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Merged
merged 10 commits into from
Aug 8, 2019
Merged

Optimize BandedBlockBandedMatrix #74

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5bbda06
switch to column based iteration
huanglangwen Aug 2, 2019
28d05d8
add fast_column_indexing trait
huanglangwen Aug 2, 2019
f782244
findnz on sparsity instead of J
huanglangwen Aug 3, 2019
7269775
Merge branch 'master' into optimize
huanglangwen Aug 3, 2019
5d3302b
simplify using macro
huanglangwen Aug 4, 2019
bffa23d
optimize for BBB matrix
huanglangwen Aug 7, 2019
ddcd863
move BBB dep to require block
huanglangwen Aug 8, 2019
b07dee9
add optimization for BlockBanded and BandedMatrix
huanglangwen Aug 8, 2019
c3bcbd7
fix tests
huanglangwen Aug 8, 2019
8321080
update dependency
huanglangwen Aug 8, 2019
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9 changes: 6 additions & 3 deletions Project.toml
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Original file line number Diff line number Diff line change
@@ -1,19 +1,22 @@
name = "DiffEqDiffTools"
uuid = "01453d9d-ee7c-5054-8395-0335cb756afa"
version = "1.2.0"
version = "1.3.0"

[deps]
LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
SparseArrays = "2f01184e-e22b-5df5-ae63-d93ebab69eaf"
StaticArrays = "90137ffa-7385-5640-81b9-e52037218182"
ArrayInterface = "4fba245c-0d91-5ea0-9b3e-6abc04ee57a9"
Requires = "ae029012-a4dd-5104-9daa-d747884805df"

[compat]
julia = "1"
ArrayInterface = "1.1"
ArrayInterface = ">= 1.1"

[extras]
Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
BlockBandedMatrices = "ffab5731-97b5-5995-9138-79e8c1846df0"
BandedMatrices="aae01518-5342-5314-be14-df237901396f"

[targets]
test = ["Test"]
test = ["Test","BlockBandedMatrices","BandedMatrices"]
2 changes: 1 addition & 1 deletion src/DiffEqDiffTools.jl
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Expand Up @@ -2,7 +2,7 @@ __precompile__()

module DiffEqDiffTools

using LinearAlgebra, SparseArrays, StaticArrays, ArrayInterface
using LinearAlgebra, SparseArrays, StaticArrays, ArrayInterface, Requires

import Base: resize!

Expand Down
170 changes: 115 additions & 55 deletions src/jacobians.jl
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Expand Up @@ -124,6 +124,112 @@ function finite_difference_jacobian(f, x::AbstractArray{<:Number},
finite_difference_jacobian(f, x, cache, f_in; relstep=relstep, absstep=absstep, colorvec=colorvec, sparsity=sparsity, dir=dir)
end

@inline function _colorediteration!(J,sparsity,rows_index,cols_index,vfx,colorvec,color_i,ncols)
@inbounds for i in 1:length(cols_index)
if colorvec[cols_index[i]] == color_i
J[rows_index[i],cols_index[i]] = vfx[rows_index[i]]
end
end
end

@inline function _colorediteration!(J,sparsity::SparseMatrixCSC,rows_index,cols_index,vfx,colorvec,color_i,ncols)
@inbounds for col_index in 1:ncols
if colorvec[col_index] == color_i
@inbounds for row_index in view(sparsity.rowval,sparsity.colptr[col_index]:sparsity.colptr[col_index+1]-1)
J[row_index,col_index]=vfx[row_index]
end
end
end
end

#override default setting of using findstructralnz
_use_findstructralnz(sparsity) = ArrayInterface.has_sparsestruct(sparsity)
_use_findstructralnz(::SparseMatrixCSC) = false

function __init__()
@require BlockBandedMatrices="ffab5731-97b5-5995-9138-79e8c1846df0" begin
_use_findstructralnz(::BlockBandedMatrices.BandedBlockBandedMatrix) = false
_use_findstructralnz(::BlockBandedMatrices.BlockBandedMatrix) = false

@inline function _colorediteration!(Jac::BlockBandedMatrices.BandedBlockBandedMatrix,
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What about just standard BlockBandedMatrix and BandedMatrix? Are those fine without a special iteration?

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Yeah, I'm working on that.

sparsity::BlockBandedMatrices.BandedBlockBandedMatrix,
rows_index,cols_index,vfx,colorvec,color_i,ncols)
λ,μ = BlockBandedMatrices.subblockbandwidths(Jac)
rs = BlockBandedMatrices.BlockSizes((BlockBandedMatrices.cumulsizes(Jac,1),)) # column block sizes
cs = BlockBandedMatrices.BlockSizes((BlockBandedMatrices.cumulsizes(Jac,2),))
b = BlockBandedMatrices.BlockArray(vfx,rs)
c = BlockBandedMatrices.BlockArray(colorvec,cs)
@inbounds for J=BlockBandedMatrices.Block.(1:BlockBandedMatrices.nblocks(Jac,2))
c_v = c.blocks[J.n[1]]
@inbounds for K=BlockBandedMatrices.blockcolrange(Jac,J)
V = view(Jac,K,J)
b_v = b.blocks[K.n[1]]
data = BlockBandedMatrices.bandeddata(V)
p = pointer(data)
st = stride(data,2)
m,n = size(V)
@inbounds for j=1:n
if c_v[j] == color_i
@inbounds for k=max(1,j-μ):min(m,j+λ)
unsafe_store!(p, b_v[k], (j-1)*st + μ + k - j + 1)
end
end
end
end
end
end

@inline function _colorediteration!(Jac::BlockBandedMatrices.BlockBandedMatrix,
sparsity::BlockBandedMatrices.BlockBandedMatrix,
rows_index,cols_index,vfx,colorvec,color_i,ncols)
rs = BlockBandedMatrices.BlockSizes((BlockBandedMatrices.cumulsizes(Jac,1),)) # column block sizes
cs = BlockBandedMatrices.BlockSizes((BlockBandedMatrices.cumulsizes(Jac,2),))
b = BlockBandedMatrices.BlockArray(vfx,rs)
c = BlockBandedMatrices.BlockArray(colorvec,cs)
@inbounds for J=BlockBandedMatrices.Block.(1:BlockBandedMatrices.nblocks(Jac,2))
c_v = c.blocks[J.n[1]]
blockcolrange = BlockBandedMatrices.blockcolrange(Jac,J)
_,n = BlockBandedMatrices.blocksize(Jac,(blockcolrange[1].n[1],J.n[1]))
@inbounds for j = 1:n
if c_v[j] == color_i
@inbounds for K = blockcolrange
V = view(Jac,K,J)
b_v = b.blocks[K.n[1]]
m = size(V,1)
@inbounds for k = 1:m
V[k,j] = b_v[k]
end
end
end
end
end
end

end

@require BandedMatrices = "aae01518-5342-5314-be14-df237901396f" begin

_use_findstructralnz(::BandedMatrices.BandedMatrix) = false

@inline function _colorediteration!(Jac::BandedMatrices.BandedMatrix,
sparsity::BandedMatrices.BandedMatrix,
rows_index,cols_index,vfx,colorvec,color_i,ncols)
nrows = size(Jac,1)
l,u = BandedMatrices.bandwidths(Jac)
#data = BandedMatrices.bandeddata(Jac)
@inbounds for col_index in max(1,1-l):min(ncols,ncols+u)
if colorvec[col_index] == color_i
@inbounds for row_index in max(1,col_index-u):min(nrows,col_index+l)
#data[u+row_index-col_index+1,col_index] = vfx[row_index]
Jac[row_index,col_index]=vfx[row_index]
end
end
end
end
end

end

function finite_difference_jacobian(
f,
x,
Expand Down Expand Up @@ -161,7 +267,9 @@ function finite_difference_jacobian!(
end
vfx = vec(fx)

if ArrayInterface.has_sparsestruct(sparsity)
rows_index = nothing
cols_index = nothing
if _use_findstructralnz(sparsity)
rows_index, cols_index = ArrayInterface.findstructralnz(sparsity)
end

Expand Down Expand Up @@ -217,15 +325,7 @@ function finite_difference_jacobian!(
@. vfx1 = (vfx1 - vfx) / epsilon

if ArrayInterface.fast_scalar_indexing(x1)
for i in 1:length(cols_index)
if colorvec[cols_index[i]] == color_i
if J isa SparseMatrixCSC
J.nzval[i] = vfx1[rows_index[i]]
else
J[rows_index[i],cols_index[i]] = vfx1[rows_index[i]]
end
end
end
_colorediteration!(J,sparsity,rows_index,cols_index,vfx1,colorvec,color_i,n)
else
#=
J.nzval[rows_index] .+= (colorvec[cols_index] .== color_i) .* vfx1[rows_index]
Expand All @@ -252,15 +352,7 @@ function finite_difference_jacobian!(
_vfx1 = (vfx1 - vfx) / epsilon

if ArrayInterface.fast_scalar_indexing(x1)
for i in 1:length(cols_index)
if colorvec[cols_index[i]] == color_i
if J isa SparseMatrixCSC
J.nzval[i] = vfx1[rows_index[i]]
else
J[rows_index[i],cols_index[i]] = vfx1[rows_index[i]]
end
end
end
_colorediteration!(J,sparsity,rows_index,cols_index,vfx1,colorvec,color_i,n)
else
#=
J.nzval[rows_index] .+= (colorvec[cols_index] .== color_i) .* vfx1[rows_index]
Expand Down Expand Up @@ -329,15 +421,7 @@ function finite_difference_jacobian!(
@. vfx1 = (vfx1 - vfx) / 2epsilon

if ArrayInterface.fast_scalar_indexing(x1)
for i in 1:length(cols_index)
if colorvec[cols_index[i]] == color_i
if J isa SparseMatrixCSC
J.nzval[i] = vfx1[rows_index[i]]
else
J[rows_index[i],cols_index[i]] = vfx1[rows_index[i]]
end
end
end
_colorediteration!(J,sparsity,rows_index,cols_index,vfx1,colorvec,color_i,n)
else
#=
J.nzval[rows_index] .+= (colorvec[cols_index] .== color_i) .* vfx1[rows_index]
Expand Down Expand Up @@ -369,15 +453,7 @@ function finite_difference_jacobian!(
# vfx1 is the compressed Jacobian column

if ArrayInterface.fast_scalar_indexing(x1)
for i in 1:length(cols_index)
if colorvec[cols_index[i]] == color_i
if J isa SparseMatrixCSC
J.nzval[i] = vfx1[rows_index[i]]
else
J[rows_index[i],cols_index[i]] = vfx1[rows_index[i]]
end
end
end
_colorediteration!(J,sparsity,rows_index,cols_index,vfx1,colorvec,color_i,n)
else
#=
J.nzval[rows_index] .+= (colorvec[cols_index] .== color_i) .* vfx1[rows_index]
Expand Down Expand Up @@ -435,15 +511,7 @@ function finite_difference_jacobian!(
@. vfx = imag(vfx) / epsilon

if ArrayInterface.fast_scalar_indexing(x1)
for i in 1:length(cols_index)
if colorvec[cols_index[i]] == color_i
if J isa SparseMatrixCSC
J.nzval[i] = vfx[rows_index[i]]
else
J[rows_index[i],cols_index[i]] = vfx[rows_index[i]]
end
end
end
_colorediteration!(J,sparsity,rows_index,cols_index,vfx,colorvec,color_i,n)
else
#=
J.nzval[rows_index] .+= (colorvec[cols_index] .== color_i) .* vfx[rows_index]
Expand Down Expand Up @@ -471,15 +539,7 @@ function finite_difference_jacobian!(
vfx = imag(vfx) / epsilon

if ArrayInterface.fast_scalar_indexing(x1)
for i in 1:length(cols_index)
if colorvec[cols_index[i]] == color_i
if J isa SparseMatrixCSC
J.nzval[i] = vfx1[rows_index[i]]
else
J[rows_index[i],cols_index[i]] = vfx1[rows_index[i]]
end
end
end
_colorediteration!(J,sparsity,rows_index,cols_index,vfx1,colorvec,color_i,n)
else
#=
J.nzval[rows_index] .+= (colorvec[cols_index] .== color_i) .* vfx1[rows_index]
Expand Down
35 changes: 33 additions & 2 deletions test/coloring_tests.jl
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Original file line number Diff line number Diff line change
@@ -1,4 +1,4 @@
using DiffEqDiffTools, LinearAlgebra, SparseArrays, Test, LinearAlgebra
using DiffEqDiffTools, LinearAlgebra, SparseArrays, Test, LinearAlgebra, BlockBandedMatrices, ArrayInterface, BandedMatrices

fcalls = 0
function f(dx,x)
Expand Down Expand Up @@ -80,4 +80,35 @@ _J2 = similar(_J2)
fcalls = 0
DiffEqDiffTools.finite_difference_jacobian!(_J2,f,rand(30),Val{:complex},colorvec=repeat(1:3,10))
@test fcalls == 3
@test _J2 ≈ _J
@test _J2 ≈ _J

_Jb = BandedMatrices.BandedMatrix(similar(_J2),(1,1))
DiffEqDiffTools.finite_difference_jacobian!(_Jb, f, rand(30), colorvec=colorvec=repeat(1:3,10))
@test _Jb ≈ _J

_Jtri = Tridiagonal(similar(_J2))
DiffEqDiffTools.finite_difference_jacobian!(_Jtri, f, rand(30), colorvec=colorvec=repeat(1:3,10))
@test _Jtri ≈ _J

#https://github.com/JuliaDiffEq/DiffEqDiffTools.jl/issues/67#issuecomment-516871956
function f(out, x)
x = reshape(x, 100, 100)
out = reshape(out, 100, 100)
for i in 1:100
for j in 1:100
out[i, j] = x[i, j] + x[max(i -1, 1), j] + x[min(i+1, size(x, 1)), j] + x[i, max(j-1, 1)] + x[i, min(j+1, size(x, 2))]
end
end
return vec(out)
end
x = rand(10000)
Jbbb = BandedBlockBandedMatrix(Ones(10000, 10000), (fill(100, 100), fill(100, 100)), (1, 1), (1, 1))
Jsparse = sparse(Jbbb)
colorsbbb = ArrayInterface.matrix_colors(Jbbb)
DiffEqDiffTools.finite_difference_jacobian!(Jbbb, f, x, colorvec=colorsbbb)
DiffEqDiffTools.finite_difference_jacobian!(Jsparse, f, x, colorvec=colorsbbb)
@test Jbbb ≈ Jsparse
Jbb = BlockBandedMatrix(similar(Jsparse),(fill(100, 100), fill(100, 100)),(1,1));
colorsbb = ArrayInterface.matrix_colors(Jbb)
DiffEqDiffTools.finite_difference_jacobian!(Jbb, f, x, colorvec=colorsbb)
@test Jbb ≈ Jsparse