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ENH: various Cython enhancements, mostly releasing the GIL when not needed

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David Menéndez Hurtado 2015-08-17 14:42:39 +02:00
parent 10c19d853f
commit a379382dd5
6 changed files with 6795 additions and 4572 deletions
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1987
GPy/util/linalg_cython.c
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27
GPy/util/linalg_cython.pyx
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@ -1,3 +1,4 @@
from libc.math cimport sqrt
cimport numpy as np
from cpython cimport bool
import cython
@ -19,16 +20,18 @@ def symmetrify(np.ndarray[double, ndim=2] A, bool upper):
@cython.boundscheck(False)
@cython.wraparound(False)
@cython.nonecheck(False)
@cython.cdivision(True)
def cholupdate(np.ndarray[double, ndim=1] x, np.ndarray[double, ndim=2] L, int N):
cdef double r
cdef double c
cdef double s
for j in xrange(N):
r = np.sqrt(L[j,j]*L[j,j] + x[j]*x[j])
c = r / L[j,j]
s = x[j] / L[j,j]
L[j,j] = r
for i in xrange(j):
L[i,j] = (L[i,j] + s*x[i])/c
x[i] = c*x[i] - s*L[i,j];
r = np.sqrt(L[j,j])
cdef double r, c, s
cdef int j, i
with nogil:
for j in xrange(N):
r = sqrt(L[j, j] * L[j, j] + x[j] * x[j])
c = r / L[j, j]
s = x[j] / L[j, j]
L[j, j] = r
for i in xrange(j):
L[i, j] = (L[i, j] + s * x[i]) / c
x[i] = c * x[i] - s * L[i, j]
r = sqrt(L[j, j])