#include "squiggle.h" #include #include #include #include #include #include #include #include // memcpy /* Cache optimizations */ #define CACHE_LINE_SIZE 64 // getconf LEVEL1_DCACHE_LINESIZE // typedef struct seed_cache_box_t { uint64_t seed; char padding[CACHE_LINE_SIZE - sizeof(uint64_t)]; // Cache line size is 64 *bytes*, uint64_t is 64 *bits* (8 bytes). Different units! } seed_cache_box; // This avoids "false sharing", i.e., different threads competing for the same cache line // Dealing with this shaves 4ms from a 12ms process, or a third of runtime // /* Parallel sampler */ void sampler_parallel(double (*sampler)(uint64_t* seed), double* results, int n_threads, int n_samples) { // Terms of the division: // a = b * quotient + reminder // a = b * (a/b) + (a%b) // dividend: a // divisor: b // quotient = a/b // reminder = a%b // "divisor's multiple" := b*(a/b) // now, we have n_samples and n_threads // to make our life easy, each thread will have a number of samples of: a/b (quotient) // and we'll compute the remainder of samples separately // to possibly do by Jorge: improve so that the remainder is included in the threads int quotient = n_samples / n_threads; int divisor_multiple = quotient * n_threads; // uint64_t** seeds = malloc((size_t)n_threads * sizeof(uint64_t*)); seed_cache_box* cache_box = (seed_cache_box*)malloc(sizeof(seed_cache_box) * (size_t)n_threads); // seed_cache_box cache_box[n_threads]; // we could use the C stack. On normal linux machines, it's 8MB ($ ulimit -s). However, it doesn't quite feel right. srand(1); for (int i = 0; i < n_threads; i++) { // Constraints: // - xorshift can't start with 0 // - the seeds should be reasonably separated and not correlated cache_box[i].seed = (uint64_t)rand() * (UINT64_MAX / RAND_MAX); // Other initializations tried: // *seeds[i] = 1 + i; // *seeds[i] = (i + 0.5)*(UINT64_MAX/n_threads); // *seeds[i] = (i + 0.5)*(UINT64_MAX/n_threads) + constant * i; } int i; #pragma omp parallel private(i) { #pragma omp for for (i = 0; i < n_threads; i++) { // It's possible I don't need the for, and could instead call omp // in some different way and get the thread number with omp_get_thread_num() int lower_bound_inclusive = i * quotient; int upper_bound_not_inclusive = ((i + 1) * quotient); // note the < in the for loop below, for (int j = lower_bound_inclusive; j < upper_bound_not_inclusive; j++) { results[j] = sampler(&(cache_box[i].seed)); /* t starts at 0 and ends at T at t=0, thread i accesses: results[i*quotient +0], thread i+1 acccesses: results[(i+1)*quotient +0] at t=T thread i accesses: results[(i+1)*quotient -1] thread i+1 acccesses: results[(i+2)*quotient -1] The results[j] that are directly adjacent are results[(i+1)*quotient -1] (accessed by thread i at time T) results[(i+1)*quotient +0] (accessed by thread i+1 at time 0) and these are themselves adjacent to results[(i+1)*quotient -2] (accessed by thread i at time T-1) results[(i+1)*quotient +1] (accessed by thread i+1 at time 2) If T is large enough, which it is, two threads won't access the same cache line at the same time. Pictorially: at t=0 ....i.........I......... at t=T .............i.........I and the two never overlap Note that results[j] is a double, a double has 8 bytes (64 bits) 8 doubles fill a cache line of 64 bytes. So we specifically won't get problems as long as n_samples/n_threads > 8 n_threads is normally 16, so n_samples > 128 Note also that this is only a problem in terms of speed, if n_samples<128 the results are still computed, it'll just be slower */ } } } for (int j = divisor_multiple; j < n_samples; j++) { results[j] = sampler(&(cache_box[0].seed)); // we can just reuse a seed, // this isn't problematic because we;ve now stopped doing multithreading } free(cache_box); } /* Get confidence intervals, given a sampler */ typedef struct ci_t { double low; double high; } ci; inline static void swp(int i, int j, double xs[]) { double tmp = xs[i]; xs[i] = xs[j]; xs[j] = tmp; } static int partition(int low, int high, double xs[], int length) { if (low > high || high >= length) { printf("Invariant violated for function partition in %s (%d)", __FILE__, __LINE__); exit(1); } // Note: the scratchpad/ folder in commit 578bfa27 has printfs sprinkled throughout int pivot = low + (int)floor((high - low) / 2); double pivot_value = xs[pivot]; swp(pivot, high, xs); int gt = low; /* This pointer will iterate until finding an element which is greater than the pivot. Then it will move elements that are smaller before it--more specifically, it will move elements to its position and then increment. As a result all elements between gt and i will be greater than the pivot. */ for (int i = low; i < high; i++) { if (xs[i] < pivot_value) { swp(gt, i, xs); gt++; } } swp(high, gt, xs); return gt; } static double quickselect(int k, double xs[], int n) { // https://en.wikipedia.org/wiki/Quickselect double* ys = malloc((size_t)n * sizeof(double)); memcpy(ys, xs, (size_t)n * sizeof(double)); // ^: don't rearrange item order in the original array int low = 0; int high = n - 1; for (;;) { if (low == high) { double result = ys[low]; free(ys); return result; } int pivot = partition(low, high, ys, n); if (pivot == k) { double result = ys[pivot]; free(ys); return result; } else if (k < pivot) { high = pivot - 1; } else { low = pivot + 1; } } } ci array_get_ci(ci interval, double* xs, int n) { int low_k = (int)floor(interval.low * n); int high_k = (int)ceil(interval.high * n); ci result = { .low = quickselect(low_k, xs, n), .high = quickselect(high_k, xs, n), }; return result; } ci array_get_90_ci(double xs[], int n) { return array_get_ci((ci) { .low = 0.05, .high = 0.95 }, xs, n); } double array_get_median(double xs[], int n){ int median_k = (int)floor(0.5 * n); return quickselect(median_k, xs, n); } void array_print_stats(double xs[], int n){ ci ci_90 = array_get_ci((ci) { .low = 0.05, .high = 0.95 }, xs, n); ci ci_80 = array_get_ci((ci) { .low = 0.1, .high = 0.9 }, xs, n); ci ci_50 = array_get_ci((ci) { .low = 0.25, .high = 0.75 }, xs, n); double median = array_get_median(xs, n); double mean = array_mean(xs, n); double std = array_std(xs, n); printf("Mean: %lf\n" " Std: %lf\n" " 5%%: %lf\n" " 10%%: %lf\n" " 25%%: %lf\n" " 50%%: %lf\n" " 75%%: %lf\n" " 90%%: %lf\n" " 95%%: %lf\n", mean, std, ci_90.low, ci_80.low, ci_50.low, median, ci_50.high, ci_80.high, ci_90.high); } void array_print_histogram(double* xs, int n_samples, int n_bins) { // Generated with the help of an llm; there might be subtle off-by-one errors // interface inspired by if (n_bins <= 0) { fprintf(stderr, "Number of bins must be a positive integer.\n"); return; } else if (n_samples <= 0) { fprintf(stderr, "Number of samples must be a positive integer.\n"); return; } int *bins = (int*) calloc((size_t)n_bins, sizeof(int)); if (bins == NULL) { fprintf(stderr, "Memory allocation for bins failed.\n"); return; } double min_value = xs[0], max_value = xs[0]; // Find the minimum and maximum values from the samples for (int i = 0; i < n_samples; i++) { if (xs[i] < min_value) { min_value = xs[i]; } if (xs[i] > max_value) { max_value = xs[i]; } } // Avoid division by zero for a single unique value if (min_value == max_value) { max_value++; } // Calculate bin width double range = max_value - min_value; double bin_width = range / n_bins; // Fill the bins with sample counts for (int i = 0; i < n_samples; i++) { int bin_index = (int)((xs[i] - min_value) / bin_width); if (bin_index == n_bins) { bin_index--; // Last bin includes max_value } bins[bin_index]++; } // Calculate the scaling factor based on the maximum bin count int max_bin_count = 0; for (int i = 0; i < n_bins; i++) { if (bins[i] > max_bin_count) { max_bin_count = bins[i]; } } const int MAX_WIDTH = 50; // Adjust this to your terminal width double scale = max_bin_count > MAX_WIDTH ? (double)MAX_WIDTH / max_bin_count : 1.0; // Print the histogram for (int i = 0; i < n_bins; i++) { double bin_start = min_value + i * bin_width; double bin_end = bin_start + bin_width; if(bin_width < 0.01){ printf(" [%4.3f, %4.3f): ", bin_start, bin_end); } else if(bin_width < 0.1){ printf(" [%4.2f, %4.2f): ", bin_start, bin_end); } else if(bin_width < 1){ printf(" [%4.1f, %4.1f): ", bin_start, bin_end); } else if(bin_width < 10){ printf(" [%4.0f, %4.0f): ", bin_start, bin_end); } else { printf(" [%4f, %4f): ", bin_start, bin_end); } // number of decimals could depend on the number of bins // or on the size of the smallest bucket int marks = (int)(bins[i] * scale); for (int j = 0; j < marks; j++) { printf("█"); } printf(" %d\n", bins[i]); } // Free the allocated memory for bins free(bins); } // Replicate some of the above functions over samplers // However, in the future I'll delete this // There should be a clear boundary between working with samplers and working with an array of samples ci sampler_get_ci(ci interval, double (*sampler)(uint64_t*), int n, uint64_t* seed) { UNUSED(seed); // don't want to use it right now, but want to preserve ability to do so (e.g., remove parallelism from internals). Also nicer for consistency. double* xs = malloc((size_t)n * sizeof(double)); sampler_parallel(sampler, xs, 16, n); ci result = array_get_ci(interval, xs, n); free(xs); return result; } ci sampler_get_90_ci(double (*sampler)(uint64_t*), int n, uint64_t* seed) { return sampler_get_ci((ci) { .low = 0.05, .high = 0.95 }, sampler, n, seed); } /* Algebra manipulations */ #define NORMAL90CONFIDENCE 1.6448536269514727 typedef struct normal_params_t { double mean; double std; } normal_params; normal_params algebra_sum_normals(normal_params a, normal_params b) { normal_params result = { .mean = a.mean + b.mean, .std = sqrt((a.std * a.std) + (b.std * b.std)), }; return result; } typedef struct lognormal_params_t { double logmean; double logstd; } lognormal_params; lognormal_params algebra_product_lognormals(lognormal_params a, lognormal_params b) { lognormal_params result = { .logmean = a.logmean + b.logmean, .logstd = sqrt((a.logstd * a.logstd) + (b.logstd * b.logstd)), }; return result; } lognormal_params convert_ci_to_lognormal_params(ci x) { double loghigh = log(x.high); double loglow = log(x.low); double logmean = (loghigh + loglow) / 2.0; double logstd = (loghigh - loglow) / (2.0 * NORMAL90CONFIDENCE); lognormal_params result = { .logmean = logmean, .logstd = logstd }; return result; } ci convert_lognormal_params_to_ci(lognormal_params y) { double h = y.logstd * NORMAL90CONFIDENCE; double loghigh = y.logmean + h; double loglow = y.logmean - h; ci result = { .low = exp(loglow), .high = exp(loghigh) }; return result; } /* Scaffolding to handle errors */ // We will sample from an arbitrary cdf // and that operation might fail // so we build some scaffolding here #define MAX_ERROR_LENGTH 500 #define EXIT_ON_ERROR 0 #define PROCESS_ERROR(error_msg) process_error(error_msg, EXIT_ON_ERROR, __FILE__, __LINE__) typedef struct box_t { int empty; double content; char* error_msg; } box; box process_error(const char* error_msg, int should_exit, char* file, int line) { if (should_exit) { printf("%s, @, in %s (%d)", error_msg, file, line); exit(1); } else { char error_msg[MAX_ERROR_LENGTH]; snprintf(error_msg, MAX_ERROR_LENGTH, "@, in %s (%d)", file, line); // NOLINT: We are being carefull here by considering MAX_ERROR_LENGTH explicitly. box error = { .empty = 1, .error_msg = error_msg }; return error; } } /* Invert an arbitrary cdf at a point */ // Version #1: // - input: (cdf: double => double, p) // - output: Box(number|error) box inverse_cdf_double(double cdf(double), double p) { // given a cdf: [-Inf, Inf] => [0,1] // returns a box with either // x such that cdf(x) = p // or an error // if EXIT_ON_ERROR is set to 1, it exits instead of providing an error double low = -1.0; double high = 1.0; // 1. Make sure that cdf(low) < p < cdf(high) int interval_found = 0; while ((!interval_found) && (low > -DBL_MAX / 4) && (high < DBL_MAX / 4)) { // for floats, use FLT_MAX instead // Note that this approach is overkill // but it's also the *correct* thing to do. int low_condition = (cdf(low) < p); int high_condition = (p < cdf(high)); if (low_condition && high_condition) { interval_found = 1; } else if (!low_condition) { low = low * 2; } else if (!high_condition) { high = high * 2; } } if (!interval_found) { return PROCESS_ERROR("Interval containing the target value not found, in function inverse_cdf"); } else { int convergence_condition = 0; int count = 0; while (!convergence_condition && (count < (INT_MAX / 2))) { double mid = (high + low) / 2; int mid_not_new = (mid == low) || (mid == high); // double width = high - low; // if ((width < 1e-8) || mid_not_new){ if (mid_not_new) { convergence_condition = 1; } else { double mid_sign = cdf(mid) - p; if (mid_sign < 0) { low = mid; } else if (mid_sign > 0) { high = mid; } else if (mid_sign == 0) { low = mid; high = mid; } } } if (convergence_condition) { box result = { .empty = 0, .content = low }; return result; } else { return PROCESS_ERROR("Search process did not converge, in function inverse_cdf"); } } } // Version #2: // - input: (cdf: double => Box(number|error), p) // - output: Box(number|error) box inverse_cdf_box(box cdf_box(double), double p) { // given a cdf: [-Inf, Inf] => Box([0,1]) // returns a box with either // x such that cdf(x) = p // or an error // if EXIT_ON_ERROR is set to 1, it exits instead of providing an error double low = -1.0; double high = 1.0; // 1. Make sure that cdf(low) < p < cdf(high) int interval_found = 0; while ((!interval_found) && (low > -DBL_MAX / 4) && (high < DBL_MAX / 4)) { // for floats, use FLT_MAX instead // Note that this approach is overkill // but it's also the *correct* thing to do. box cdf_low = cdf_box(low); if (cdf_low.empty) { return PROCESS_ERROR(cdf_low.error_msg); } box cdf_high = cdf_box(high); if (cdf_high.empty) { return PROCESS_ERROR(cdf_low.error_msg); } int low_condition = (cdf_low.content < p); int high_condition = (p < cdf_high.content); if (low_condition && high_condition) { interval_found = 1; } else if (!low_condition) { low = low * 2; } else if (!high_condition) { high = high * 2; } } if (!interval_found) { return PROCESS_ERROR("Interval containing the target value not found, in function inverse_cdf"); } else { int convergence_condition = 0; int count = 0; while (!convergence_condition && (count < (INT_MAX / 2))) { double mid = (high + low) / 2; int mid_not_new = (mid == low) || (mid == high); // double width = high - low; if (mid_not_new) { // if ((width < 1e-8) || mid_not_new){ convergence_condition = 1; } else { box cdf_mid = cdf_box(mid); if (cdf_mid.empty) { return PROCESS_ERROR(cdf_mid.error_msg); } double mid_sign = cdf_mid.content - p; if (mid_sign < 0) { low = mid; } else if (mid_sign > 0) { high = mid; } else if (mid_sign == 0) { low = mid; high = mid; } } } if (convergence_condition) { box result = { .empty = 0, .content = low }; return result; } else { return PROCESS_ERROR("Search process did not converge, in function inverse_cdf"); } } } /* Sample from an arbitrary cdf */ // Before: invert an arbitrary cdf at a point // Now: from an arbitrary cdf, get a sample box sampler_cdf_box(box cdf(double), uint64_t* seed) { double p = sample_unit_uniform(seed); box result = inverse_cdf_box(cdf, p); return result; } box sampler_cdf_double(double cdf(double), uint64_t* seed) { double p = sample_unit_uniform(seed); box result = inverse_cdf_double(cdf, p); return result; } double sampler_cdf_danger(box cdf(double), uint64_t* seed) { double p = sample_unit_uniform(seed); box result = inverse_cdf_box(cdf, p); if (result.empty) { exit(1); } else { return result.content; } } /* array print: potentially useful for debugging */ void array_print(double xs[], int n) { printf("["); for (int i = 0; i < n - 1; i++) { printf("%f, ", xs[i]); } printf("%f", xs[n - 1]); printf("]\n"); }