[SciPy-dev] reimplementation of lfilter

Ralf Gommers ralf.gommers@googlemail....
Tue Sep 22 09:23:55 CDT 2009


Looks like a very useful improvement.

Your docstring won't render well, and there is already a cleaned up version
of the old one here:
http://docs.scipy.org/scipy/docs/scipy.signal.signaltools.lfilter/ Could you
please integrate those changes with yours?

Cheers,
Ralf



On Tue, Sep 22, 2009 at 2:21 AM, Sturla Molden <sturla@molden.no> wrote:

> Looking at this atrocious piece of C:
>
> http://svn.scipy.org/svn/scipy/trunk/scipy/signal/lfilter.c.src
>
> I got some inspiration for reusing some of my other C code to
> reimplement scipy.signal.lfilter. I basically just had to write
> this small C function + a Cython wrapper:
>
>
> static void lfilter_1d(double *restrict b, double *restrict a,
>   double *x, double *y, double *zi, npy_intp K, npy_intp N)
> {
>   double Z[K];
>   double *restrict pz = zi, *restrict z = Z;
>   register npy_intp n, k;
>   for (n=0; n<N; n++) {
>       register double yn, xn = x[n];
>       yn = y[n] = b[0] * xn + pz[0];
>       for (k=0; k<K-1; k++)
>           z[k] = b[k+1] * xn + pz[k+1] - a[k+1]*yn;
>       z[K-1] = b[K]*xn - a[K]*yn;
>       double *tmp = pz;
>       pz = z;
>       z = tmp;
>   }
>   if (pz != zi)           memcpy(zi, pz, K*sizeof(double));       }
>
>
> Relative speed compared to scipy.signal.lfilter:
>
> One processor:
> 1D array, 1000000 floats:              150%
> 2D array, 1000 x 1000 floats, axis=0:   80%
> 2D array, 1000 x 1000 floats, axis=1:  150%
>
> It is faster than lfilter except for 2D with axis=0. For
> 2D with axis=1 it is probably faster than lfilter due to
> copy-in copy-out optimization. For arrays with more than
> one dimension, multithreading helps as well:
>
> Four processors:
> 1D array, 1000000 floats:              150%
> 2D array, 1000 x 1000 floats, axis=0:  160%
> 2D array, 1000 x 1000 floats, axis=1:  250%
>
> Multithreading obviously does not help for filtering single
> vector, as there is no work to share.
>
> Some other improvements over signal.lfilter, apart from readable
> Cython code:
>
> * GIL is released. The C code is not littered with Python C
>  API calls that prevents this.
>
> * Filtering can be done in reverse, i.e. no need for fliplr or
>  flipud for filtering backwards.
>
> * Arrays can be filtered in-place.
>
> * Cleaned up docstring.
>
> Still it only work as a "proof of concept" with double precision
> floats. Adding support for other dtypes would be easy, just
> replace double with any of:
>
> float
> float _Complex
> double _Complex
> long double
> long double _Complex
>
>
>
> Regards,
> Sturla Molden
>
>
>
>
>
>
>
>
> # Copyright (C) 2009 Sturla Molden
>
>
>
> import numpy as np
> cimport numpy as np
>
>
> cdef extern int _linear_filter( object a, object b,
>                                object x, object y, object z,
>                                int axis, int direction)
>
> def lfilter(object B, object A, object X,
>            object zi=None,
>            object axis = None,
>            int direction=1,
>            object inplace=False):
>
>    """
>    Filter data along one-dimension with an IIR or FIR filter.
>
>
>    Description
>    ===========
>
>      Filter a data sequence, x, using a digital filter.  This works for
> many
>      fundamental data types (including Object type).  The filter is a
> direct
>      form II transposed implementation of the standard difference equation
>      (see "Algorithm").
>
>
>    Inputs:
>    =======
>
>      b : vector-like
>          The numerator coefficient vector in a 1-D sequence.
>
>      a : vector-like
>          The denominator coefficient vector in a 1-D sequence. If a[0]
>          is not 1, then both a and b are normalized by a[0].
>
>      x : array-like
>          An N-dimensional input array.
>
>      axis : int or None
>          The axis of the input data array along which to apply the
>          linear filter. The filter is applied to each subarray along
>          this axis. If axis is None, the filter is applied to x
>          flattened. Default: axis=None.
>
>      zi : array-like
>          Initial conditions for the filter delays.  It is a vector
>          (or array of vectors for an N-dimensional input) of length
>          max(len(a),len(b)). If zi=None or is not given then initial
>          rest is assumed. If axis is None, zi should be a vector
>          of length K = max(M,N), where M=len(b)-1 and N=len(a)-1. If
>          an axis is not None, zi should either be a vector of length
>          K, or an array with same shape as x, except for zi.shape[axis]
>          which should be K. If zi is a vector, the same initial
>          conditions are applied to each vector along the specified
>          axis. Default: zi=None (initial rest).
>
>          See signal.lfiltic for more information.
>
>      direction : int
>          If negative, the filter is applied in reverse direction
>          along the axis. Default: direction=1 (filter forward).
>
>      inplace : bool
>          If True, allow x or zi to be modified inplace if possible.
>          Default: False.
>
>
>    Outputs: (y, {zf})
>    =======
>
>      y : ndarray
>          The output of the digital filter.
>
>      zf : ndarray
>          If zi is None, this is not returned, otherwise, zf holds the
>          final filter delay values.
>
>
>    Algorithm:
>    ==========
>      The filter function is implemented as a direct II transposed
> structure.
>      This means that the filter implements
>
>      a[0]*y[n] = b[0]*x[n] + b[1]*x[n-1] + ... + b[nb]*x[n-nb]
>                            - a[1]*y[n-1] - ... - a[na]*y[n-na]
>
>      using the following difference equations:
>
>      y[m] = b[0]*x[m] + z[0,m-1]
>      z[0,m] = b[1]*x[m] + z[1,m-1] - a[1]*y[m]
>      ...
>      z[n-3,m] = b[n-2]*x[m] + z[n-2,m-1] - a[n-2]*y[m]
>      z[n-2,m] = b[n-1]*x[m] - a[n-1]*y[m]
>
>      where m is the output sample number and n=max(len(a),len(b)) is the
>      model order.
>
>      The rational transfer function describing this filter in the
>      z-transform domain is
>                                  -1               -nb
>                      b[0] + b[1]z  + ... + b[nb] z
>              Y(z) = ---------------------------------- X(z)
>                                  -1               -na
>                      a[0] + a[1]z  + ... + a[na] z
>
>
>    """
>
>
>    cdef np.ndarray b, a, x, y, z
>    cdef np.npy_intp i, ierr
>    cdef double tmp
>    cdef object K, zshape, iaxis
>
>    # get filter coeffs b, a
>
>    A = np.asarray(A)
>    B = np.asarray(B)
>
>    if (A.ndim != 1) or (B.ndim != 1):
>        raise ValueError, 'a and b must be vectors'
>
>    K = max(len(A)-1,len(B)-1)
>
>    b = np.zeros(K+1)
>    a = np.zeros(K+1)
>    a[:A.shape[0]] = A[:]
>    b[:B.shape[0]] = B[:]
>
>
>    # normalize by a[0]
>    if a[0] != 1.0:
>        tmp = a[0]
>        for i in range(a.shape[0]):
>            a[i] /= tmp
>            b[i] /= tmp
>
>
>    # set up input signal
>    X = np.asarray(X, dtype=np.float64)
>    if axis is None:
>        X = X.ravel()
>    elif type(axis) != int:
>        raise ValueError, 'axis must be None or an integer >= 0'
>    elif axis < 0:
>        raise ValueError, 'axis must be None or an integer >= 0'
>    x = X
>
>
>    # set up output signal
>    if inplace:
>        y = X
>    else:
>        y = np.zeros(X.shape, dtype=np.float64)
>
>
>    # set up filter delay buffer
>
>    iaxis = 0 if (axis is None) else axis
>
>    if zi is None:
>
>        # zi not specified, assume initial rest
>
>        zshape = list(X.shape)
>        zshape[iaxis] = K
>        z = np.zeros(zshape, dtype=np.float64)
>
>    else:
>
>        zi = np.asarray(zi, dtype=np.float64)
>
>        # x and zi are both vectors
>
>        if (x.ndim == 1) and (zi.ndim == 1):
>
>            if (zi.shape[0] != K):
>                raise ValueError, 'length of zi must be K'
>
>            if inplace:
>                z = zi
>            else:
>                z = zi.copy()
>
>        # x is nd array, zi is vector
>        # broadcast zi (cannot modify inplace)
>
>        elif (x.ndim > 1) and (zi.ndim == 1):
>
>            if (zi.shape[0] != K):
>                raise ValueError, 'length of zi must be K'
>
>            zshape = list(X.shape)
>            zshape[iaxis] = K
>            z = np.zeros(zshape, dtype=np.float64)
>
>            zshape = [1] * X.ndim
>            zshape[iaxis] = K
>            z = z + zi.reshape(zshape)
>
>
>        # x and zi are both nd arrays
>
>        else:
>
>            zshape = list(X.shape)
>            zshape[iaxis] = K
>            zshape = tuple(zshape)
>
>            if (zi.shape != zshape):
>                raise ValueError, ('bad shape of zi: expected %r, got %r' %
> (zshape,zi.shape))
>
>            if inplace:
>                z = zi
>            else:
>                z = zi.copy()
>
>
>    # apply the linear filter
>
>    ierr = _linear_filter(a, b, x, y, z, <int> iaxis, direction)
>
>
>    # check for error conditions on return
>
>    if ierr == -1:
>        raise MemoryError, 'malloc returned NULL'
>    if ierr == -2:
>        raise ValueError, 'shape of x, y, and z did not match... should
> never happen, debug please.'
>    if ierr == -3:
>        raise ValueError, 'shape of a and b did not match... should never
> happen, debug please.'
>
>
>    # return y or (y, z) depending on zi
>
>    # return (y if (zi is None) else (y, z)) ## Cython fails on this
>
>    if (zi is None):
>       return y
>    else:
>       return (y,z)
>
>
>
>
>
>
>
>
> /* Copyright (C) 2009 Sturla Molden */
>
>
>
>
> #include <Python.h>
> #include <numpy/arrayobject.h>
> #include <string.h>
> #include <stdlib.h>
>
> typedef PyArrayObject ndarray;    /* PyArrayObject is an ugly name */
> typedef Py_ssize_t    integer;    /* Py_ssize_t of int for 64 bit support,
> npy_intp is typedef'ed incorrectly. */
>
>
> /* copy data to and from temporary work arrays  */
>
> static void copy_in(double *restrict y, double *restrict x, integer n,
> integer s)
> {
>    integer i;
>    char *tmp;
>
>    if (s == sizeof(double))
>        memcpy(y, x, n*sizeof(double));
>    else {
>        tmp = (char *)x;
>        for (i=0; i<n; i++) {
>            *y++ = *x;
>            tmp += s;
>            x = (double *)tmp;
>        }
>    }
> }
>
> static void copy_out(double *restrict y, double *restrict x, integer n,
> integer s)
> {
>    integer i;
>    char *tmp;
>    if (s == sizeof(double))
>        memcpy(y, x, n*sizeof(double));
>    else {
>        tmp = (char *)y;
>        for (i=0; i<n; i++) {
>            *y = *x++;
>            tmp += s;
>            y = (double *)tmp;
>        }
>    }
> }
>
>
> /* this computes the start adress for every vector along a dimension
>  (axis) of an ndarray */
>
> inline char *datapointer(ndarray *a, integer *indices)
> {
>    char *data = a->data;
>    int i;
>    integer j;
>    for (i=0; i < a->nd; i++) {
>        j = indices[i];
>        data += j * a->strides[i];
>    }
>    return data;
> }
>
> static double ** _get_axis_pointer(integer *indices, int axis,
>                           ndarray *a, double **axis_ptr_array, int dim)
> {
>    /* recursive axis pointer search for 4 dimensions or more */
>    integer i;
>    double *axis_ptr;
>    if (dim == a->nd) {
>        /* done recursing dimensions,
>        compute address of this axis */
>        axis_ptr = (double *) datapointer(a, indices);
>        *axis_ptr_array = axis_ptr;
>        return (axis_ptr_array + 1);
>    } else if (dim == axis) {
>        /* use first element only */
>        indices[dim] = 0;
>        axis_ptr_array = _get_axis_pointer(indices, axis, a, axis_ptr_array,
> dim+1);
>        return axis_ptr_array;
>    } else {
>        /* iterate range of indices */
>        integer length = a->dimensions[dim];
>        for (i=0; i < length; i++) {
>            indices[dim] = i;
>            axis_ptr_array = _get_axis_pointer(indices, axis, a,
> axis_ptr_array, dim+1);
>        }
>        return axis_ptr_array;
>    }
> }
>
>
> static double **get_axis_pointers(ndarray *a, int axis, integer *count)
> {
>    integer indices[a->nd];
>    double **out, **tmp;
>    integer i, j;
>    j = 1;
>    for (i=0; i < a->nd; i++) {
>        if (i != axis)
>            j *= a->dimensions[i];
>    }
>    *count = j;
>
>    out = (double **) malloc(*count * sizeof(double*));
>    if (out == NULL) {
>        *count = 0;
>        return NULL;
>    }
>    tmp = out;
>    switch (a->nd) {
>        /* for one dimension we just return the data pointer */
>        case 1:
>            *tmp = (double *)a->data;
>            break;
>        /* specialized for two dimensions */
>        case 2:
>            switch (axis) {
>                case 0:
>                    for (i=0; i<a->dimensions[1]; i++)
>                        *tmp++ = (double *)(a->data + i*a->strides[1]);
>                    break;
>
>                case 1:
>                    for (i=0; i<a->dimensions[0]; i++)
>                        *tmp++ = (double *)(a->data + i*a->strides[0]);
>                    break;
>            }
>            break;
>        /* specialized for three dimensions */
>        case 3:
>            switch (axis) {
>                case 0:
>                    for (i=0; i<a->dimensions[1]; i++)
>                        for (j=0; j<a->dimensions[2]; j++)
>                            *tmp++ = (double *)(a->data + i*a->strides[1] +
> j*a->strides[2]);
>                    break;
>                case 1:
>                    for (i=0; i<a->dimensions[0]; i++)
>                        for (j=0; j<a->dimensions[2]; j++)
>                            *tmp++ = (double *)(a->data + i*a->strides[0] +
> j*a->strides[2]);
>                    break;
>
>                case 2:
>                    for (i=0; i<a->dimensions[0]; i++)
>                        for (j=0; j<a->dimensions[1]; j++)
>                            *tmp++ = (double *)(a->data + i*a->strides[0] +
> j*a->strides[1]);
>
>            }
>            break;
>        /* four or more dimensions: use recursion */
>        default:
>            for (i=0; i<a->nd; i++) indices[i] = 0;
>            _get_axis_pointer(indices, axis, a, out, 0);
>
>    }
> done:
>    return out;
> }
>
>
>
> /* applies a linear filter along one dimension */
>
> static void lfilter_1d( double *restrict b, double *restrict a,
>                        double *x, double *y,
>                        double *zi,
>                        integer K, integer N)
> {
>    double Z[K];
>    double *restrict pz = zi, *restrict z = Z;
>    register integer n, k;
>
>
>    for (n=0; n<N; n++) {
>
>        register double yn, xn = x[n];
>
>        yn = y[n] = b[0] * xn + pz[0];
>
>        for (k=0; k<K-1; k++)
>            z[k] = b[k+1] * xn + pz[k+1] - a[k+1]*yn;
>
>        z[K-1] = b[K]*xn - a[K]*yn;
>
>        double *tmp = pz;
>        pz = z;
>        z = tmp;
>    }
>
>    if (pz != zi)
>        memcpy(zi, pz, K*sizeof(double));
> }
>
>
> static void rev_lfilter_1d( double *restrict b, double *restrict a,
>                            double *restrict x, double *restrict y,
>                            double *zi,
>                            integer K, integer N)
> {
>    double Z[K];
>    double *restrict pz = zi, *restrict z = Z;
>    register integer n, k;
>
>    for (n=N-1; n >= 0; n--) {
>
>        register double yn, xn = x[n];
>
>        yn = y[n] = b[0] * xn + pz[0];
>
>        for (k=0; k<K-1; k++)
>            z[k] = b[k+1]*xn + pz[k+1] - a[k+1]*yn;
>
>        z[K-1] = b[K]*xn - a[K]*yn;
>
>        double *tmp = pz;
>        pz = z;
>        z = tmp;
>    }
>
>    if (pz != zi)
>        memcpy(zi, pz, K*sizeof(double));
> }
>
>
>
> typedef void (*lfilterfun_t)(double *restrict b, double *restrict a,
>                            double *restrict x, double *restrict y,
>                            double *zi, integer K, integer N);
>
>
> int _linear_filter(ndarray *a, ndarray *b,
>                   ndarray *x, ndarray *y, ndarray *z,
>                   int axis,
>                   int direction)
> {
>    int retval = 0;
>    double *wx, *wy, *wz, *data_a, *data_b;
>    integer xcount, ycount, zcount;
>    integer xstride, ystride, zstride;
>    double *xdata, *ydata, *zdata;
>    double **x_axis_ptrs = NULL, **y_axis_ptrs = NULL, **z_axis_ptrs = NULL;
>    lfilterfun_t lfilter;
>    integer i, K, N;
>
>    /* release the GIL */
>    Py_BEGIN_ALLOW_THREADS
>
>    /* sanity check on a and b (these should never fail) */
>    if (a->nd != 1) goto error_ab;
>    if (b->nd != 1) goto error_ab;
>    if (b->dimensions[0] != a->dimensions[0]) goto error_ab;
>    data_a = (double *)a->data;
>    data_b = (double *)b->data;
>    K = a->dimensions[0] - 1;
>
>    /* sanity ckeck on x, y and z */
>    if ((x->nd != y->nd) || (y->nd != z->nd)) goto error_xyz;
>    for (int d=0; d < a->nd; d++) {
>        if (d == axis) continue;
>        if ((x->dimensions[d] != y->dimensions[d])
>            || (y->dimensions[d] != z->dimensions[d])) goto error_xyz;
>    }
>    N = x->dimensions[axis];
>
>    /* extract axis pointers */
>    x_axis_ptrs = get_axis_pointers(x, axis, &xcount);
>    y_axis_ptrs = get_axis_pointers(y, axis, &ycount);
>    z_axis_ptrs = get_axis_pointers(z, axis, &zcount);
>
>    /* sanity check */
>    if (!x_axis_ptrs) goto error_malloc;
>    if (!y_axis_ptrs) goto error_malloc;
>    if (!z_axis_ptrs) goto error_malloc;
>    if ((xcount != ycount)||(ycount != zcount)) goto error_xyz;
>
>    /* all ok, we can start ... */
>
>    lfilter = direction < 0 ? rev_lfilter_1d : lfilter_1d;
>
>    xstride = x->strides[axis];
>    ystride = y->strides[axis];
>    zstride = z->strides[axis];
>
>
>    #pragma omp parallel \
>        firstprivate(lfilter, N, K, xcount, x_axis_ptrs, y_axis_ptrs,
> z_axis_ptrs, \
>            xstride, ystride, zstride, data_b, data_a)  \
>        private(i, xdata, ydata, zdata, wx, wy, wz) \
>        shared(retval) \
>        default(none)
>    {
>        if ((xstride==sizeof(double))
>             && (ystride==sizeof(double))
>             && (xstride==sizeof(double)))
>        {
>
>            #pragma omp for schedule(static)
>            for (i=0; i < xcount; i++) {
>                xdata = x_axis_ptrs[i];
>                ydata = y_axis_ptrs[i];
>                zdata = z_axis_ptrs[i];
>                /* strictly speaking we could be aliasing
>                   xdata and ydata here, but it should not matter. */
>                lfilter(data_b, data_a, xdata, ydata, zdata, K, N);
>            }
>
>        } else {
>
>            /* axis is strided, use copy-in copy-out */
>
>            wx = (double *)malloc((2*N+K)*sizeof(double));
>            if (!wx) {
>                #pragma omp critical
>                retval = -1; /* error_malloc */
>            }
>            #pragma omp barrier
>            #pragma omp flush(retval)
>            if (retval < 0)
>                /* malloc failed in some thread */
>                goto filtering_complete;
>            wy = wx + N;
>            wz = wy + N;
>
>            #pragma omp for schedule(static)
>            for (i=0; i < xcount; i++) {
>
>                /* get pointe to the first element of the axis */
>                xdata = x_axis_ptrs[i];
>                ydata = y_axis_ptrs[i];
>                zdata = z_axis_ptrs[i];
>
>                /* copy to local contiguous buffers */
>                copy_in(wx, xdata, N, xstride);
>                copy_in(wz, zdata, K, zstride);
>
>                /* filter */
>                lfilter(data_b, data_a, wx, wy, wz, K, N);
>
>                /* copy data back */
>                copy_out(ydata, wy, N, ystride);
>                copy_out(zdata, wz, K, zstride);
>
>            }
> filtering_complete:
>            if (wx) free(wx);
>        }
>    }
>    /* we are done... */
>    goto done;
>
> /* error conditions */
> error_ab:
>    retval = -3;
>    goto done;
> error_xyz:
>    retval = -2;
>    goto done;
> error_malloc:
>    retval = -1;
>
> /* clean up and exit */
> done:
>
>    if (x_axis_ptrs) free(x_axis_ptrs);
>    if (y_axis_ptrs) free(y_axis_ptrs);
>    if (z_axis_ptrs) free(z_axis_ptrs);
>
>    /* get the GIL back and return */
>    Py_END_ALLOW_THREADS
>
>    return retval;
> }
>
>
>
>
> _______________________________________________
> Scipy-dev mailing list
> Scipy-dev@scipy.org
> http://mail.scipy.org/mailman/listinfo/scipy-dev
>
>
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