listExp = Reverse[fun[#*dt] & /@ Range[0, nMem - 1]];
    Table[{i*dt, 
      x[[i + nMem]] = 
       fac1*x[[i + nMem - 1]] - 
        fac2*listExp.x[[i ;; nMem + i - 1]]}, {i, 1, 
      nTot}]], {{listExp, _Real, 1}}, 
   CompilationOptions -> {"InlineExternalDefinitions" -> True, 
     "InlineCompiledFunctions" -> True, 
     "ExpressionOptimization" -> True}, 
   RuntimeAttributes -> {Listable}, Parallelization -> True];
clist2 = cfun[1, 10^5, 10^-4, 10^5];

[Edit4]

Managed to get rid of the MainEvaluate code by using pure function definition:

Clear["Global`*"]
fac1 = 1. - dt*(41.8/0.1 + 1.);
fac2 = dt^2/0.1;
fun = -163.6 E^(-2.* #) + 40. E^(-1.* #) &;
cfun = Compile[{{x0, _Real}, {nTot, _Integer}, {dt, _Real}, {nMem, \
_Integer}}, Block[{fac2 = fac2, fac1 = fac1, x, listExp},
    x = Array[x0 &, nTot + nMem];
    listExp = Reverse[fun[#*dt] & /@ Range[0, nMem - 1]];
    Table[{i*dt, 
      x[[i + nMem]] = 
       fac1*x[[i + nMem - 1]] - 
        fac2*listExp.x[[i ;; nMem + i - 1]]}, {i, 1, 
      nTot}]], {{listExp, _Real, 1}}, 
   CompilationOptions -> {"InlineExternalDefinitions" -> True, 
     "InlineCompiledFunctions" -> True, 
     "ExpressionOptimization" -> True}];
clist3 = cfun[1., 10^4, 10.^-4.5, 4*10^5];

Any further recommendations how to speed it up?

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  • 1
    $\begingroup$ You want to avoid MainEvaluate. See the output of Needs["CompiledFunctionTools`"]; CompilePrint@cfun. $\endgroup$ – Michael E2 Jan 15 '18 at 14:58
  • $\begingroup$ Developer`ToPackedArray is basically an expensive no-op inside Compile, because the only arrays Compile deals with are packed arrays. $\endgroup$ – Michael E2 Jan 15 '18 at 15:00
  • $\begingroup$ Can you elaborate a little bit more on how to avoid MainEvaluate in my specific case? I inserted these commands but what does the output exactly tells me? $\endgroup$ – Display Name Jan 15 '18 at 15:06
  • $\begingroup$ Ok, so DeveloperToPackedArray` is basically a useless function within Compile if I get you right. But why is there an effect in my program? $\endgroup$ – Display Name Jan 15 '18 at 15:07
  • $\begingroup$ Yep, ToPackedArray is useless inside Compile. MainEvaluate is a call out of the compiler (actually WVM) back to the main kernel to evaluate something the compiler cannot do. For more explanation, explore some of the Q&A in the link. $\endgroup$ – Michael E2 Jan 15 '18 at 15:17
1
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This new task with dotting listExp against a moving window in x would have deserved a new question post.

Your problem as a very specific structure that I am going to exploit: The list listExp is a sum of two lists listExp1 and listExp2 that are both of the form Table[a base^i, {i,1,nMem - 1}]. These list are dotted against a window moving along x resulting in numbers sum1 and sum2. The main obserservation for speeding up your code is that after a moving step, sum1 can be computed as sum1 = (sum1 + a1 xout)/base1 + b1 xin where xin is the element of x entering the window and xout is the one leaving the window. Hence, we don't have to compute the expensive dot product any more! Along with some other tweaks (replacing Part in read operations by Compile`GetElement, compiling into binaries via "C", and switching off some secrity checks with RuntimeOptions -> "Speed"), the code looks like this:

cfunDotLess = Compile[{{x0, _Real}, {nTot, _Integer}, {dt, _Real}, {nMem, _Integer}}, 
   Block[{fac2, fac1, x, listExp1, listExp2, base1, base2, sum1, sum2,
      xnew, a1, a2, b1, b2, xout, xin, j}, 
    x = Table[x0, {i, 1, nMem}];
    fac1 = 1. - dt (41.8/0.1 + 1.);
    fac2 = dt^2/0.1;
    base1 = E^(-2. dt);
    base2 = E^(-1. dt);
    a1 = -163.6 fac2;
    a2 = 40. fac2;
    sum1 = 0.;
    sum2 = 0.;
    b1 = (-a1);
    b2 = (-a2);
    Do[
     sum1 += b1 x0;
     sum2 += b2 x0;
     b1 *= base1;
     b2 *= base2;, {i, 0, nMem - 1}];
    xnew = x0;
    j = 0;
    Table[
     If[j >= nMem, j = 1, j++];
     xout = Compile`GetElement[x, j];
     xin = xnew;
     sum1 = (sum1 + a1 xout)/base1 + b1 xin;
     sum2 = (sum2 + a2 xout)/base2 + b2 xin;
     x[[j]] = xnew = Plus[fac1 xin, sum1, sum2];
     {i dt, xnew}, {i, 1, nTot}]
    ],
   CompilationTarget -> "C",
   RuntimeOptions -> "Speed"
   ];

The following shows that clistDotLess is about 8000 times faster than cfun from Edit 4 at a cost of an acceptable loss of accuracy:

clistDotLess = cfunDotLess[1., 10^5, 10.^-4.5, 4.*10^5]; // AbsoluteTiming // First
clist = cfun[1., 10^5, 10.^-4.5, 4.*10^5]; // AbsoluteTiming // First
Max[Abs[clistDotLess - clist]]

0.003614

37.028

4.63854*10^-9

Edit: I removed some superfluous indexing into x and shortened x to be an array of length nMem by using indices j modulo nMem.

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  • $\begingroup$ First of all, thank you very much for your effort! I wasn't aware that I should open a new topic for this one, but I will certainly do next time. I realized that in my [Edit4] I somehow lost the Reverse in the definition of listExp. I re-edited my [Edit4] to provide the correct definition as intended. I think this won't affect your answer too much, but feel free to edit it so that it is fitting to the opening post again. I will thouroughly look at your answer tomorrow, but if it is 8000 times faster than cfun it is exactly what I was looking and hoping for. Great! $\endgroup$ – Display Name Jan 16 '18 at 20:36
  • $\begingroup$ What I do not understand is how you obtain the expression for the new sum after a moving step. Shouldn't it be sum=base*sum+a*xin-a*base^(nMem+1)*xout? $\endgroup$ – Display Name Jan 17 '18 at 12:16
  • $\begingroup$ Maybe. Remember that you reverted the ordering in listExp. Division by base might become multiplication and so on. Quite likely, I also made some mistakes. I am sure you will adapt this to you problem... $\endgroup$ – Henrik Schumacher Jan 17 '18 at 12:31
  • $\begingroup$ Sure, I think this will just take some time. But more importantly I got the idea behind it. $\endgroup$ – Display Name Jan 17 '18 at 12:33
  • $\begingroup$ That was the goal! =D $\endgroup$ – Henrik Schumacher Jan 17 '18 at 12:44
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Your use of Reap and Sow along with Fold could be better formulated with FoldList, or even better with NestList. Moreover, the second sweep over Range[Length[list]] can be avoided at all. "Unfolding" your code and compiling it, this could look like this:

cfun = Compile[{{x0, _Real}, {nTot, _Integer}, {dt, _Real}, {g, _Real}, {k, _Real}},
   Block[{fac = 1. - dt*k/g, x = x0},
    Table[x *= fac; {(i - 1.)*dt, x}, {i, 1, nTot}]
    ],
   CompilationTarget -> "C"
   ];

clist2 = cfun[x0, nTot, dt, g, k]; // AbsoluteTiming // First

0.49941

Note that constructs like Fold and Nest are bound to evaluate sequentially while your result can actually obtained in parallel. A simple vectorized version of your code is this:

vfun[x0_?NumberQ, nTot_Integer, dt_?NumberQ, g_?NumberQ, k_?NumberQ] :=
   With[{ran = N@Range[1, nTot]},
   Transpose[{(ran - 1.) dt, x0 ((1. - dt*k/g)^ran)}]
   ];

On my Haswell quad core, this performs like this

vlist2 = vfun[x0, nTot, dt, g, k]; // AbsoluteTiming // First

0.397826

Note that the most expensive operation in vfun is Transpose; skipping will half the cost.

Comparing the results:

Max[Abs[clist2 - vlist2]]

2.79776*10^-14

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  • $\begingroup$ Thank you very much for your recommendations! For some reasons, vfun is becoming slow if nTot=2*10^7 (25 secs) compared to cfun with the same nTot (2 secs) on my machine. What could be reason for this? $\endgroup$ – Display Name Jan 15 '18 at 10:33
  • $\begingroup$ When the exponents become too large, Mathematica has to use extended precision as the results get much smaller than $MachineEpsilon. Extended precision calculations are much more expensive since they have to be emulated in software and since bigger data types have to be used. The compiled version does not care; it will simply return 0. in that case. $\endgroup$ – Henrik Schumacher Jan 15 '18 at 10:39
  • $\begingroup$ Of course, makes totally sense. Can one avoid this behaviour? If yes, how? $\endgroup$ – Display Name Jan 15 '18 at 10:40
  • 1
    $\begingroup$ Ok, SetSystemOptions["CatchMachineUnderflow" -> False] should do the job. $\endgroup$ – Display Name Jan 15 '18 at 10:48
  • $\begingroup$ Good point. Yeah, a thought about it in the meantime: I think Mathematica cannot switch to extended precision because (1. - dt*k/g) has machine precision. So, it's the error handling that slows things down. Very good! $\endgroup$ – Henrik Schumacher Jan 15 '18 at 10:50

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