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faster rand!(::MersenneTwister, ::Array{T}) for IntTypes and Float16/32 #8958

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merged 5 commits into from
Nov 12, 2014
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faster rand!(::MersenneTwister, ::Array{T}) for IntTypes and Float16/32 #8958

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3ecd19d
refactor MersenneTwister's low level API
rfourquet Nov 9, 2014
d04f855
make the Float64 interval a type parameter of rand
rfourquet Nov 9, 2014
d3eb26b
implement faster rand!{T<:IntTypes}(::MersenneTwister, ::Array{T})
rfourquet Nov 9, 2014
f6f0a82
implement faster rand!{T<:Union(Float16,Float32)}(::MersenneTwister, …
rfourquet Nov 9, 2014
912e9ad
add rand! tests
rfourquet Nov 11, 2014
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139 changes: 114 additions & 25 deletions base/random.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -11,42 +11,56 @@ export srand,

abstract AbstractRNG

const MTCacheLength = dsfmt_get_min_array_size()

type MersenneTwister <: AbstractRNG
state::DSFMT_state
vals::Vector{Float64}
idx::Int
seed::Vector{UInt32}

MersenneTwister(seed) = srand(new(DSFMT_state(), Array(Float64, dsfmt_get_min_array_size())),
MersenneTwister(seed) = srand(new(DSFMT_state(), Array(Float64, MTCacheLength)),
seed)
MersenneTwister() = MersenneTwister(0)
end

## Low level API for MersenneTwister

@inline mt_avail(r::MersenneTwister) = MTCacheLength - r.idx
@inline mt_empty(r::MersenneTwister) = r.idx == MTCacheLength
@inline mt_setfull!(r::MersenneTwister) = r.idx = 0
@inline mt_setempty!(r::MersenneTwister) = r.idx = MTCacheLength
@inline mt_pop!(r::MersenneTwister) = @inbounds return r.vals[r.idx+=1]

function gen_rand(r::MersenneTwister)
dsfmt_fill_array_close1_open2!(r.state, r.vals, length(r.vals))
r.idx = 0
mt_setfull!(r)
end

@inline gen_rand_maybe(r::MersenneTwister) = r.idx == length(r.vals) && gen_rand(r)
@inline gen_rand_maybe(r::MersenneTwister) = mt_empty(r) && gen_rand(r)

# precondition: r.idx < length(r.vals)
@inline rand_close1_open2_inbounds(r::MersenneTwister) = (r.idx += 1; @inbounds return r.vals[r.idx])
@inline rand_inbounds(r::MersenneTwister) = rand_close1_open2_inbounds(r) - 1.0
abstract FloatInterval
type CloseOpen <: FloatInterval end
type Close1Open2 <: FloatInterval end

# precondition: !mt_empty(r)
@inline rand_inbounds(r::MersenneTwister, ::Type{Close1Open2}) = mt_pop!(r)
@inline rand_inbounds(r::MersenneTwister, ::Type{CloseOpen}) = rand_inbounds(r, Close1Open2) - 1.0
@inline rand_inbounds(r::MersenneTwister) = rand_inbounds(r, CloseOpen)

# produce Float64 values
@inline rand_close1_open2(r::MersenneTwister) = (gen_rand_maybe(r); rand_close1_open2_inbounds(r))
@inline rand_close_open(r::MersenneTwister) = (gen_rand_maybe(r); rand_inbounds(r))
@inline rand{I<:FloatInterval}(r::MersenneTwister, ::Type{I}) = (gen_rand_maybe(r); rand_inbounds(r, I))

# this is similar to `dsfmt_genrand_uint32` from dSFMT.h:
@inline rand_ui32(r::MersenneTwister) = reinterpret(UInt64, rand_close1_open2(r)) % UInt32
@inline rand_ui32(r::MersenneTwister) = reinterpret(UInt64, rand(r, Close1Open2)) % UInt32

@inline rand_ui52_raw(r::MersenneTwister) = reinterpret(UInt64, rand(r, Close1Open2))
@inline rand_ui2x52_raw(r::MersenneTwister) = (((rand_ui52_raw(r) % UInt128) << 64) | rand_ui52_raw(r))

function srand(r::MersenneTwister, seed::Vector{UInt32})
r.seed = seed
dsfmt_init_by_array(r.state, r.seed)
r.idx = length(r.vals)
mt_setempty!(r)
return r
end

Expand Down Expand Up @@ -126,7 +140,7 @@ globalRNG() = GLOBAL_RNG

# rand: a non-specified RNG defaults to GLOBAL_RNG

@inline rand() = rand_close_open(GLOBAL_RNG)
@inline rand() = rand(GLOBAL_RNG, CloseOpen)
@inline rand(T::Type) = rand(GLOBAL_RNG, T)
rand(::()) = rand(GLOBAL_RNG, ()) # needed to resolve ambiguity
rand(dims::Dims) = rand(GLOBAL_RNG, dims)
Expand All @@ -137,10 +151,10 @@ rand!(A::AbstractArray) = rand!(GLOBAL_RNG, A)

## random floating point values

@inline rand(r::AbstractRNG) = rand_close_open(r)
@inline rand(r::AbstractRNG) = rand(r, CloseOpen)

# MersenneTwister
rand(r::MersenneTwister, ::Type{Float64}) = rand_close_open(r)
rand(r::MersenneTwister, ::Type{Float64}) = rand(r, CloseOpen)
rand{T<:Union(Float16, Float32)}(r::MersenneTwister, ::Type{T}) = convert(T, rand(r, Float64))

## random integers (MersenneTwister)
Expand Down Expand Up @@ -181,22 +195,21 @@ end

# MersenneTwister

function rand_AbstractArray_Float64!(r::MersenneTwister, A::AbstractArray{Float64})
n = length(A)
function rand_AbstractArray_Float64!{I<:FloatInterval}(r::MersenneTwister, A::AbstractArray{Float64}, n=length(A), ::Type{I}=CloseOpen)
# what follows is equivalent to this simple loop but more efficient:
# for i=1:n
# @inbounds A[i] = rand(r)
# @inbounds A[i] = rand(r, I)
# end
m = 0
while m < n
s = length(r.vals) - r.idx
s = mt_avail(r)
if s == 0
gen_rand(r)
s = length(r.vals)
s = mt_avail(r)
end
m2 = min(n, m+s)
for i=m+1:m2
@inbounds A[i] = rand_inbounds(r)
@inbounds A[i] = rand_inbounds(r, I)
end
m = m2
end
Expand All @@ -205,13 +218,89 @@ end

rand!(r::MersenneTwister, A::AbstractArray{Float64}) = rand_AbstractArray_Float64!(r, A)

function rand!(r::MersenneTwister, A::Array{Float64})
n = length(A)
fill_array!(s::DSFMT_state, A::Array{Float64}, n::Int, ::Type{CloseOpen}) = dsfmt_fill_array_close_open!(s, A, n)
fill_array!(s::DSFMT_state, A::Array{Float64}, n::Int, ::Type{Close1Open2}) = dsfmt_fill_array_close1_open2!(s, A, n)

function rand!{I<:FloatInterval}(r::MersenneTwister, A::Array{Float64}, n=length(A), ::Type{I}=CloseOpen)
if n < dsfmt_get_min_array_size()
rand_AbstractArray_Float64!(r, A)
rand_AbstractArray_Float64!(r, A, n, I)
else
dsfmt_fill_array_close_open!(r.state, A, 2*(n ÷ 2))
isodd(n) && (A[n] = rand(r))
fill_array!(r.state, A, 2*(n ÷ 2), I)
isodd(n) && (A[n] = rand(r, I))
end
A
end

@inline mask128(u::UInt128, ::Type{Float16}) = (u & 0x03ff03ff03ff03ff03ff03ff03ff03ff) | 0x3c003c003c003c003c003c003c003c00
@inline mask128(u::UInt128, ::Type{Float32}) = (u & 0x007fffff007fffff007fffff007fffff) | 0x3f8000003f8000003f8000003f800000

function rand!{T<:Union(Float16, Float32)}(r::MersenneTwister, A::Array{T}, ::Type{Close1Open2})
n = length(A)
n128 = n * sizeof(T) ÷ 16
rand!(r, pointer_to_array(convert(Ptr{Float64}, pointer(A)), 2*n128), 2*n128, Close1Open2)
A128 = pointer_to_array(convert(Ptr{UInt128}, pointer(A)), n128)
@inbounds for i in 1:n128
u = A128[i]
u $= u << 26
# at this point, the 64 low bits of u, "k" being the k-th bit of A128[i] and "+" the bit xor, are:
# [..., 58+32,..., 53+27, 52+26, ..., 33+7, 32+6, ..., 27+1, 26, ..., 1]
# the bits needing to be random are
# [1:10, 17:26, 33:42, 49:58] (for Float16)
# [1:23, 33:55] (for Float32)
# this is obviously satisfied on the 32 low bits side, and on the high side, the entropy comes
# from bits 33:52 of A128[i] and then from bits 27:32 (which are discarded on the low side)
# this is similar for the 64 high bits of u
A128[i] = mask128(u, T)
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It would be great to get a few more eyes on this.

end
for i in 16*n128÷sizeof(T)+1:n
@inbounds A[i] = rand(r, T) + one(T)
end
A
end

function rand!{T<:Union(Float16, Float32)}(r::MersenneTwister, A::Array{T}, ::Type{CloseOpen})
rand!(r, A, Close1Open2)
I32 = one(Float32)
for i in 1:length(A)
@inbounds A[i] = T(Float32(A[i])-I32) # faster than "A[i] -= one(T)" for T==Float16
end
A
end

rand!{T<:Union(Float16, Float32)}(r::MersenneTwister, A::Array{T}) = rand!(r, A, CloseOpen)


function rand!(r::MersenneTwister, A::Array{UInt128}, n=length(A))
Af = pointer_to_array(convert(Ptr{Float64}, pointer(A)), 2n)
i = n
while true
rand!(r, Af, 2i, Close1Open2)
n < 5 && break
i = 0
@inbounds while n-i >= 5
u = A[i+=1]
A[n] $= u << 48
A[n-=1] $= u << 36
A[n-=1] $= u << 24
A[n-=1] $= u << 12
n-=1
end
end
if n > 0
u = rand_ui2x52_raw(r)
for i = 1:n
@inbounds A[i] $= u << 12*i
end
end
A
end

function rand!{T<:Union(Int8, UInt8, Int16, UInt16, Int32, UInt32, Int64, UInt64, Int128)}(r::MersenneTwister, A::Array{T})
n=length(A)
n128 = n * sizeof(T) ÷ 16
rand!(r, pointer_to_array(convert(Ptr{UInt128}, pointer(A)), n128))
for i = 16*n128÷sizeof(T)+1:n
@inbounds A[i] = rand(r, T)
end
A
end
Expand Down Expand Up @@ -811,7 +900,7 @@ const ziggurat_nor_r = 3.6541528853610087963519472518
const ziggurat_nor_inv_r = inv(ziggurat_nor_r)
const ziggurat_exp_r = 7.6971174701310497140446280481

@inline randi(rng::MersenneTwister=GLOBAL_RNG) = reinterpret(Uint64, rand_close1_open2(rng)) & 0x000fffffffffffff
@inline randi(rng::MersenneTwister=GLOBAL_RNG) = reinterpret(Uint64, rand(rng, Close1Open2)) & 0x000fffffffffffff

function randmtzig_randn(rng::MersenneTwister=GLOBAL_RNG)
@inbounds begin
Expand Down
4 changes: 2 additions & 2 deletions test/random.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -28,8 +28,8 @@ rand!(MersenneTwister(0), A)
@test rand(MersenneTwister(0), Int64, 1) == [172014471070449746]
A = zeros(Int64, 2, 2)
rand!(MersenneTwister(0), A)
@test A == [ 172014471070449746 -193283627354378518;
-4679130500738884555 -9008350441255501549]
@test A == [858542123778948672 5715075217119798169;
8690327730555225005 8435109092665372532]

# randn
@test randn(MersenneTwister(42)) == -0.5560268761463861
Expand Down