[SciPy-User] fast small matrix multiplication with cython?
Charles R Harris
charlesr.harris@gmail....
Tue Dec 7 10:53:23 CST 2010
On Tue, Dec 7, 2010 at 9:47 AM, Skipper Seabold <jsseabold@gmail.com> wrote:
> On Tue, Dec 7, 2010 at 9:54 AM, Charles R Harris
> <charlesr.harris@gmail.com> wrote:
> >
> >
> > On Mon, Dec 6, 2010 at 11:56 PM, Fernando Perez <fperez.net@gmail.com>
> > wrote:
> >>
> >> Hi Skipper,
> >>
> >> On Mon, Dec 6, 2010 at 2:34 PM, Skipper Seabold <jsseabold@gmail.com>
> >> wrote:
> >> > I'm wondering if anyone might have a look at my cython code that does
> >> > matrix multiplication and see where I can speed it up or offer some
> >> > pointers/reading. I'm new to Cython and my knowledge of C is pretty
> >> > basic based on trial and (mostly) error, so I am sure the code is
> >> > still very naive.
> >>
> >> a few years ago I had a similar problem, and I ended up getting a very
> >> significant speedup by hand-coding a very unsafe, but very fast pure C
> >> extension just to compute these inner products. This was basically a
> >> replacement for dot() that would only work with double precision
> >> inputs of compatible dimensions and would happily segfault with
> >> anything else, but it ran very fast. The inner loop is implemented
> >> completely naively, but it still beats calls to BLAS (even linked with
> >> ATLAS) for small matrix dimensions (my case was also up to ~ 15x15).
> >>
> >> I'm attaching the code in case you find it useful, please keep in mind
> >> I haven't compiled it in years, so it may have bit-rotted a little.
> >>
> >
> > Blas adds quite a bit of overhead for multiplying small matrices, but so
> > does calling from python. For implementing Kalman filters it might be
> better
> > to write a whole Kalman class so that operations can be combined at the c
> > level.
> >
> > Skipper, what kind of Kalman filter are you trying to implement?
> >
>
> It's just a linear Gaussian filter. I use it to get the loglikelihood
> of a univariate ARMA series with exact initial conditions. As it
> stands it is fairly inflexible, but if I can make it fast I would like
> to generalize it.
>
> There is a fair amount of scratch work in here, and some attempts at
> generalized state space models, but all the action for my purposes is
> in KalmanFilter.loglike
>
>
> http://bazaar.launchpad.net/~jsseabold/statsmodels/statsmodels-skipper/annotate/head%3A/scikits/statsmodels/tsa/kalmanf/kalmanf.py#L505<http://bazaar.launchpad.net/%7Ejsseabold/statsmodels/statsmodels-skipper/annotate/head%3A/scikits/statsmodels/tsa/kalmanf/kalmanf.py#L505>
>
> It's not terribly slow, but I have to maximize the likelihood using
> numerical derivatives, so it's getting called quite a few times. A
> 1000 observation ARMA(2,2) series takes about 5-6 seconds on my
> machine with fmin_l_bfgs_b.
>
>
Just a guess here, but the numerical derivative bit makes it sounds like you
are implementing a generalized Kalman filter. Have you looked at unscented
Kalman filters?
Chuck
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