Inconsistent performance between logpdf and logpdf! for MvNormal. #1775
Comments
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That's extremely weird. Do you know what's causing the performance difference? |
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It's interesting to note that this difference does not exist if using LinearAlgebra, Random, Distributions, BenchmarkTools, Test
samples = [randn(5) for _ in 1:1000]
dist = MvNormal(zeros(5), I)
function mod_logpdf(dist, samples)
out = Array{Float64}(undef, len(samples))
logpdf!(out, dist, samples)
endjulia> @btime logpdf($dist, $samples);
89.132 μs (1001 allocations: 101.69 KiB)
julia> @btime mod_logpdf($dist, $samples);
88.147 μs (1001 allocations: 101.69 KiB)So solely for the case where
function _logpdf!(r::AbstractArray{<:Real}, d::AbstractMvNormal, x::AbstractMatrix{<:Real})
sqmahal!(r, d, x)
c0 = mvnormal_c0(d)
for i = 1:size(x, 2)
@inbounds r[i] = c0 - r[i]/2
end
r
endI'm guessing this function is the cause of this discrepancy, although why this is faster than the other methods, I do not know. |
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Could you run a profiler on this? You w should then see where it is spending the additional time. |
For
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Hmm, do you have a flamegraph? |
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I'm assuming the generated images are what you asked for (I'm currently working on my first project in Julia, so there's a lot to learn). logpdf
mod_logpdf
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Ahh, I was suggesting you might want to look at the flamegraphs to see which lines specifically are the ones slowing down Where is it spending most of its time? |
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Sorry, my bad XD. This is the profile view plot for
Most of the time seems to be taken up by |
The factorization is only computed once upfront when you construct an |
Yep, that would be it. It's creating way more arrays. Could you make a PR to fix this? |
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Yes I can. But just a question, is it problematic if |
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No, ideally we would not mix both paths, also eg for better compatibility with static arrays. Even though probably currently many methods don't work (in an optimized way) with static arrays. |
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Another reason is that generally it is quite challenging and brittle when one starts to come up with heuristics for the output type. |
Sorry, I don't understand whether you meant it's not a problem for |
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I meant that generally |
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Ok, thanks for the clarification. Then I'm afraid I don't know a solution to this. |
Quick question, is |
Problem
Consider the following minimal example.
logpdfis around 7x slower thanmod_logpdf, even though they both do exactly the same thing.Possible solution
Add a method
that does something like
mod_logpdf.The text was updated successfully, but these errors were encountered: