---
title: "Cubature Vectorization Results"
author: "Balasubramanian Narasimhan"
date: '`r Sys.Date()`'
output:
html_document:
fig_caption: yes
theme: cerulean
toc: yes
toc_depth: 2
vignette: >
%\VignetteIndexEntry{Cubature Vectorization Efficiency}
%\VignetteEngine{knitr::rmarkdown}
\usepackage[utf8]{inputenc}
---
```{r echo=FALSE}
knitr::opts_chunk$set(
message = FALSE,
warning = FALSE,
error = FALSE,
tidy = FALSE,
cache = FALSE
)
```
## Introduction
This R `cubature` package exposes both the `hcubature` and `pcubature`
routines of the underlying C `cubature` library, including the
vectorized interfaces.
Per the documentation, use of `pcubature` is advisable only for smooth
integrands in dimensions up to three at most. In fact, the `pcubature`
routines perform significantly worse than the vectorized `hcubature`
in inappropriate cases. So when in doubt, you are better off using
`hcubature`.
Version 2.0 of this package integrates the `Cuba` library as well,
once again providing vectorized interfaces.
The main point of this note is to examine the difference vectorization
makes. My recommendations are below in the summary section.
## A Timing Harness
Our harness will provide timing results for `hcubature`, `pcubature`
(where appropriate) and Cuba `cuhre` calls. We begin by creating a
harness for these calls.
```{r}
library(benchr)
library(cubature)
harness <- function(which = NULL,
f, fv, lowerLimit, upperLimit, tol = 1e-3, times = 20, ...) {
fns <- c(hc = "Non-vectorized Hcubature",
hc.v = "Vectorized Hcubature",
pc = "Non-vectorized Pcubature",
pc.v = "Vectorized Pcubature",
cc = "Non-vectorized cubature::cuhre",
cc_v = "Vectorized cubature::cuhre")
cc <- function() cubature::cuhre(f = f,
lowerLimit = lowerLimit, upperLimit = upperLimit,
relTol = tol,
...)
cc_v <- function() cubature::cuhre(f = fv,
lowerLimit = lowerLimit, upperLimit = upperLimit,
relTol = tol,
nVec = 1024L,
...)
hc <- function() cubature::hcubature(f = f,
lowerLimit = lowerLimit,
upperLimit = upperLimit,
tol = tol,
...)
hc.v <- function() cubature::hcubature(f = fv,
lowerLimit = lowerLimit,
upperLimit = upperLimit,
tol = tol,
vectorInterface = TRUE,
...)
pc <- function() cubature::pcubature(f = f,
lowerLimit = lowerLimit,
upperLimit = upperLimit,
tol = tol,
...)
pc.v <- function() cubature::pcubature(f = fv,
lowerLimit = lowerLimit,
upperLimit = upperLimit,
tol = tol,
vectorInterface = TRUE,
...)
ndim = length(lowerLimit)
if (is.null(which)) {
fnIndices <- seq_along(fns)
} else {
fnIndices <- na.omit(match(which, names(fns)))
}
fnList <- lapply(names(fns)[fnIndices], function(x) call(x))
argList <- c(fnList, times = times, progress = FALSE)
result <- do.call(benchr::benchmark, args = argList)
d <- summary(result)[seq_along(fnIndices), ]
d$expr <- fns[fnIndices]
d
}
```
We reel off the timing runs.
## Example 1.
```{r}
func <- function(x) sin(x[1]) * cos(x[2]) * exp(x[3])
func.v <- function(x) {
matrix(apply(x, 2, function(z) sin(z[1]) * cos(z[2]) * exp(z[3])), ncol = ncol(x))
}
d <- harness(f = func, fv = func.v,
lowerLimit = rep(0, 3),
upperLimit = rep(1, 3),
tol = 1e-5,
times = 100)
knitr::kable(d, digits = 3, row.names = FALSE)
```
## Multivariate Normal
Using `cubature`, we evaluate
$$
\int_R\phi(x)dx
$$
where $\phi(x)$ is the three-dimensional multivariate normal density with mean
0, and variance
$$
\Sigma = \left(\begin{array}{rrr}
1 &\frac{3}{5} &\frac{1}{3}\\
\frac{3}{5} &1 &\frac{11}{15}\\
\frac{1}{3} &\frac{11}{15} & 1
\end{array}
\right)
$$
and $R$ is $[-\frac{1}{2}, 1] \times [-\frac{1}{2}, 4] \times [-\frac{1}{2}, 2].$
We construct a scalar function (`my_dmvnorm`) and a vector analog
(`my_dmvnorm_v`). First the functions.
```{r}
m <- 3
sigma <- diag(3)
sigma[2,1] <- sigma[1, 2] <- 3/5 ; sigma[3,1] <- sigma[1, 3] <- 1/3
sigma[3,2] <- sigma[2, 3] <- 11/15
logdet <- sum(log(eigen(sigma, symmetric = TRUE, only.values = TRUE)$values))
my_dmvnorm <- function (x, mean, sigma, logdet) {
x <- matrix(x, ncol = length(x))
distval <- stats::mahalanobis(x, center = mean, cov = sigma)
exp(-(3 * log(2 * pi) + logdet + distval)/2)
}
my_dmvnorm_v <- function (x, mean, sigma, logdet) {
distval <- stats::mahalanobis(t(x), center = mean, cov = sigma)
exp(matrix(-(3 * log(2 * pi) + logdet + distval)/2, ncol = ncol(x)))
}
```
Now the timing.
```{r}
d <- harness(f = my_dmvnorm, fv = my_dmvnorm_v,
lowerLimit = rep(-0.5, 3),
upperLimit = c(1, 4, 2),
tol = 1e-5,
times = 10,
mean = rep(0, m), sigma = sigma, logdet = logdet)
knitr::kable(d, digits = 3)
```
The effect of vectorization is huge. So it makes sense for users to
vectorize the integrands as much as possible for efficiency.
Furthermore, for this particular example, we expect `mvtnorm::pmvnorm`
to do pretty well since it is specialized for the multivariate
normal. The good news is that the vectorized versions of `hcubature`
and `pcubature` are quite competitive if you compare the table above
to the one below.
```{r}
library(mvtnorm)
g1 <- function() pmvnorm(lower = rep(-0.5, m),
upper = c(1, 4, 2), mean = rep(0, m), corr = sigma,
alg = Miwa(), abseps = 1e-5, releps = 1e-5)
g2 <- function() pmvnorm(lower = rep(-0.5, m),
upper = c(1, 4, 2), mean = rep(0, m), corr = sigma,
alg = GenzBretz(), abseps = 1e-5, releps = 1e-5)
g3 <- function() pmvnorm(lower = rep(-0.5, m),
upper = c(1, 4, 2), mean = rep(0, m), corr = sigma,
alg = TVPACK(), abseps = 1e-5, releps = 1e-5)
knitr::kable(summary(benchr::benchmark(g1(), g2(), g3(), times = 20, progress = FALSE)),
digits = 3, row.names = FALSE)
```
## Product of cosines
```{r}
testFn0 <- function(x) prod(cos(x))
testFn0_v <- function(x) matrix(apply(x, 2, function(z) prod(cos(z))), ncol = ncol(x))
d <- harness(f = testFn0, fv = testFn0_v,
lowerLimit = rep(0, 2), upperLimit = rep(1, 2), times = 1000)
knitr::kable(d, digits = 3)
```
## Gaussian function
```{r}
testFn1 <- function(x) {
val <- sum(((1 - x) / x)^2)
scale <- prod((2 / sqrt(pi)) / x^2)
exp(-val) * scale
}
testFn1_v <- function(x) {
val <- matrix(apply(x, 2, function(z) sum(((1 - z) / z)^2)), ncol(x))
scale <- matrix(apply(x, 2, function(z) prod((2 / sqrt(pi)) / z^2)), ncol(x))
exp(-val) * scale
}
d <- harness(f = testFn1, fv = testFn1_v,
lowerLimit = rep(0, 3), upperLimit = rep(1, 3), times = 10)
knitr::kable(d, digits = 3)
```
## Discontinuous function
```{r}
testFn2 <- function(x) {
radius <- 0.50124145262344534123412
ifelse(sum(x * x) < radius * radius, 1, 0)
}
testFn2_v <- function(x) {
radius <- 0.50124145262344534123412
matrix(apply(x, 2, function(z) ifelse(sum(z * z) < radius * radius, 1, 0)), ncol = ncol(x))
}
d <- harness(which = c("hc", "hc.v", "cc", "cc_v"),
f = testFn2, fv = testFn2_v,
lowerLimit = rep(0, 2), upperLimit = rep(1, 2), times = 10)
knitr::kable(d, digits = 3)
```
## A Simple Polynomial (product of coordinates)
```{r}
testFn3 <- function(x) prod(2 * x)
testFn3_v <- function(x) matrix(apply(x, 2, function(z) prod(2 * z)), ncol = ncol(x))
d <- harness(f = testFn3, fv = testFn3_v,
lowerLimit = rep(0, 3), upperLimit = rep(1, 3), times = 50)
knitr::kable(d, digits = 3)
```
## Gaussian centered at $\frac{1}{2}$
```{r}
testFn4 <- function(x) {
a <- 0.1
s <- sum((x - 0.5)^2)
((2 / sqrt(pi)) / (2. * a))^length(x) * exp (-s / (a * a))
}
testFn4_v <- function(x) {
a <- 0.1
r <- apply(x, 2, function(z) {
s <- sum((z - 0.5)^2)
((2 / sqrt(pi)) / (2. * a))^length(z) * exp (-s / (a * a))
})
matrix(r, ncol = ncol(x))
}
d <- harness(f = testFn4, fv = testFn4_v,
lowerLimit = rep(0, 2), upperLimit = rep(1, 2), times = 20)
knitr::kable(d, digits = 3)
```
## Double Gaussian
```{r}
testFn5 <- function(x) {
a <- 0.1
s1 <- sum((x - 1 / 3)^2)
s2 <- sum((x - 2 / 3)^2)
0.5 * ((2 / sqrt(pi)) / (2. * a))^length(x) * (exp(-s1 / (a * a)) + exp(-s2 / (a * a)))
}
testFn5_v <- function(x) {
a <- 0.1
r <- apply(x, 2, function(z) {
s1 <- sum((z - 1 / 3)^2)
s2 <- sum((z - 2 / 3)^2)
0.5 * ((2 / sqrt(pi)) / (2. * a))^length(z) * (exp(-s1 / (a * a)) + exp(-s2 / (a * a)))
})
matrix(r, ncol = ncol(x))
}
d <- harness(f = testFn5, fv = testFn5_v,
lowerLimit = rep(0, 2), upperLimit = rep(1, 2), times = 20)
knitr::kable(d, digits = 3)
```
## Tsuda's Example
```{r}
testFn6 <- function(x) {
a <- (1 + sqrt(10.0)) / 9.0
prod( a / (a + 1) * ((a + 1) / (a + x))^2)
}
testFn6_v <- function(x) {
a <- (1 + sqrt(10.0)) / 9.0
r <- apply(x, 2, function(z) prod( a / (a + 1) * ((a + 1) / (a + z))^2))
matrix(r, ncol = ncol(x))
}
d <- harness(f = testFn6, fv = testFn6_v,
lowerLimit = rep(0, 3), upperLimit = rep(1, 3), times = 20)
knitr::kable(d, digits = 3)
```
## Morokoff & Calflish Example
```{r}
testFn7 <- function(x) {
n <- length(x)
p <- 1/n
(1 + p)^n * prod(x^p)
}
testFn7_v <- function(x) {
matrix(apply(x, 2, function(z) {
n <- length(z)
p <- 1/n
(1 + p)^n * prod(z^p)
}), ncol = ncol(x))
}
d <- harness(f = testFn7, fv = testFn7_v,
lowerLimit = rep(0, 3), upperLimit = rep(1, 3), times = 20)
knitr::kable(d, digits = 3)
```
## Wang-Landau Sampling 1d, 2d Examples
```{r}
I.1d <- function(x) {
sin(4 * x) *
x * ((x * ( x * (x * x - 4) + 1) - 1))
}
I.1d_v <- function(x) {
matrix(apply(x, 2, function(z)
sin(4 * z) *
z * ((z * ( z * (z * z - 4) + 1) - 1))),
ncol = ncol(x))
}
d <- harness(f = I.1d, fv = I.1d_v,
lowerLimit = -2, upperLimit = 2, times = 100)
knitr::kable(d, digits = 3)
```
```{r}
I.2d <- function(x) {
x1 <- x[1]; x2 <- x[2]
sin(4 * x1 + 1) * cos(4 * x2) * x1 * (x1 * (x1 * x1)^2 - x2 * (x2 * x2 - x1) +2)
}
I.2d_v <- function(x) {
matrix(apply(x, 2,
function(z) {
x1 <- z[1]; x2 <- z[2]
sin(4 * x1 + 1) * cos(4 * x2) * x1 * (x1 * (x1 * x1)^2 - x2 * (x2 * x2 - x1) +2)
}),
ncol = ncol(x))
}
d <- harness(f = I.2d, fv = I.2d_v,
lowerLimit = rep(-1, 2), upperLimit = rep(1, 2), times = 100)
knitr::kable(d, digits = 3)
```
## Implementation Notes
About the only real modification we have made to the underlying
`cubature` library is that we use `M = 16` rather than the default `M
= 19` suggested by the original author for `pcubature`. This allows us
to comply with CRAN package size limits and seems to work reasonably
well for the above tests. Future versions will allow for such
customization on demand.
The changes made to the `Cuba` library are managed in a [Github repo
branch](https://github.com/bnaras/Cuba/tree/R_pkg): each time a new
release is made, we update the main branch, and keep all changes for
Unix platforms in a branch named `R_pkg` against the current main
branch. Customization for windows is done in the package itself using
the `Makevars.win` script.
## Summary
The recommendations are:
1. _Vectorize_ your function. The time spent in so doing pays back
enormously. This is easy to do and the examples above show how.
2. Vectorized `hcubature` seems to be a good starting point.
3. For smooth integrands in low dimensions ($\leq 3$), `pcubature` might be
worth trying out. Experiment before using in a production package.
## Session Info
```{r}
sessionInfo()
```