Numeric function for log of sum in Python - python

Given log(a) and log(b), I want to compute log(a+b) (in a numerically stable way).
I wrote a little function for this:
def log_add(logA,logB):
if logA == log(0):
return logB
if logA<logB:
return log_add(logB,logA)
return log( 1 + math.exp(logB-logA) ) + logA
I wrote a program where this is by far the most time-consuming piece of code. Obviously I could try to optimize it (eliminate the recursive call, for instance).
Do you know of a standard math or numpy function for computing log(a+b) from log(a) and log(b)?
If not, do you know of a simple way to make a single C++ hook for this function? It's not a complicated function (it uses floats), and as I said, it's taking up the majority of my runtime.
Thanks in advance, numerical methods ninja!

Note: Best answer until now is to simply use numpy.logaddexp(logA,logB).
Why exactly do you compare with log(0)? This is equal to -numpy.inf, in this case you come to log(1 + math.exp(-inf-logB) ) + logB Which reduces itself to logB. This call always will give an warning message which is extremely slow.
I could come up with this one-liner. However you'll need to really measure to see if this is actually faster. It does only use one 'complex' calculation function instead of the two that you use, and no recursion is happening, the if is still there but hidden (and maybe optimized) in fabs/maximum.
def log_add(logA,logB):
return numpy.logaddexp(0,-numpy.fabs(logB-logA)) + numpy.maximum(logA,logB)
edit:
I did a quick timeit() with following results :
Your original version took about 120s
My version took about 30s
I removed the compare with log(0) from your version and it came down to 20s
I edited my code to keep the logaddexp but also worked with your recursive if and it went down to 18s.
Updated code, you could also switch the recursive call with an inline updated formula but this made little difference in my timing tests:
def log_add2(logA, logB):
if logA < logB:
return log_add2(logB, logA)
return numpy.logaddexp(0,logB-logA)+logA
Edit 2:
As pv noted in comments, you could actually just do numpy.logaddexp(logA, logB) which comes down to calculating log(exp(logA)+exp(logB)) which is of course equal to log(A+B). I timed it (on the same machine as above) and it went further down to about 10s. So we've come down to about 1/12, not bad ;).

def log_add(logA, logB):
return math.log(math.exp(logA) + math.exp(logB))
is too slow? or inaccurate?

Related

Running something in a method takes much more depending on the data types

Introduction
Today I found a weird behaviour in python while running some experiments with exponentiation and I was wondering if someone here knows what's happening. In my experiments, I was trying to check what is faster in python int**int or float**float. To check that I run some small snippets, and I found a really weird behaviour.
Weird results
My first approach was just to write some for loops and prints to check which one is faster. The snipper I used is this one
import time
# Run powers outside a method
ti = time.time()
for i in range(EXPERIMENTS):
x = 2**2
tf = time.time()
print(f"int**int took {tf-ti:.5f} seconds")
ti = time.time()
for i in range(EXPERIMENTS):
x = 2.**2.
tf = time.time()
print(f"float**float took {tf-ti:.5f} seconds")
After running it I got
int**int took 0.03004
float**float took 0.03070 seconds
Cool, it seems that data types do not affect the execution time. However, since I try to be a clean coder I refactored the repeated logic in a function power_time
import time
# Run powers in a method
def power_time(base, exponent):
ti = time.time()
for i in range(EXPERIMENTS):
x = base ** exponent
tf = time.time()
return tf-ti
print(f"int**int took {power_time(2, 2):.5f} seconds")
print(f"float**float took {power_time(2., 2.):5f} seconds")
And what a surprise of mine when I got these results
int**int took 0.20140 seconds
float**float took 0.05051 seconds
The refactor didn't affect a lot the float case, but it multiplied by ~7 the time required for the int case.
Conclusions and questions
Apparently, running something in a method can slow down your process depending on your data types, and that's really weird to me.
Also, if I run the same experiments but change ** by * or + the weird results disappear, and all the approaches give more or less the same results
Does someone know why is this happening? Am I missing something?
Apparently, running something in a method can slow down your process depending on your data types, and that's really weird to me.
It would be really weird if it was not like this! You can write your class that has it's own ** operator (through implementing the __pow__(self, other) method), and you could, for example, sleep 1s in there. Why should that take as long as taking a float to the power of another?
So, yeah, Python is a dynamically typed language. So, the operations done on data depend on the type of that data, and things can generally take different times.
In your first example, the difference never arises, because a) most probably the values get cached, because right after parsing it's clear that 2**2 is a constant and does not need to get evaluated every loop. Even if that's not the case, b) the time it costs to run a loop in python is hundreds of times that it takes to actually execute the math here – again, dynamically typed, dynamically named.
base**exponent is a whole different story. None about this is constant. So, there's actually going to be a calculation every iteration.
Now, the ** operator (__rpow__ in the Python data model) for Python's built-in float type is specified to do the float exponent (which is something implemented in highly optimized C and assembler), as exponentiation can elegantly be done on floating point numbers. Look for nb_power in cpython's floatobject.c. So, for the float case, the actual calculation is "free" for all that matters, again, because your loop is limited by how much effort it is to resolve all the names, types and functions to call in your loop. Not by doing the actual math, which is trivial.
The ** operator on Python's built-in int type is not as neatly optimized. It's a lot more complicated – it needs to do checks like "if the exponent is negative, return a float," and it does not do elementary math that your computer can do with a simple instruction, it handles arbitrary-length integers (remember, a python integer has as many bytes as it needs. You can save numbers that are larger than 64 bit in a Python integer!), which comes with allocation and deallocations. (I encourage you to read long_pow in CPython's longobject.c; it has 200 lines.)
All in all, integer exponentiation is expensive in python, because of python's type system.

Scipy minimize iterating past bounds

I am trying to minimize a function of 3 input variables using scipy. The function reads like so-
def myfunc(x):
x[0] = a
x[1] = b
x[2] = c
n = f(a,b,c)
return n
bound1 = (80,100)
bound2 = (10,20)
bound3 = (312,740)
guess = [a0,b0,c0]
bds = (bound1,bound2,bound3)
result = minimize(myfunc, guess,method='L-BFGS-B',bounds=bds)
The function I am trying to currently run reaches a minimum at a=100,b=10,c=740, which is at the end of the bounds.
The minimize function keeps trying to iterate past the end of bound 3 (gets to c0 value of 740.0000000149012 on its last iteration.
Is there any way to stop this from happening? i.e. stop the iteration at the actual end of my bound?
This happens due to numerical-differentiation, which itself is not only needed to infer the step-direction and size, but also to reason about termination.
In general you can't do much without being very careful in regards to whatever solver (and there are many backend-solvers) being used. The basic idea is to replace the automatic numerical-differentiation with one provided by you: this one then respects those bounds and must be careful about the solvers-internals, e.g. "how to reason about termination at this end".
Fix A:
Your problem should vanish automatically when using: Pull-request #10673, which touches your configuration: L-BFGS-B.
It seems, this PR is not part of the current release SciPy 1.4.1 (as this was 2 months before the PR).
See also #6026, where a milestone of 1.5.0 is mentioned in regards to some changes including respecting bounds in num-diff.
For above PR, you will need to install scipy from the sources, which is:
quite doable on linux (and maybe os x)
not something you should try on windows!
trust me...
See the documentation if needed.
Fix B:
Apart from that, as you are doing unconstrained-optimization (with variable-bounds) where more solver-backends are available (compared to constrained-optimization), you might try another solver, trust-constr, which has explicit support for this, see #9098.
Be careful to recognize, that you need to signal this explicitly when setting up the bounds!

How does scipy.integrate.ode.integrate() work?

I have obviously read through the documentation, but I have not been able to find a more detailed description of what is happening under the covers. Specifically, there are a few behaviors that I am very confused about:
General setup
import numpy as np
from scipy.integrate import ode
#Constants in ODE
N = 30
K = 0.5
w = np.random.normal(np.pi, 0.1, N)
#Integration parameters
y0 = np.linspace(0, 2*np.pi, N, endpoint=False)
t0 = 0
#Set up the solver
solver = ode(lambda t,y: w + K/N*np.sum( np.sin( y - y.reshape(N,1) ), axis=1))
solver.set_integrator('vode', method='bdf')
solver.set_initial_value(y0, t0)
Problem 1: solver.integrate(t0) fails
Setting up the integrator, and asking for the value at t0 the first time returns a successful integration. Repeating this returns the correct number, but the solver.successful() method returns false:
solver.integrate(t0)
>>> array([ 0. , 0.20943951, 0.41887902, ..., 5.65486678,
5.86430629, 6.0737458 ])
solver.successful()
>>> True
solver.integrate(t0)
>>> array([ 0. , 0.20943951, 0.41887902, ..., 5.65486678,
5.86430629, 6.0737458 ])
solver.successful()
>>> False
My question is, what is happening in the solver.integrate(t) method that causes it to succeed the first time, and fail subsequently, and what does it mean to have an “unsuccessful” integration? Furthermore, why does the integrator fail silently, and continue to produce useful-looking outputs until I ask it explicitly whether it was successful?
Related, is there a way to reset the failed integration, or do I need to re-instantiate the solver from scratch?
Problem 2: solver.integrate(t) immediately returns an answer for almost any value of t
Even though my initial value of y0 is given at t0=0, I can request the value at t=10000 and get the answer immediately. I would expect that the numerical integration over such a large time span should take at least a few seconds (e.g. in Matlab, asking to integrate over 10000 time steps would take several minutes).
For example, re-run the setup from above and execute:
solver.integrate(10000)
>>> array([ 2153.90803383, 2153.63023706, 2153.60964064, ..., 2160.00982959,
2159.90446056, 2159.82900895])
Is Python really that fast, or is this output total nonsense?
Problem 0
Don’t ignore error messages. Yes, ode’s error messages can be cryptic at times, but you still want to avoid them.
Problem 1
As you already integrated up to t0 with the first call of solver.integrate(t0), you are integrating for a time step of 0 with the second call. This throws the cryptic error:
DVODE-- ISTATE (=I1) .gt. 1 but DVODE not initialized
In above message, I1 = 2
/usr/lib/python3/dist-packages/scipy/integrate/_ode.py:869: UserWarning: vode: Illegal input detected. (See printed message.)
'Unexpected istate=%s' % istate))
Problem 2.1
There is a maximum number of (internal) steps that a solver is going to take in one call without throwing an error. This can be set with the nsteps argument of set_integrator. If you integrate a large time at once, nsteps will be exceeded even if nothing is wrong, and the following error message is thrown:
/usr/lib/python3/dist-packages/scipy/integrate/_ode.py:869: UserWarning: vode: Excess work done on this call. (Perhaps wrong MF.)
'Unexpected istate=%s' % istate))
The integrator then stops at whenever this happens.
Problem 2.2
If you set nsteps=10**10, the integration runs without problems. It still is pretty fast though (roughly 1 s on my machine). The reason for this is as follows:
For a multi-dimensional system such as yours, there are two main runtime sinks when integrating:
Vector and matrix operations within the integrator. In scipy.ode, these are all realised with NumPy operations or ported Fortran or C code. Anyway, they are realised with compiled code without Python overhead and thus very efficient.
Evaluating the derivative (lambda t,y: w + K/N*np.sum( np.sin( y - y.reshape(N,1) ), axis=1) in your case). You realised this with NumPy operations, which again are realised with compiled code and very efficient. You may improve this a little bit with a purely compiled function, but that will grant you at most a small factor. If you used Python lists and loops instead, it would be horribly slow.
Therefore, for your problem, everything relevant is handled with compiled code under the hood and the integration is handled with an efficiency comparable to that of, e.g., a pure C program. I do not know how the two above aspects are handled in Matlab, but if either of the above challenges is handled with interpreted instead of compiled loops, this would explain the runtime discrepancy you observe.
To the second question, yes, the output might be nonsense. Local errors, be they from discretization or floating point operations, accumulate with a compounding factor which is about the Lipschitz constant of the ODE function. In a first estimate, the Lipschitz constant here is K=0.5. The magnification rate of early errors, that is, their coefficient as part of the global error, can thus be as large as exp(0.5*10000), which is a huge number.
On the other hand it is not surprising that the integration is fast. Most of the provided methods use step size adaptation, and with the standard error tolerances this might result in only some tens of internal steps. Reducing the error tolerances will increase the number of internal steps and may change the numerical result drastically.

ComputeBandStats extremely slow

When I try to use ComputeBandStats it takes extremely long time to finish. Is there any way to speed up the process?
Here is my code:
inIMG = gdal.Open(infile)
bandas = [inIMG.GetRasterBand(b+1) for b in range(3)]
print('hej1')
meanSD = [b.ComputeBandStats(1) for b in bandas]
print('hej2')
It prints out "hej1" pretty fast, but it only writes "hej2" after several hours. Therefore it seems that ComputeBandStats is the problem.
I tried it with no parameter (has worked at an earlier date) and with 1, but it doesn't seem to make any difference.
(I am using python 2.7 and gdal 1.11.3)
I found out that ComputeStatistics is much faster than ComputeBandStats, so I'm using it instead. I don't know exactly what the difference is, but aside from the speed advantage, ComputeStatistics also ignores no-data values, which turned out to be a problem for ComputeBandStats. It also calculates min, max, mean and std, which I all needed anyways.
This is the change I made:
inIMG = gdal.Open(infile)
bandas = [inIMG.GetRasterBand(b+1) for b in range(3)]
print('hej1')
stats = [b.ComputeStatistics(False) for b in bandas]
print('hej2')

Can Go really be that much faster than Python?

I think I may have implemented this incorrectly because the results do not make sense. I have a Go program that counts to 1000000000:
package main
import (
"fmt"
)
func main() {
for i := 0; i < 1000000000; i++ {}
fmt.Println("Done")
}
It finishes in less than a second. On the other hand I have a Python script:
x = 0
while x < 1000000000:
x+=1
print 'Done'
It finishes in a few minutes.
Why is the Go version so much faster? Are they both counting up to 1000000000 or am I missing something?
One billion is not a very big number. Any reasonably modern machine should be able to do this in a few seconds at most, if it's able to do the work with native types. I verified this by writing an equivalent C program, reading the assembly to make sure that it actually was doing addition, and timing it (it completes in about 1.8 seconds on my machine).
Python, however, doesn't have a concept of natively typed variables (or meaningful type annotations at all), so it has to do hundreds of times as much work in this case. In short, the answer to your headline question is "yes". Go really can be that much faster than Python, even without any kind of compiler trickery like optimizing away a side-effect-free loop.
pypy actually does an impressive job of speeding up this loop
def main():
x = 0
while x < 1000000000:
x+=1
if __name__ == "__main__":
s=time.time()
main()
print time.time() - s
$ python count.py
44.221405983
$ pypy count.py
1.03511095047
~97% speedup!
Clarification for 3 people who didn't "get it". The Python language itself isn't slow. The CPython implementation is a relatively straight forward way of running the code. Pypy is another implementation of the language that does many tricky (especiallt the JIT) things that can make enormous differences. Directly answering the question in the title - Go isn't "that much" faster than Python, Go is that much faster than CPython.
Having said that, the code samples aren't really doing the same thing. Python needs to instantiate 1000000000 of its int objects. Go is just incrementing one memory location.
This scenario will highly favor decent natively-compiled statically-typed languages. Natively compiled statically-typed languages are capable of emitting a very trivial loop of say, 4-6 CPU opcodes that utilizes simple check-condition for termination. This loop has effectively zero branch prediction misses and can be effectively thought of as performing an increment every CPU cycle (this isn't entirely true, but..)
Python implementations have to do significantly more work, primarily due to the dynamic typing. Python must make several different calls (internal and external) just to add two ints together. In Python it must call __add__ (it is effectively i = i.__add__(1), but this syntax will only work in Python 3.x), which in turn has to check the type of the value passed (to make sure it is an int), then it adds the integer values (extracting them from both of the objects), and then the new integer value is wrapped up again in a new object. Finally it re-assigns the new object to the local variable. That's significantly more work than a single opcode to increment, and doesn't even address the loop itself - by comparison, the Go/native version is likely only incrementing a register by side-effect.
Java will fair much better in a trivial benchmark like this and will likely be fairly close to Go; the JIT and static-typing of the counter variable can ensure this (it uses a special integer add JVM instruction). Once again, Python has no such advantage. Now, there are some implementations like PyPy/RPython, which run a static-typing phase and should fare much better than CPython here ..
You've got two things at work here. The first of which is that Go is compiled to machine code and run directly on the CPU while Python is compiled to bytecode run against a (particularly slow) VM.
The second, and more significant, thing impacting performance is that the semantics of the two programs are actually significantly different. The Go version makes a "box" called "x" that holds a number and increments that by 1 on each pass through the program. The Python version actually has to create a new "box" (int object) on each cycle (and, eventually, has to throw them away). We can demonstrate this by modifying your programs slightly:
package main
import (
"fmt"
)
func main() {
for i := 0; i < 10; i++ {
fmt.Printf("%d %p\n", i, &i)
}
}
...and:
x = 0;
while x < 10:
x += 1
print x, id(x)
This is because Go, due to it's C roots, takes a variable name to refer to a place, where Python takes variable names to refer to things. Since an integer is considered a unique, immutable entity in python, we must constantly make new ones. Python should be slower than Go but you've picked a worst-case scenario - in the Benchmarks Game, we see go being, on average, about 25x times faster (100x in the worst case).
You've probably read that, if your Python programs are too slow, you can speed them up by moving things into C. Fortunately, in this case, somebody's already done this for you. If you rewrite your empty loop to use xrange() like so:
for x in xrange(1000000000):
pass
print "Done."
...you'll see it run about twice as fast. If you find loop counters to actually be a major bottleneck in your program, it might be time to investigate a new way of solving the problem.
#troq
I'm a little late to the party but I'd say the answer is yes and no. As #gnibbler pointed out, CPython is slower in the simple implementation but pypy is jit compiled for much faster code when you need it.
If you're doing numeric processing with CPython most will do it with numpy resulting in fast operations on arrays and matrices. Recently I've been doing a lot with numba which allows you to add a simple wrapper to your code. For this one I just added #njit to a function incALot() which runs your code above.
On my machine CPython takes 61 seconds, but with the numba wrapper it takes 7.2 microseconds which will be similar to C and maybe faster than Go. Thats an 8 million times speedup.
So, in Python, if things with numbers seem a bit slow, there are tools to address it - and you still get Python's programmer productivity and the REPL.
def incALot(y):
x = 0
while x < y:
x += 1
#njit('i8(i8)')
def nbIncALot(y):
x = 0
while x < y:
x += 1
return x
size = 1000000000
start = time.time()
incALot(size)
t1 = time.time() - start
start = time.time()
x = nbIncALot(size)
t2 = time.time() - start
print('CPython3 takes %.3fs, Numba takes %.9fs' %(t1, t2))
print('Speedup is: %.1f' % (t1/t2))
print('Just Checking:', x)
CPython3 takes 58.958s, Numba takes 0.000007153s
Speedup is: 8242982.2
Just Checking: 1000000000
Problem is Python is interpreted, GO isn't so there's no real way to bench test speeds. Interpreted languages usually (not always have a vm component) that's where the problem lies, any test you run is being run in interpreted bounds not actual runtime bounds. Go is slightly slower than C in terms of speed and that is mostly due to it using garbage collection instead of manual memory management. That said GO compared to Python is fast because its a compiled language, the only thing lacking in GO is bug testing I stand corrected if I'm wrong.
It is possible that the compiler realized that you didn't use the "i" variable after the loop, so it optimized the final code by removing the loop.
Even if you used it afterwards, the compiler is probably smart enough to substitute the loop with
i = 1000000000;
Hope this helps =)
I'm not familiar with go, but I'd guess that go version ignores the loop since the body of the loop does nothing. On the other hand, in the python version, you are incrementing x in the body of the loop so it's probably actually executing the loop.

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