inline and type_stablity improvements

m-wells · May 16, 2019 · 64fc826 · 64fc826
1 parent ae39071
commit 64fc826
Show file tree

Hide file tree

Showing 11 changed files with 871 additions and 193 deletions.
diff --git a/Project.toml b/Project.toml
@@ -2,7 +2,7 @@ name = "InterpolatedRejectionSampling"
 uuid = "9608d442-472c-11e9-3e14-5b72dbacd115"
 desc = "Fast (multivariate) rejection sampling of discrete PDFs using Interpolation.jl"
 authors = ["m-wells"]
-version = "1.0.1"
+version = "1.0.2"
 
 [deps]
 Interpolations = "a98d9a8b-a2ab-59e6-89dd-64a1c18fca59"

diff --git a/README.md b/README.md
@@ -89,15 +89,15 @@ end
 ```
 ```
 BenchmarkTools.Trial: 
-  memory estimate:  29.86 MiB
-  allocs estimate:  600029
+  memory estimate:  12.33 MiB
+  allocs estimate:  200013
   --------------
-  minimum time:     43.686 ms (4.48% GC)
-  median time:      46.023 ms (4.69% GC)
-  mean time:        48.114 ms (7.55% GC)
-  maximum time:     112.981 ms (51.23% GC)
+  minimum time:     5.003 ms (0.00% GC)
+  median time:      8.635 ms (26.59% GC)
+  mean time:        8.392 ms (21.52% GC)
+  maximum time:     78.848 ms (88.96% GC)
   --------------
-  samples:          104
+  samples:          595
   evals/sample:     1
 ```
 ```julia
@@ -106,15 +106,15 @@ using BenchmarkTools
 ```
 ```
 BenchmarkTools.Trial: 
-  memory estimate:  37.66 MiB
-  allocs estimate:  735487
+  memory estimate:  43.60 MiB
+  allocs estimate:  1470663
   --------------
-  minimum time:     27.273 ms (6.16% GC)
-  median time:      29.676 ms (11.63% GC)
-  mean time:        31.125 ms (11.67% GC)
-  maximum time:     100.308 ms (62.43% GC)
+  minimum time:     37.705 ms (13.28% GC)
+  median time:      50.029 ms (13.58% GC)
+  mean time:        51.103 ms (15.15% GC)
+  maximum time:     144.499 ms (57.30% GC)
   --------------
-  samples:          161
+  samples:          98
   evals/sample:     1
 ```
 ```julia
@@ -123,14 +123,14 @@ using BenchmarkTools
 ```
 ```
 BenchmarkTools.Trial: 
-  memory estimate:  7.19 MiB
-  allocs estimate:  143
+  memory estimate:  7.71 MiB
+  allocs estimate:  355344
   --------------
-  minimum time:     6.809 ms (0.00% GC)
-  median time:      7.327 ms (0.00% GC)
-  mean time:        7.811 ms (5.67% GC)
-  maximum time:     76.786 ms (87.52% GC)
+  minimum time:     10.348 ms (0.00% GC)
+  median time:      13.885 ms (0.00% GC)
+  mean time:        14.703 ms (8.48% GC)
+  maximum time:     92.105 ms (83.98% GC)
   --------------
-  samples:          640
+  samples:          340
   evals/sample:     1
 ```
diff --git a/docs/README.ipynb b/docs/README.ipynb
diff --git a/docs/README.md b/docs/README.md
@@ -0,0 +1,274 @@
+
+
+```julia
+import Pkg
+Pkg.activate("../.")
+```
+
+
+
+
+    "/home/mark/devel/InterpolatedRejectionSampling/Project.toml"
+
+
+
+
+```julia
+X = range(0, π, length=10)
+Y = range(0, π/4, length=9)
+knots = (X,Y)
+prob = [sin(x)+tan(y) for x in X, y in Y]
+```
+
+
+
+
+    10×9 Array{Float64,2}:
+     0.0          0.0984914  0.198912  0.303347  …  0.668179  0.820679  1.0    
+     0.34202      0.440512   0.540933  0.645367     1.0102    1.1627    1.34202
+     0.642788     0.741279   0.8417    0.946134     1.31097   1.46347   1.64279
+     0.866025     0.964517   1.06494   1.16937      1.5342    1.6867    1.86603
+     0.984808     1.0833     1.18372   1.28815      1.65299   1.80549   1.98481
+     0.984808     1.0833     1.18372   1.28815   …  1.65299   1.80549   1.98481
+     0.866025     0.964517   1.06494   1.16937      1.5342    1.6867    1.86603
+     0.642788     0.741279   0.8417    0.946134     1.31097   1.46347   1.64279
+     0.34202      0.440512   0.540933  0.645367     1.0102    1.1627    1.34202
+     1.22465e-16  0.0984914  0.198912  0.303347     0.668179  0.820679  1.0    
+
+
+
+
+```julia
+using PyPlot
+imshow(transpose(prob);
+       extent = (knots[1][1], knots[1][end], knots[2][1], knots[2][end]),
+       aspect = "auto",
+       origin = "lower")
+ax = gca()
+ax.set_xlabel("x-axis [sin(x)]")
+ax.set_ylabel("y-axis [tan(y)]")
+;
+```
+
+
+![png](output_2_0.png)
+
+
+
+```julia
+using InterpolatedRejectionSampling
+n = 100_000
+xy = irsample(knots,prob,n)
+hist2D(xy[1,:],xy[2,:],
+       bins=[X,Y])
+ax = gca()
+ax.set_xlabel("x-axis [sin(x)]")
+ax.set_ylabel("y-axis [tan(y)]")
+;
+```
+
+
+![png](output_3_0.png)
+
+
+## throw away every other x or y
+
+
+```julia
+xy = convert(Matrix{Union{Missing,Float64}}, xy)
+for i = 1:n
+    if iseven(i)
+        xy[1,i] = missing
+    else
+        xy[2,i] = missing
+    end
+end
+irsample!(xy,knots,prob)
+hist2D(xy[1,:],xy[2,:],
+       bins=[X,Y])
+ax = gca()
+ax.set_xlabel("x-axis [sin(x)]")
+ax.set_ylabel("y-axis [tan(y)]")
+;
+```
+
+
+![png](output_5_0.png)
+
+
+## Benchmarking
+
+
+```julia
+using BenchmarkTools
+for i = 1:n
+    if iseven(i)
+        xy[1,i] = missing
+    else
+        xy[2,i] = missing
+    end
+end
+@benchmark irsample!(xy,knots,prob)
+```
+
+
+
+
+    BenchmarkTools.Trial: 
+      memory estimate:  12.33 MiB
+      allocs estimate:  200013
+      --------------
+      minimum time:     5.003 ms (0.00% GC)
+      median time:      8.635 ms (26.59% GC)
+      mean time:        8.392 ms (21.52% GC)
+      maximum time:     78.848 ms (88.96% GC)
+      --------------
+      samples:          595
+      evals/sample:     1
+
+
+
+
+```julia
+using BenchmarkTools
+@benchmark irsample(knots,prob,n)
+```
+
+
+
+
+    BenchmarkTools.Trial: 
+      memory estimate:  43.60 MiB
+      allocs estimate:  1470663
+      --------------
+      minimum time:     37.705 ms (13.28% GC)
+      median time:      50.029 ms (13.58% GC)
+      mean time:        51.103 ms (15.15% GC)
+      maximum time:     144.499 ms (57.30% GC)
+      --------------
+      samples:          98
+      evals/sample:     1
+
+
+
+
+```julia
+using BenchmarkTools
+@benchmark irsample(X,sin.(X),n)
+```
+
+
+
+
+    BenchmarkTools.Trial: 
+      memory estimate:  7.71 MiB
+      allocs estimate:  355344
+      --------------
+      minimum time:     10.348 ms (0.00% GC)
+      median time:      13.885 ms (0.00% GC)
+      mean time:        14.703 ms (8.48% GC)
+      maximum time:     92.105 ms (83.98% GC)
+      --------------
+      samples:          340
+      evals/sample:     1
+
+
+
+# A more aggresive example
+
+
+```julia
+X = range(0, 5, length=10)
+Y = range(0, 5, length=9)
+knots = (X,Y)
+prob = [exp10(x)*exp(y) for x in X, y in Y]
+prob ./= maximum(prob)
+```
+
+
+
+
+    10×9 Array{Float64,2}:
+     6.73795e-8   1.25881e-7   2.35177e-7   …  5.35261e-6   1.0e-5     
+     2.42149e-7   4.52394e-7   8.45184e-7      1.92363e-5   3.59381e-5 
+     8.70239e-7   1.62582e-6   3.03743e-6      6.91317e-5   0.000129155
+     3.12748e-6   5.8429e-6    1.0916e-5       0.000248446  0.000464159
+     1.12396e-5   2.09983e-5   3.923e-5        0.00089287   0.0016681  
+     4.03929e-5   7.54639e-5   0.000140985  …  0.00320881   0.00599484 
+     0.000145165  0.000271203  0.000506674     0.0115319    0.0215443  
+     0.000521695  0.000974654  0.00182089      0.0414433    0.0774264  
+     0.00187487   0.00350273   0.00654395      0.14894      0.278256   
+     0.00673795   0.0125881    0.0235177       0.535261     1.0        
+
+
+
+
+```julia
+using PyPlot
+imshow(transpose(prob);
+       extent = (knots[1][1], knots[1][end], knots[2][1], knots[2][end]),
+       aspect = "auto",
+       origin = "lower")
+ax = gca()
+ax.set_xlabel("x-axis [exp10(x)]")
+ax.set_ylabel("y-axis [exp(y)]")
+;
+```
+
+
+![png](output_12_0.png)
+
+
+
+```julia
+xy = Matrix{Union{Missing,Float64}}(missing,2,100_000)
+irsample!(xy,knots,prob)
+
+hist2D(xy[1,:],xy[2,:], bins=[X,Y])
+
+ax = gca()
+ax.set_xlabel("x-axis [exp10(x)]")
+ax.set_ylabel("y-axis [exp(y)]")
+```
+
+
+![png](output_13_0.png)
+
+
+
+
+
+    PyObject Text(24.000000000000007, 0.5, 'y-axis [exp(y)]')
+
+
+
+
+```julia
+xy = Matrix{Union{Missing,Float64}}(missing,2,1000)
+prob = [exp10(x)*exp(y) for x in X, y in Y]
+prob ./= maximum(prob)
+irsample!(xy,knots,prob)
+@benchmark irsample!(xy,knots,prob)
+```
+
+
+
+
+    BenchmarkTools.Trial: 
+      memory estimate:  131.70 KiB
+      allocs estimate:  2011
+      --------------
+      minimum time:     52.181 μs (0.00% GC)
+      median time:      64.942 μs (0.00% GC)
+      mean time:        115.768 μs (28.73% GC)
+      maximum time:     88.642 ms (99.88% GC)
+      --------------
+      samples:          10000
+      evals/sample:     1
+
+
+
+
+```julia
+
+```
diff --git a/docs/output_12_0.png b/docs/output_12_0.png
diff --git a/docs/output_13_0.png b/docs/output_13_0.png
diff --git a/docs/output_3_0.png b/docs/output_3_0.png
diff --git a/docs/output_5_0.png b/docs/output_5_0.png