diff --git a/squiggle.c/samples.c b/squiggle.c/samples.c index 0325b614..02ed6cda 100644 --- a/squiggle.c/samples.c +++ b/squiggle.c/samples.c @@ -9,21 +9,22 @@ int main() double p_b = 0.5; double p_c = p_a * p_b; - double sample_0(uint64_t* seed){ return 0; } - double sample_1(uint64_t* seed) { return 1; } - double sample_few(uint64_t* seed) { return sample_to(1, 3, seed); } - double sample_many(uint64_t* seed) { return sample_to(2, 10, seed); } + double sample_0(uint64_t * seed) { return 0; } + double sample_1(uint64_t * seed) { return 1; } + double sample_few(uint64_t * seed) { return sample_to(1, 3, seed); } + double sample_many(uint64_t * seed) { return sample_to(2, 10, seed); } int n_dists = 4; double weights[] = { 1 - p_c, p_c / 2, p_c / 4, p_c / 4 }; double (*samplers[])(uint64_t*) = { sample_0, sample_1, sample_few, sample_many }; - double sampler_result(uint64_t* seed) { + double sampler_result(uint64_t * seed) + { return sample_mixture(samplers, weights, n_dists, seed); - } + } int n_samples = 1000 * 1000, n_threads = 16; double* results = malloc(n_samples * sizeof(double)); - parallel_sampler(sampler_result, results, n_threads, n_samples); - printf("Avg: %f\n", array_sum(results, n_samples)/n_samples); + sampler_parallel(sampler_result, results, n_threads, n_samples); + printf("Avg: %f\n", array_sum(results, n_samples) / n_samples); free(results); } diff --git a/squiggle.c/squiggle_c/squiggle.c b/squiggle.c/squiggle_c/squiggle.c index 99caacb2..1d0224c3 100644 --- a/squiggle.c/squiggle_c/squiggle.c +++ b/squiggle.c/squiggle_c/squiggle.c @@ -8,7 +8,7 @@ #define NORMAL90CONFIDENCE 1.6448536269514727 // Pseudo Random number generator -uint64_t xorshift32(uint32_t* seed) +static uint64_t xorshift32(uint32_t* seed) { // Algorithm "xor" from p. 4 of Marsaglia, "Xorshift RNGs" // See: @@ -24,7 +24,7 @@ uint64_t xorshift32(uint32_t* seed) return *seed = x; } -uint64_t xorshift64(uint64_t* seed) +static uint64_t xorshift64(uint64_t* seed) { // same as above, but for generating doubles instead of floats uint64_t x = *seed; diff --git a/squiggle.c/squiggle_c/squiggle_more.c b/squiggle.c/squiggle_c/squiggle_more.c index 6f63de3d..720fdccd 100644 --- a/squiggle.c/squiggle_c/squiggle_more.c +++ b/squiggle.c/squiggle_c/squiggle_more.c @@ -1,67 +1,226 @@ +#include "squiggle.h" #include -#include #include +#include #include #include #include #include -#include "squiggle.h" -/* Math constants */ -#define PI 3.14159265358979323846 // M_PI in gcc gnu99 -#define NORMAL90CONFIDENCE 1.6448536269514727 +/* Parallel sampler */ +void sampler_parallel(double (*sampler)(uint64_t* seed), double* results, int n_threads, int n_samples) +{ -/* Some error niceties */ -// These won't be used until later -#define MAX_ERROR_LENGTH 500 -#define EXIT_ON_ERROR 0 -#define PROCESS_ERROR(error_msg) process_error(error_msg, EXIT_ON_ERROR, __FILE__, __LINE__) + // Division terminology: + // a = b * quotient + reminder + // a = (a/b)*b + (a%b) + // dividend: a + // divisor: b + // quotient = a / b + // reminder = a % b + // "divisor's multiple" := (a/b)*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 remainder = n_samples % n_threads; // not used, comment to avoid lint warning */ + int divisor_multiple = quotient * n_threads; + + uint64_t** seeds = malloc(n_threads * sizeof(uint64_t*)); + // printf("UINT64_MAX: %lu\n", UINT64_MAX); + srand(1); + for (uint64_t i = 0; i < n_threads; i++) { + seeds[i] = malloc(sizeof(uint64_t)); + // Constraints: + // - xorshift can't start with 0 + // - the seeds should be reasonably separated and not correlated + *seeds[i] = (uint64_t)rand() * (UINT64_MAX / RAND_MAX); + // printf("#%ld: %lu\n",i, *seeds[i]); + + // 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++) { + int lower_bound_inclusive = i * quotient; + int upper_bound_not_inclusive = ((i + 1) * quotient); // note the < in the for loop below, + // printf("Lower bound: %d, upper bound: %d\n", lower_bound, upper_bound); + for (int j = lower_bound_inclusive; j < upper_bound_not_inclusive; j++) { + results[j] = sampler(seeds[i]); + } + } + } + for (int j = divisor_multiple; j < n_samples; j++) { + results[j] = sampler(seeds[0]); + // we can just reuse a seed, this isn't problematic because we are not doing multithreading + } + + for (uint64_t i = 0; i < n_threads; i++) { + free(seeds[i]); + } + free(seeds); +} /* Get confidence intervals, given a sampler */ // Not in core yet because I'm not sure how much I like the struct // and the built-in 100k samples // to do: add n to function parameters and document + typedef struct ci_t { - float low; - float high; + double low; + double high; } ci; -int compare_doubles(const void* p, const void* q) + +static void swp(int i, int j, double xs[]) { - // https://wikiless.esmailelbob.xyz/wiki/Qsort?lang=en - double x = *(const double*)p; - double y = *(const double*)q; - - /* Avoid returning x - y, which can cause undefined behaviour - because of signed integer overflow. */ - if (x < y) - return -1; // Return -1 if you want ascending, 1 if you want descending order. - else if (x > y) - return 1; // Return 1 if you want ascending, -1 if you want descending order. - - return 0; + double tmp = xs[i]; + xs[i] = xs[j]; + xs[j] = tmp; } -ci get_90_confidence_interval(double (*sampler)(uint64_t*), uint64_t* seed) + +static int partition(int low, int high, double xs[], int length) { - int n = 100 * 1000; - double* samples_array = malloc(n * sizeof(double)); - for (int i = 0; i < n; i++) { - samples_array[i] = sampler(seed); + // To understand this function: + // - see the note after gt variable definition + // - go to commit 578bfa27 and the scratchpad/ folder in it, which has printfs sprinkled throughout + int pivot = low + 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++; + } } - qsort(samples_array, n, sizeof(double), compare_doubles); + swp(high, gt, xs); + return gt; +} +static double quickselect(int k, double xs[], int n) +{ + // https://en.wikipedia.org/wiki/Quickselect + int low = 0; + int high = n - 1; + for (;;) { + if (low == high) { + return xs[low]; + } + int pivot = partition(low, high, xs, n); + if (pivot == k) { + return xs[pivot]; + } else if (k < pivot) { + high = pivot - 1; + } else { + low = pivot + 1; + } + } +} + +ci array_get_ci(ci interval, double* xs, int n) +{ + + int low_k = floor(interval.low * n); + int high_k = ceil(interval.high * n); ci result = { - .low = samples_array[5000], - .high = samples_array[94999], + .low = quickselect(low_k, xs, n), + .high = quickselect(high_k, xs, n), }; - free(samples_array); + return result; +} +ci array_get_90_ci(double xs[], int n) +{ + return array_get_ci((ci) { .low = 0.05, .high = 0.95 }, xs, n); +} +ci sampler_get_ci(ci interval, double (*sampler)(uint64_t*), int n, uint64_t* seed) +{ + double* xs = malloc(n * sizeof(double)); + /*for (int i = 0; i < n; i++) { + xs[i] = sampler(seed); + }*/ + 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 */ +// here I discover named structs, +// which mean that I don't have to be typing +// struct blah all the time. + +#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 = logf(x.high); + double loglow = logf(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 are building towards sample from an arbitrary cdf +// 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__) + struct box { int empty; double content; @@ -148,7 +307,7 @@ struct box inverse_cdf_double(double cdf(double), double p) } } -// Version #2: +// Version #2: // - input: (cdf: double => Box(number|error), p) // - output: Box(number|error) struct box inverse_cdf_box(struct box cdf_box(double), double p) @@ -246,111 +405,21 @@ double sampler_cdf_danger(struct box cdf(double), uint64_t* seed) { double p = sample_unit_uniform(seed); struct box result = inverse_cdf_box(cdf, p); - if(result.empty){ - exit(1); - }else{ - return result.content; - } -} - -/* Algebra manipulations */ -// here I discover named structs, -// which mean that I don't have to be typing -// struct blah all the time. -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 = logf(x.high); - double loglow = logf(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; -} - -/* Parallel sampler */ -void parallel_sampler(double (*sampler)(uint64_t* seed), double* results, int n_threads, int n_samples){ - - // Division terminology: - // a = b * quotient + reminder - // a = (a/b)*b + (a%b) - // dividend: a - // divisor: b - // quotient = a / b - // reminder = a % b - // "divisor's multiple" := (a/b)*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 remainder = n_samples % n_threads; - int divisor_multiple = quotient * n_threads; - - uint64_t** seeds = malloc(n_threads * sizeof(uint64_t*)); - for (uint64_t i = 0; i < n_threads; i++) { - seeds[i] = malloc(sizeof(uint64_t)); - *seeds[i] = i + 1; // xorshift can't start with 0 + if (result.empty) { + exit(1); + } else { + return result.content; } - - int i; - #pragma omp parallel private(i) - { - #pragma omp for - for (i = 0; i < n_threads; i++) { - int lower_bound_inclusive = i * quotient; - int upper_bound_not_inclusive = ((i+1) * quotient); // note the < in the for loop below, - // printf("Lower bound: %d, upper bound: %d\n", lower_bound, upper_bound); - for (int j = lower_bound_inclusive; j < upper_bound_not_inclusive; j++) { - results[j] = sampler(seeds[i]); - } - } - } - for(int j=divisor_multiple; j