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Efficient MXNet sampling in the multinomial distribution #15311
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@reminisce @wkcn for review. |
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Nice work! @zixuanweeei |
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Thanks, LGTM! |
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Merged. Thanks for your contribution! |
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Description
This PR has solved the problem of low efficiency to sample from the multinomial distribution, especially the distribution with a large number of possible outcomes. As it was described in #15231, it costs ~44 s using
mx.nd.random.multinomial, whilenp.random.multinomialcosts ~0.019 s. After our optimization, it decreases to ~0.054 s.Feature changes
New features
doubletype to define some cumulative variables for high precision with very small probabilities.Performance
We compared the time costs of
mx.nd.random.multinomialon branch master(b8b352d) and our PR shown in the table below. The result shows that the time cost of the original sampling strategy rises much more rapidly than that of our PR with the increasing number of outcomes.Comments
@pengzhao-intel @ciyongch @TaoLv Please help me refine this PR and have some review on it. Thanks.
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