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Implement Eigen library as a benchmark comparison #17

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94458a5
add eigen to solvers
metersquared Jul 8, 2024
8cfbc62
test and benchmark
metersquared Jul 8, 2024
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3 changes: 3 additions & 0 deletions .gitmodules
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Expand Up @@ -4,3 +4,6 @@
[submodule "cnpy"]
path = cnpy
url = [email protected]:rogersce/cnpy.git
[submodule "eigen"]
path = eigen
url = [email protected]:libigl/eigen.git
1 change: 1 addition & 0 deletions eigen
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Submodule eigen added at 1f05f5
103 changes: 95 additions & 8 deletions src/solver.cpp
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Expand Up @@ -2,6 +2,9 @@
#include "solver.h"
#include "utils.h"

template class Solver<double>;
template class Solver<float>;

/* CPP-based solver */
template <typename T>
NativeSolver<T>::NativeSolver(StateSpaceSystem<T> &system, const int &dataframes) : Solver<T>(system, dataframes)
Expand Down Expand Up @@ -73,6 +76,9 @@ void NativeSolver<T>::process(T *input, T *output)
std::swap(x, x1);
}

template class NativeSolver<double>;
template class NativeSolver<float>;

/* CBLAS_XGEMV-based solver */
template <typename T>
XGEMVSolver<T>::XGEMVSolver(StateSpaceSystem<T> &system, const int &dataframes) : Solver<T>(system, dataframes)
Expand Down Expand Up @@ -114,6 +120,9 @@ void XGEMVSolver<T>::process(T *input, T *output)
std::swap(x, x1);
}

template class XGEMVSolver<double>;
template class XGEMVSolver<float>;

/* CBLAS_XGEMM-based solver */
template <typename T>
XGEMMSolver<T>::XGEMMSolver(StateSpaceSystem<T> &system, const int &dataframes) : Solver<T>(system, dataframes)
Expand Down Expand Up @@ -158,14 +167,92 @@ void XGEMMSolver<T>::process(T *input, T *output)
}
}

template class Solver<double>;
template class Solver<float>;
template class XGEMMSolver<double>;
template class XGEMMSolver<float>;

template class NativeSolver<double>;
template class NativeSolver<float>;
/* Eigen MV-based solver */
template <typename T>
EigenMVSolver<T>::EigenMVSolver(StateSpaceSystem<T> &system, const int &dataframes) : Solver<T>(system, dataframes)
{
int n = this->system_.shape().n;
int m = this->system_.shape().m;
int p = this->system_.shape().p;
this->dataframes_ = dataframes;

template class XGEMVSolver<double>;
template class XGEMVSolver<float>;
x = vector_t::Zero(n);
}

template class XGEMMSolver<double>;
template class XGEMMSolver<float>;
template <typename T>
EigenMVSolver<T>::~EigenMVSolver()
{
}

template <typename T>
void EigenMVSolver<T>::process(T *input, T *output)
{
int n = this->system_.shape().n;
int m = this->system_.shape().m;
int p = this->system_.shape().p;

const_matrix_map A(this->system_.A(), n, n);
const_matrix_map B(this->system_.B(), n, m);
const_matrix_map C(this->system_.C(), p, n);
const_matrix_map D(this->system_.D(), p, m);

const_matrix_map u(input, m, this->dataframes_);
matrix_map y(output, p, this->dataframes_);

for (int i = 0; i < this->dataframes_; i++)
{
y.col(i) = C * x + D * u.col(i);
x = A * x + B * u.col(i);
}
}

template class EigenMVSolver<double>;
template class EigenMVSolver<float>;

/* Eigen MM-based solver */
template <typename T>
EigenMMSolver<T>::EigenMMSolver(StateSpaceSystem<T> &system, const int &dataframes) : Solver<T>(system, dataframes)
{
int n = this->system_.shape().n;
int m = this->system_.shape().m;
int p = this->system_.shape().p;
this->dataframes_ = dataframes;

X = matrix_t::Zero(n, this->dataframes_ + 1);
}

template <typename T>
EigenMMSolver<T>::~EigenMMSolver()
{
}

template <typename T>
void EigenMMSolver<T>::process(T *input, T *output)
{
int n = this->system_.shape().n;
int m = this->system_.shape().m;
int p = this->system_.shape().p;

const_matrix_map A(this->system_.A(), n, n);
const_matrix_map B(this->system_.B(), n, m);
const_matrix_map C(this->system_.C(), p, n);
const_matrix_map D(this->system_.D(), p, m);

const_matrix_map U(input, m, this->dataframes_);
matrix_map Y(output, p, this->dataframes_);

X.rightCols(this->dataframes_) = B * U;
for (int i = 0; i < this->dataframes_; i++)
{
X.col(i + 1) = A * X.col(i) + X.col(i + 1);
}
Y = C * X.leftCols(this->dataframes_) + D * U;

X.col(0) = X.col(this->dataframes_);
}

template class EigenMMSolver<double>;
template class EigenMMSolver<float>;
42 changes: 42 additions & 0 deletions src/solver.h
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Expand Up @@ -3,6 +3,8 @@

#include "state_space_system.h"
#include "utils.h"
#define EIGEN_USE_BLAS
#include <eigen/Eigen/Core>

/// @brief Base solver.
template <typename T>
Expand Down Expand Up @@ -57,11 +59,51 @@ class XGEMMSolver : public Solver<T>
{
private:
T *X;
typedef Eigen::Matrix<float, 1, Eigen::Dynamic> MatrixType;
typedef Eigen::Map<MatrixType> MapType;

public:
XGEMMSolver(StateSpaceSystem<T> &system, const int &dataframes);
~XGEMMSolver();
void process(T *input, T *output);
};

/// @brief Eigen MV-based solver.
template <typename T>
class EigenMVSolver : public Solver<T>
{
private:
typedef Eigen::Matrix<T, Eigen::Dynamic, 1> vector_t;
typedef Eigen::Map<vector_t> vector_map;
typedef Eigen::Map<const vector_t> const_vector_map;

typedef Eigen::Matrix<T, Eigen::Dynamic, Eigen::Dynamic> matrix_t;
typedef Eigen::Map<matrix_t> matrix_map;
typedef Eigen::Map<const matrix_t> const_matrix_map;

vector_t x;

public:
EigenMVSolver(StateSpaceSystem<T> &system, const int &dataframes);
~EigenMVSolver();
void process(T *input, T *output);
};

/// @brief Eigen MM-based solver.
template <typename T>
class EigenMMSolver : public Solver<T>
{
private:
typedef Eigen::Matrix<T, Eigen::Dynamic, Eigen::Dynamic> matrix_t;
typedef Eigen::Map<matrix_t> matrix_map;
typedef Eigen::Map<const matrix_t> const_matrix_map;

matrix_t X;

public:
EigenMMSolver(StateSpaceSystem<T> &system, const int &dataframes);
~EigenMMSolver();
void process(T *input, T *output);
};

#endif // SOLVER_H_
4 changes: 4 additions & 0 deletions src/solver_benchmark.cpp
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Expand Up @@ -59,5 +59,9 @@ BENCHMARK(BM_Solver<XGEMVSolver<float>>)->ArgsProduct({{10, 100, 1000}, {2}, {5}
BENCHMARK(BM_Solver<XGEMVSolver<double>>)->ArgsProduct({{10, 100, 1000}, {2}, {5}, {128}});
BENCHMARK(BM_Solver<XGEMMSolver<float>>)->ArgsProduct({{10, 100, 1000}, {2}, {5}, {128}});
BENCHMARK(BM_Solver<XGEMMSolver<double>>)->ArgsProduct({{10, 100, 1000}, {2}, {5}, {128}});
BENCHMARK(BM_Solver<EigenMVSolver<float>>)->ArgsProduct({{10, 100, 1000}, {2}, {5}, {128}});
BENCHMARK(BM_Solver<EigenMVSolver<double>>)->ArgsProduct({{10, 100, 1000}, {2}, {5}, {128}});
BENCHMARK(BM_Solver<EigenMMSolver<float>>)->ArgsProduct({{10, 100, 1000}, {2}, {5}, {128}});
BENCHMARK(BM_Solver<EigenMMSolver<double>>)->ArgsProduct({{10, 100, 1000}, {2}, {5}, {128}});

BENCHMARK_MAIN();
16 changes: 16 additions & 0 deletions tests/test_solver.cpp
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Expand Up @@ -31,6 +31,8 @@ int main(int argc, char const *argv[])
NativeSolver<double> dnat_solver(system, dataframes);
XGEMVSolver<double> dgemv_solver(system, dataframes);
XGEMMSolver<double> dgemm_solver(system, dataframes);
EigenMVSolver<double> eigmv_solver(system, dataframes);
EigenMMSolver<double> eigmm_solver(system, dataframes);

dnat_solver.process(input.data<double>(), output);
std::cout << "True out:" << std::endl;
Expand Down Expand Up @@ -60,5 +62,19 @@ int main(int argc, char const *argv[])
print_data(output, p, dataframes);
std::cout << "DGEMV Solver - " << l2err(output, dtout) << std::endl; */

eigmv_solver.process(input.data<double>(), output);
std::cout << "True out:" << std::endl;
print_data(true_output);
std::cout << "Calculated out:" << std::endl;
print_data(output, p, dataframes);
std::cout << "EigMV Solver - " << l2err(output, dtout) << std::endl;

eigmm_solver.process(input.data<double>(), output);
std::cout << "True out:" << std::endl;
print_data(true_output);
std::cout << "Calculated out:" << std::endl;
print_data(output, p, dataframes);
std::cout << "EigMM Solver - " << l2err(output, dtout) << std::endl;

free(output);
}