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lots of work on cython choleskies

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This commit is contained in:
James Hensman 2015-06-11 18:00:47 +01:00
parent 93076df259
commit 60fabe41e2
5 changed files with 243 additions and 570 deletions
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739
GPy/util/choleskies_cython.c
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@ -1470,7 +1470,7 @@ static PyObject *__pyx_pf_3GPy_4util_17choleskies_cython_2triang_to_flat(CYTHON_
static PyObject *__pyx_pf_3GPy_4util_17choleskies_cython_4backprop_gradient(CYTHON_UNUSED PyObject *__pyx_self, PyArrayObject *__pyx_v_dL, PyArrayObject *__pyx_v_L); /* proto */
static PyObject *__pyx_pf_3GPy_4util_17choleskies_cython_6backprop_gradient_par(CYTHON_UNUSED PyObject *__pyx_self, __Pyx_memviewslice __pyx_v_dL, __Pyx_memviewslice __pyx_v_L); /* proto */
static PyObject *__pyx_pf_3GPy_4util_17choleskies_cython_8backprop_gradient_par_c(CYTHON_UNUSED PyObject *__pyx_self, PyArrayObject *__pyx_v_dL, PyArrayObject *__pyx_v_L); /* proto */
static PyObject *__pyx_pf_3GPy_4util_17choleskies_cython_10backprop_gradient_par2(CYTHON_UNUSED PyObject *__pyx_self, __Pyx_memviewslice __pyx_v_dL, __Pyx_memviewslice __pyx_v_L); /* proto */
static PyObject *__pyx_pf_3GPy_4util_17choleskies_cython_10backprop_gradient_par_c_old(CYTHON_UNUSED PyObject *__pyx_self, PyArrayObject *__pyx_v_dL, PyArrayObject *__pyx_v_L); /* proto */
static int __pyx_pf_5numpy_7ndarray___getbuffer__(PyArrayObject *__pyx_v_self, Py_buffer *__pyx_v_info, int __pyx_v_flags); /* proto */
static void __pyx_pf_5numpy_7ndarray_2__releasebuffer__(PyArrayObject *__pyx_v_self, Py_buffer *__pyx_v_info); /* proto */
static int __pyx_array_MemoryView_5array___cinit__(struct __pyx_array_obj *__pyx_v_self, PyObject *__pyx_v_shape, Py_ssize_t __pyx_v_itemsize, PyObject *__pyx_v_format, PyObject *__pyx_v_mode, int __pyx_v_allocate_buffer); /* proto */
@ -1534,12 +1534,9 @@ static char __pyx_k_Zd[] = "Zd";
static char __pyx_k_Zf[] = "Zf";
static char __pyx_k_Zg[] = "Zg";
static char __pyx_k_dL[] = "dL";
static char __pyx_k_iN[] = "iN";
static char __pyx_k_id[] = "id";
static char __pyx_k_kN[] = "kN";
static char __pyx_k_mm[] = "mm";
static char __pyx_k_np[] = "np";
static char __pyx_k_dot[] = "dot";
static char __pyx_k_obj[] = "obj";
static char __pyx_k_ret[] = "ret";
static char __pyx_k_base[] = "base";
@ -1572,7 +1569,6 @@ static char __pyx_k_name_2[] = "__name__";
static char __pyx_k_struct[] = "struct";
static char __pyx_k_unpack[] = "unpack";
static char __pyx_k_xrange[] = "xrange";
static char __pyx_k_asarray[] = "asarray";
static char __pyx_k_fortran[] = "fortran";
static char __pyx_k_memview[] = "memview";
static char __pyx_k_Ellipsis[] = "Ellipsis";
@ -1595,7 +1591,6 @@ static char __pyx_k_strided_and_indirect[] = "<strided and indirect>";
static char __pyx_k_backprop_gradient_par[] = "backprop_gradient_par";
static char __pyx_k_contiguous_and_direct[] = "<contiguous and direct>";
static char __pyx_k_MemoryView_of_r_object[] = "<MemoryView of %r object>";
static char __pyx_k_backprop_gradient_par2[] = "backprop_gradient_par2";
static char __pyx_k_MemoryView_of_r_at_0x_x[] = "<MemoryView of %r at 0x%x>";
static char __pyx_k_backprop_gradient_par_c[] = "backprop_gradient_par_c";
static char __pyx_k_contiguous_and_indirect[] = "<contiguous and indirect>";
@ -1606,11 +1601,12 @@ static char __pyx_k_Invalid_shape_in_axis_d_d[] = "Invalid shape in axis %d: %d.
static char __pyx_k_GPy_util_choleskies_cython[] = "GPy.util.choleskies_cython";
static char __pyx_k_Index_out_of_bounds_axis_d[] = "Index out of bounds (axis %d)";
static char __pyx_k_Step_may_not_be_zero_axis_d[] = "Step may not be zero (axis %d)";
static char __pyx_k_backprop_gradient_par_c_old[] = "backprop_gradient_par_c_old";
static char __pyx_k_itemsize_0_for_cython_array[] = "itemsize <= 0 for cython.array";
static char __pyx_k_ndarray_is_not_C_contiguous[] = "ndarray is not C contiguous";
static char __pyx_k_unable_to_allocate_array_data[] = "unable to allocate array data.";
static char __pyx_k_strided_and_direct_or_indirect[] = "<strided and direct or indirect>";
static char __pyx_k_Users_james_work_GPy_GPy_util_c[] = "/Users/james/work/GPy/GPy/util/choleskies_cython.pyx";
static char __pyx_k_home_james_work_GPy_GPy_util_ch[] = "/home/james/work/GPy/GPy/util/choleskies_cython.pyx";
static char __pyx_k_unknown_dtype_code_in_numpy_pxd[] = "unknown dtype code in numpy.pxd (%d)";
static char __pyx_k_All_dimensions_preceding_dimensi[] = "All dimensions preceding dimension %d must be indexed and not sliced";
static char __pyx_k_Buffer_view_does_not_expose_stri[] = "Buffer view does not expose strides";
@ -1652,14 +1648,12 @@ static PyObject *__pyx_kp_s_Out_of_bounds_on_buffer_access_a;
static PyObject *__pyx_n_s_RuntimeError;
static PyObject *__pyx_n_s_TypeError;
static PyObject *__pyx_kp_s_Unable_to_convert_item_to_object;
static PyObject *__pyx_kp_s_Users_james_work_GPy_GPy_util_c;
static PyObject *__pyx_n_s_ValueError;
static PyObject *__pyx_n_s_allocate_buffer;
static PyObject *__pyx_n_s_asarray;
static PyObject *__pyx_n_s_backprop_gradient;
static PyObject *__pyx_n_s_backprop_gradient_par;
static PyObject *__pyx_n_s_backprop_gradient_par2;
static PyObject *__pyx_n_s_backprop_gradient_par_c;
static PyObject *__pyx_n_s_backprop_gradient_par_c_old;
static PyObject *__pyx_n_s_base;
static PyObject *__pyx_n_s_c;
static PyObject *__pyx_n_u_c;
@ -1671,7 +1665,6 @@ static PyObject *__pyx_n_s_count;
static PyObject *__pyx_n_s_d;
static PyObject *__pyx_n_s_dL;
static PyObject *__pyx_n_s_dL_dK;
static PyObject *__pyx_n_s_dot;
static PyObject *__pyx_n_s_dtype_is_object;
static PyObject *__pyx_n_s_empty;
static PyObject *__pyx_n_s_enumerate;
@ -1683,15 +1676,14 @@ static PyObject *__pyx_n_s_format;
static PyObject *__pyx_n_s_fortran;
static PyObject *__pyx_n_u_fortran;
static PyObject *__pyx_kp_s_got_differing_extents_in_dimensi;
static PyObject *__pyx_kp_s_home_james_work_GPy_GPy_util_ch;
static PyObject *__pyx_n_s_i;
static PyObject *__pyx_n_s_iN;
static PyObject *__pyx_n_s_id;
static PyObject *__pyx_n_s_import;
static PyObject *__pyx_n_s_itemsize;
static PyObject *__pyx_kp_s_itemsize_0_for_cython_array;
static PyObject *__pyx_n_s_j;
static PyObject *__pyx_n_s_k;
static PyObject *__pyx_n_s_kN;
static PyObject *__pyx_n_s_m;
static PyObject *__pyx_n_s_main;
static PyObject *__pyx_n_s_memview;
@ -3056,7 +3048,7 @@ static PyObject *__pyx_pf_3GPy_4util_17choleskies_cython_6backprop_gradient_par(
#define unlikely(x) (x)
#endif
#ifdef _OPENMP
#pragma omp parallel private(__pyx_t_9, __pyx_t_25, __pyx_t_20, __pyx_t_16, __pyx_t_21, __pyx_t_17, __pyx_t_14, __pyx_t_19, __pyx_t_22, __pyx_t_10, __pyx_t_11, __pyx_t_23, __pyx_t_13, __pyx_t_12, __pyx_t_18, __pyx_t_24, __pyx_t_26, __pyx_t_15, __pyx_t_27)
#pragma omp parallel private(__pyx_t_17, __pyx_t_14, __pyx_t_20, __pyx_t_26, __pyx_t_22, __pyx_t_10, __pyx_t_11, __pyx_t_23, __pyx_t_9, __pyx_t_25, __pyx_t_16, __pyx_t_21, __pyx_t_19, __pyx_t_27, __pyx_t_15, __pyx_t_13, __pyx_t_12, __pyx_t_18, __pyx_t_24)
#endif /* _OPENMP */
{
@ -3516,7 +3508,7 @@ static PyObject *__pyx_pf_3GPy_4util_17choleskies_cython_8backprop_gradient_par_
* chol_backprop(N, <double*> dL_dK.data, <double*> L.data)
* return dL_dK # <<<<<<<<<<<<<<
*
*
* cdef extern from "cholesky_backprop.h" nogil:
*/
__Pyx_XDECREF(__pyx_r);
__Pyx_INCREF(((PyObject *)__pyx_v_dL_dK));
@ -3557,27 +3549,26 @@ static PyObject *__pyx_pf_3GPy_4util_17choleskies_cython_8backprop_gradient_par_
return __pyx_r;
}
/* "GPy/util/choleskies_cython.pyx":92
/* "GPy/util/choleskies_cython.pyx":93
* void old_chol_backprop(int N, double* dL, double* L)
*
* # TODO: with the next release of cython, cimport scipy.linalg.cython_blas as blas, then blas the hell out of this.
* def backprop_gradient_par2(double[:,:] dL, double[:,:] L): # <<<<<<<<<<<<<<
* """
* a very slow implementation, but the clearest I hope
* def backprop_gradient_par_c_old(np.ndarray[double, ndim=2] dL, np.ndarray[double, ndim=2] L): # <<<<<<<<<<<<<<
* cdef np.ndarray[double, ndim=2] dL_dK = np.tril(dL) # makes a copy, c-contig
* cdef int N = L.shape[0]
*/
/* Python wrapper */
static PyObject *__pyx_pw_3GPy_4util_17choleskies_cython_11backprop_gradient_par2(PyObject *__pyx_self, PyObject *__pyx_args, PyObject *__pyx_kwds); /*proto*/
static char __pyx_doc_3GPy_4util_17choleskies_cython_10backprop_gradient_par2[] = "\n a very slow implementation, but the clearest I hope\n ";
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__Pyx_memviewslice __pyx_v_dL = { 0, 0, { 0 }, { 0 }, { 0 } };
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static PyMethodDef __pyx_mdef_3GPy_4util_17choleskies_cython_11backprop_gradient_par_c_old = {"backprop_gradient_par_c_old", (PyCFunction)__pyx_pw_3GPy_4util_17choleskies_cython_11backprop_gradient_par_c_old, METH_VARARGS|METH_KEYWORDS, 0};
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@ -3598,11 +3589,11 @@ static PyObject *__pyx_pw_3GPy_4util_17choleskies_cython_11backprop_gradient_par
case 1:
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__Pyx_RaiseArgtupleInvalid("backprop_gradient_par2", 1, 2, 2, 1); {__pyx_filename = __pyx_f[0]; __pyx_lineno = 92; __pyx_clineno = __LINE__; goto __pyx_L3_error;}
__Pyx_RaiseArgtupleInvalid("backprop_gradient_par_c_old", 1, 2, 2, 1); {__pyx_filename = __pyx_f[0]; __pyx_lineno = 93; __pyx_clineno = __LINE__; goto __pyx_L3_error;}
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@ -3610,527 +3601,193 @@ static PyObject *__pyx_pw_3GPy_4util_17choleskies_cython_11backprop_gradient_par
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/* "GPy/util/choleskies_cython.pyx":96
* a very slow implementation, but the clearest I hope
* """
* cdef double[:,:] dL_dK = np.tril(dL).copy() # <<<<<<<<<<<<<<
/* "GPy/util/choleskies_cython.pyx":94
*
* def backprop_gradient_par_c_old(np.ndarray[double, ndim=2] dL, np.ndarray[double, ndim=2] L):
* cdef np.ndarray[double, ndim=2] dL_dK = np.tril(dL) # makes a copy, c-contig # <<<<<<<<<<<<<<
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__pyx_codeobj__19 = (PyObject*)__Pyx_PyCode_New(2, 0, 9, 0, 0, __pyx_empty_bytes, __pyx_empty_tuple, __pyx_empty_tuple, __pyx_tuple__18, __pyx_empty_tuple, __pyx_empty_tuple, __pyx_kp_s_Users_james_work_GPy_GPy_util_c, __pyx_n_s_flat_to_triang, 11, __pyx_empty_bytes); if (unlikely(!__pyx_codeobj__19)) {__pyx_filename = __pyx_f[0]; __pyx_lineno = 11; __pyx_clineno = __LINE__; goto __pyx_L1_error;}
__pyx_codeobj__19 = (PyObject*)__Pyx_PyCode_New(2, 0, 9, 0, 0, __pyx_empty_bytes, __pyx_empty_tuple, __pyx_empty_tuple, __pyx_tuple__18, __pyx_empty_tuple, __pyx_empty_tuple, __pyx_kp_s_home_james_work_GPy_GPy_util_ch, __pyx_n_s_flat_to_triang, 11, __pyx_empty_bytes); if (unlikely(!__pyx_codeobj__19)) {__pyx_filename = __pyx_f[0]; __pyx_lineno = 11; __pyx_clineno = __LINE__; goto __pyx_L1_error;}
/* "GPy/util/choleskies_cython.pyx":31
* return ret
@ -17843,7 +17498,7 @@ static int __Pyx_InitCachedConstants(void) {
__pyx_tuple__20 = PyTuple_Pack(9, __pyx_n_s_L, __pyx_n_s_D, __pyx_n_s_M, __pyx_n_s_N, __pyx_n_s_count, __pyx_n_s_flat, __pyx_n_s_d, __pyx_n_s_m, __pyx_n_s_mm); if (unlikely(!__pyx_tuple__20)) {__pyx_filename = __pyx_f[0]; __pyx_lineno = 31; __pyx_clineno = __LINE__; goto __pyx_L1_error;}
__Pyx_GOTREF(__pyx_tuple__20);
__Pyx_GIVEREF(__pyx_tuple__20);
__pyx_codeobj__21 = (PyObject*)__Pyx_PyCode_New(1, 0, 9, 0, 0, __pyx_empty_bytes, __pyx_empty_tuple, __pyx_empty_tuple, __pyx_tuple__20, __pyx_empty_tuple, __pyx_empty_tuple, __pyx_kp_s_Users_james_work_GPy_GPy_util_c, __pyx_n_s_triang_to_flat, 31, __pyx_empty_bytes); if (unlikely(!__pyx_codeobj__21)) {__pyx_filename = __pyx_f[0]; __pyx_lineno = 31; __pyx_clineno = __LINE__; goto __pyx_L1_error;}
__pyx_codeobj__21 = (PyObject*)__Pyx_PyCode_New(1, 0, 9, 0, 0, __pyx_empty_bytes, __pyx_empty_tuple, __pyx_empty_tuple, __pyx_tuple__20, __pyx_empty_tuple, __pyx_empty_tuple, __pyx_kp_s_home_james_work_GPy_GPy_util_ch, __pyx_n_s_triang_to_flat, 31, __pyx_empty_bytes); if (unlikely(!__pyx_codeobj__21)) {__pyx_filename = __pyx_f[0]; __pyx_lineno = 31; __pyx_clineno = __LINE__; goto __pyx_L1_error;}
/* "GPy/util/choleskies_cython.pyx":47
*
@ -17855,7 +17510,7 @@ static int __Pyx_InitCachedConstants(void) {
__pyx_tuple__22 = PyTuple_Pack(7, __pyx_n_s_dL, __pyx_n_s_L, __pyx_n_s_dL_dK, __pyx_n_s_N, __pyx_n_s_k, __pyx_n_s_j, __pyx_n_s_i); if (unlikely(!__pyx_tuple__22)) {__pyx_filename = __pyx_f[0]; __pyx_lineno = 47; __pyx_clineno = __LINE__; goto __pyx_L1_error;}
__Pyx_GOTREF(__pyx_tuple__22);
__Pyx_GIVEREF(__pyx_tuple__22);
__pyx_codeobj__23 = (PyObject*)__Pyx_PyCode_New(2, 0, 7, 0, 0, __pyx_empty_bytes, __pyx_empty_tuple, __pyx_empty_tuple, __pyx_tuple__22, __pyx_empty_tuple, __pyx_empty_tuple, __pyx_kp_s_Users_james_work_GPy_GPy_util_c, __pyx_n_s_backprop_gradient, 47, __pyx_empty_bytes); if (unlikely(!__pyx_codeobj__23)) {__pyx_filename = __pyx_f[0]; __pyx_lineno = 47; __pyx_clineno = __LINE__; goto __pyx_L1_error;}
__pyx_codeobj__23 = (PyObject*)__Pyx_PyCode_New(2, 0, 7, 0, 0, __pyx_empty_bytes, __pyx_empty_tuple, __pyx_empty_tuple, __pyx_tuple__22, __pyx_empty_tuple, __pyx_empty_tuple, __pyx_kp_s_home_james_work_GPy_GPy_util_ch, __pyx_n_s_backprop_gradient, 47, __pyx_empty_bytes); if (unlikely(!__pyx_codeobj__23)) {__pyx_filename = __pyx_f[0]; __pyx_lineno = 47; __pyx_clineno = __LINE__; goto __pyx_L1_error;}
/* "GPy/util/choleskies_cython.pyx":62
* return dL_dK
@ -17867,7 +17522,7 @@ static int __Pyx_InitCachedConstants(void) {
__pyx_tuple__24 = PyTuple_Pack(7, __pyx_n_s_dL, __pyx_n_s_L, __pyx_n_s_dL_dK, __pyx_n_s_N, __pyx_n_s_k, __pyx_n_s_j, __pyx_n_s_i); if (unlikely(!__pyx_tuple__24)) {__pyx_filename = __pyx_f[0]; __pyx_lineno = 62; __pyx_clineno = __LINE__; goto __pyx_L1_error;}
__Pyx_GOTREF(__pyx_tuple__24);
__Pyx_GIVEREF(__pyx_tuple__24);
__pyx_codeobj__25 = (PyObject*)__Pyx_PyCode_New(2, 0, 7, 0, 0, __pyx_empty_bytes, __pyx_empty_tuple, __pyx_empty_tuple, __pyx_tuple__24, __pyx_empty_tuple, __pyx_empty_tuple, __pyx_kp_s_Users_james_work_GPy_GPy_util_c, __pyx_n_s_backprop_gradient_par, 62, __pyx_empty_bytes); if (unlikely(!__pyx_codeobj__25)) {__pyx_filename = __pyx_f[0]; __pyx_lineno = 62; __pyx_clineno = __LINE__; goto __pyx_L1_error;}
__pyx_codeobj__25 = (PyObject*)__Pyx_PyCode_New(2, 0, 7, 0, 0, __pyx_empty_bytes, __pyx_empty_tuple, __pyx_empty_tuple, __pyx_tuple__24, __pyx_empty_tuple, __pyx_empty_tuple, __pyx_kp_s_home_james_work_GPy_GPy_util_ch, __pyx_n_s_backprop_gradient_par, 62, __pyx_empty_bytes); if (unlikely(!__pyx_codeobj__25)) {__pyx_filename = __pyx_f[0]; __pyx_lineno = 62; __pyx_clineno = __LINE__; goto __pyx_L1_error;}
/* "GPy/util/choleskies_cython.pyx":83
* void chol_backprop(int N, double* dL, double* L)
@ -17879,19 +17534,19 @@ static int __Pyx_InitCachedConstants(void) {
__pyx_tuple__26 = PyTuple_Pack(4, __pyx_n_s_dL, __pyx_n_s_L, __pyx_n_s_dL_dK, __pyx_n_s_N); if (unlikely(!__pyx_tuple__26)) {__pyx_filename = __pyx_f[0]; __pyx_lineno = 83; __pyx_clineno = __LINE__; goto __pyx_L1_error;}
__Pyx_GOTREF(__pyx_tuple__26);
__Pyx_GIVEREF(__pyx_tuple__26);
__pyx_codeobj__27 = (PyObject*)__Pyx_PyCode_New(2, 0, 4, 0, 0, __pyx_empty_bytes, __pyx_empty_tuple, __pyx_empty_tuple, __pyx_tuple__26, __pyx_empty_tuple, __pyx_empty_tuple, __pyx_kp_s_Users_james_work_GPy_GPy_util_c, __pyx_n_s_backprop_gradient_par_c, 83, __pyx_empty_bytes); if (unlikely(!__pyx_codeobj__27)) {__pyx_filename = __pyx_f[0]; __pyx_lineno = 83; __pyx_clineno = __LINE__; goto __pyx_L1_error;}
__pyx_codeobj__27 = (PyObject*)__Pyx_PyCode_New(2, 0, 4, 0, 0, __pyx_empty_bytes, __pyx_empty_tuple, __pyx_empty_tuple, __pyx_tuple__26, __pyx_empty_tuple, __pyx_empty_tuple, __pyx_kp_s_home_james_work_GPy_GPy_util_ch, __pyx_n_s_backprop_gradient_par_c, 83, __pyx_empty_bytes); if (unlikely(!__pyx_codeobj__27)) {__pyx_filename = __pyx_f[0]; __pyx_lineno = 83; __pyx_clineno = __LINE__; goto __pyx_L1_error;}
/* "GPy/util/choleskies_cython.pyx":92
/* "GPy/util/choleskies_cython.pyx":93
* void old_chol_backprop(int N, double* dL, double* L)
*
* # TODO: with the next release of cython, cimport scipy.linalg.cython_blas as blas, then blas the hell out of this.
* def backprop_gradient_par2(double[:,:] dL, double[:,:] L): # <<<<<<<<<<<<<<
* """
* a very slow implementation, but the clearest I hope
* def backprop_gradient_par_c_old(np.ndarray[double, ndim=2] dL, np.ndarray[double, ndim=2] L): # <<<<<<<<<<<<<<
* cdef np.ndarray[double, ndim=2] dL_dK = np.tril(dL) # makes a copy, c-contig
* cdef int N = L.shape[0]
*/
__pyx_tuple__28 = PyTuple_Pack(9, __pyx_n_s_dL, __pyx_n_s_L, __pyx_n_s_dL_dK, __pyx_n_s_N, __pyx_n_s_k, __pyx_n_s_j, __pyx_n_s_i, __pyx_n_s_iN, __pyx_n_s_kN); if (unlikely(!__pyx_tuple__28)) {__pyx_filename = __pyx_f[0]; __pyx_lineno = 92; __pyx_clineno = __LINE__; goto __pyx_L1_error;}
__pyx_tuple__28 = PyTuple_Pack(4, __pyx_n_s_dL, __pyx_n_s_L, __pyx_n_s_dL_dK, __pyx_n_s_N); if (unlikely(!__pyx_tuple__28)) {__pyx_filename = __pyx_f[0]; __pyx_lineno = 93; __pyx_clineno = __LINE__; goto __pyx_L1_error;}
__Pyx_GOTREF(__pyx_tuple__28);
__Pyx_GIVEREF(__pyx_tuple__28);
__pyx_codeobj__29 = (PyObject*)__Pyx_PyCode_New(2, 0, 9, 0, 0, __pyx_empty_bytes, __pyx_empty_tuple, __pyx_empty_tuple, __pyx_tuple__28, __pyx_empty_tuple, __pyx_empty_tuple, __pyx_kp_s_Users_james_work_GPy_GPy_util_c, __pyx_n_s_backprop_gradient_par2, 92, __pyx_empty_bytes); if (unlikely(!__pyx_codeobj__29)) {__pyx_filename = __pyx_f[0]; __pyx_lineno = 92; __pyx_clineno = __LINE__; goto __pyx_L1_error;}
__pyx_codeobj__29 = (PyObject*)__Pyx_PyCode_New(2, 0, 4, 0, 0, __pyx_empty_bytes, __pyx_empty_tuple, __pyx_empty_tuple, __pyx_tuple__28, __pyx_empty_tuple, __pyx_empty_tuple, __pyx_kp_s_home_james_work_GPy_GPy_util_ch, __pyx_n_s_backprop_gradient_par_c_old, 93, __pyx_empty_bytes); if (unlikely(!__pyx_codeobj__29)) {__pyx_filename = __pyx_f[0]; __pyx_lineno = 93; __pyx_clineno = __LINE__; goto __pyx_L1_error;}
/* "View.MemoryView":276
* return self.name
@ -18172,16 +17827,16 @@ PyMODINIT_FUNC PyInit_choleskies_cython(void)
if (PyDict_SetItem(__pyx_d, __pyx_n_s_backprop_gradient_par_c, __pyx_t_1) < 0) {__pyx_filename = __pyx_f[0]; __pyx_lineno = 83; __pyx_clineno = __LINE__; goto __pyx_L1_error;}
__Pyx_DECREF(__pyx_t_1); __pyx_t_1 = 0;
/* "GPy/util/choleskies_cython.pyx":92
/* "GPy/util/choleskies_cython.pyx":93
* void old_chol_backprop(int N, double* dL, double* L)
*
* # TODO: with the next release of cython, cimport scipy.linalg.cython_blas as blas, then blas the hell out of this.
* def backprop_gradient_par2(double[:,:] dL, double[:,:] L): # <<<<<<<<<<<<<<
* """
* a very slow implementation, but the clearest I hope
* def backprop_gradient_par_c_old(np.ndarray[double, ndim=2] dL, np.ndarray[double, ndim=2] L): # <<<<<<<<<<<<<<
* cdef np.ndarray[double, ndim=2] dL_dK = np.tril(dL) # makes a copy, c-contig
* cdef int N = L.shape[0]
*/
__pyx_t_1 = PyCFunction_NewEx(&__pyx_mdef_3GPy_4util_17choleskies_cython_11backprop_gradient_par2, NULL, __pyx_n_s_GPy_util_choleskies_cython); if (unlikely(!__pyx_t_1)) {__pyx_filename = __pyx_f[0]; __pyx_lineno = 92; __pyx_clineno = __LINE__; goto __pyx_L1_error;}
__pyx_t_1 = PyCFunction_NewEx(&__pyx_mdef_3GPy_4util_17choleskies_cython_11backprop_gradient_par_c_old, NULL, __pyx_n_s_GPy_util_choleskies_cython); if (unlikely(!__pyx_t_1)) {__pyx_filename = __pyx_f[0]; __pyx_lineno = 93; __pyx_clineno = __LINE__; goto __pyx_L1_error;}
__Pyx_GOTREF(__pyx_t_1);
if (PyDict_SetItem(__pyx_d, __pyx_n_s_backprop_gradient_par2, __pyx_t_1) < 0) {__pyx_filename = __pyx_f[0]; __pyx_lineno = 92; __pyx_clineno = __LINE__; goto __pyx_L1_error;}
if (PyDict_SetItem(__pyx_d, __pyx_n_s_backprop_gradient_par_c_old, __pyx_t_1) < 0) {__pyx_filename = __pyx_f[0]; __pyx_lineno = 93; __pyx_clineno = __LINE__; goto __pyx_L1_error;}
__Pyx_DECREF(__pyx_t_1); __pyx_t_1 = 0;
/* "GPy/util/choleskies_cython.pyx":1

30
GPy/util/choleskies_cython.pyx
View file

@ -87,25 +87,21 @@ def backprop_gradient_par_c(np.ndarray[double, ndim=2] dL, np.ndarray[double, nd
chol_backprop(N, <double*> dL_dK.data, <double*> L.data)
return dL_dK
cdef extern from "cholesky_backprop.h" nogil:
void old_chol_backprop(int N, double* dL, double* L)
# TODO: with the next release of cython, cimport scipy.linalg.cython_blas as blas, then blas the hell out of this.
def backprop_gradient_par2(double[:,:] dL, double[:,:] L):
"""
a very slow implementation, but the clearest I hope
"""
cdef double[:,:] dL_dK = np.tril(dL).copy()
def backprop_gradient_par_c_old(np.ndarray[double, ndim=2] dL, np.ndarray[double, ndim=2] L):
cdef np.ndarray[double, ndim=2] dL_dK = np.tril(dL) # makes a copy, c-contig
cdef int N = L.shape[0]
cdef int k, j, i, iN, kN
for k in range(N - 1, -1, -1):
#pragma this loop:
for i in range(k+1, N):
dL_dK[i,+k] -= np.dot(dL_dK[i,k+1:], L[k+1:,k])
dL_dK[i,+k] -= np.dot(dL_dK[i:,i], L[i:,k])
with nogil:
old_chol_backprop(N, <double*> dL_dK.data, <double*> L.data)
return dL_dK
for i in range(k+1, N):
dL_dK[i, k] /= L[k, k];
dL_dK[k, k] -= L[i, k] * dL_dK[i, k];
dL_dK[k, k] /= (2. * L[k, k]);
return np.asarray(dL_dK)

39
GPy/util/cholesky_backprop.c
View file

@ -1,4 +1,25 @@
#include <omp.h>
#include <cblas.h>
void chol_backprop(int N, double* dL, double* L){
//at the input to this fn, dL is df_dL. after this fn is complet, dL is df_dK
int i,k;
dL[N*N - 1] /= (2. * L[N*N - 1]);
for(k=N-2;k>(-1);k--){
cblas_dsymv(CblasRowMajor, CblasLower,
N-k-1, -1,
&dL[(N*(k+1) + k+1)],N,
&L[k*N+k+1],1,
1, &dL[N*(k+1)+k], N);
for(i=0;i<(N-k-1); i++){
dL[N*(k+1+i)+k] -= dL[N*(k+1)+k+i*(N+1)+1] * L[k*N+k+1+i];
}
cblas_dscal(N-k-1, 1.0/L[k*N+k], &dL[(k+1)*N+k], N);
dL[k*N + k] -= cblas_ddot(N-k-1, &dL[(k+1)*N+k], N, &L[k*N+k+1], 1);
dL[k*N + k] /= (2.0 * L[k*N + k]);
}
}
double mydot(int n, double* a, int stride_a, double* b, int stride_b){
double ret = 0;
for(int i=0; i<n; i++){
@ -6,26 +27,24 @@ double mydot(int n, double* a, int stride_a, double* b, int stride_b){
}
return ret;
}
void chol_backprop(int N, double* dL, double* U){
void old_chol_backprop(int N, double* dL, double* U){
//at the input to this fn, dL is df_dL. after this fn is complet, dL is df_dK
int iN, kN;
for(int k=N-1;k>(-1);k--){
int iN, kN,i,j,k;
dL[N*N-1] /= (2. * U[N*N-1]);
for(k=N-2;k>(-1);k--){
kN = k*N;
#pragma omp parallel for private(iN)
for(int i=k+1; i<N; i++){
#pragma omp parallel for private(i,iN)
for(i=k+1; i<N; i++){
iN = i*N;
dL[iN+k] -= mydot(i-k, &dL[iN+k+1], 1, &U[kN+k+1], 1);
dL[iN+k] -= mydot(N-i, &dL[iN+i], N, &U[kN+i], 1);
}
for(int i=(k + 1); i<N; i++){
for(i=(k + 1); i<N; i++){
iN = i*N;
dL[iN + k] /= U[kN + k];
dL[kN + k] -= U[kN + i] * dL[iN + k];
}
dL[kN + k] /= (2. * U[kN + k]);
}
}

3
GPy/util/cholesky_backprop.h
View file

@ -1,2 +1,5 @@
#include <cblas.h>
void dsymv(int N, double*A, double*b, double*y);
double mydot(int n, double* a, int stride_a, double* b, int stride_b);
void chol_backprop(int N, double* dL, double* L);

2
setup.py
View file

@ -22,7 +22,7 @@ ext_mods = [Extension(name='GPy.kern._src.stationary_cython',
Extension(name='GPy.util.choleskies_cython',
sources=['GPy/util/choleskies_cython.c', 'GPy/util/cholesky_backprop.c'],
include_dirs=[np.get_include()],
extra_link_args = ['-lgomp'],
extra_link_args = ['-lgomp', '-lblas'],
extra_compile_args=compile_flags+['-std=c99']),
Extension(name='GPy.util.linalg_cython',
sources=['GPy/util/linalg_cython.c'],