Skip to content

strange timings in convolve(x,y,type="open")

3 messages · Art Owen, Charles C. Berry, owen at stanford.edu

#
Dear R-ophiles,

I've found something very odd when I apply convolve
to ever larger vectors.  Here is an example below
with vectors ranging from 2^11 to 2^17.   There is
a funny bump up at 2^12.  Then it gets very slow at 2^16.


 >  for( i in 11:20 )print( system.time(convolve(1:2^i,1:2^i,type="o")))
   user  system elapsed
  0.002   0.000   0.002
   user  system elapsed
  0.373   0.002   0.375
   user  system elapsed
  0.014   0.001   0.016
   user  system elapsed
  0.031   0.002   0.034
   user  system elapsed
  0.126   0.004   0.130
   user  system elapsed
194.095   0.013 194.185
   user  system elapsed
  0.345   0.011   0.356

This example is run on a fedora machine with 64 bits.  I hit the same
wall at 2^16 on a Macbook (Intel processor I think).  The fedora machine
is running R 2.5.0.  That's a bit old (April 07) but I saw no mention of 
this speed
problem in some web searching, and it's not mentioned in the 2.6
what's new notes.

I've rerun it and found the same bump at 12 and wall at 16.
The timing at 2^16  can change appreciably.  In one
other case it was about 270 user, 271 elapsed.
The 2^18 case ran for hours without ever finishing.

At first I thought that this was a memory latency issue.  Maybe it
is.  But that makes it hard to explain why 2^17 works better than
2^16.  I've seen that three times now, so I'm almost ready to call it 
reproducible.
Also, one of the machines I'm using has lots of memory.  Maybe it's
a cache issue ... but that still does not explain why 2^12 is slower
than 2^13 or 2^16 is slower than 2^17.

I've checked by running convolve without type="o" and I don't
see the wall.  Similarly fft does not have that problem.

Here's an example without type="open"
 > for( k in 11:20)print(system.time( convolve( 1:2^k,1:2^k)))
   user  system elapsed
  0.001   0.000   0.000
   user  system elapsed
  0.001   0.000   0.001
   user  system elapsed
  0.002   0.000   0.002
   user  system elapsed
  0.004   0.000   0.004
   user  system elapsed
  0.009   0.001   0.010
   user  system elapsed
  0.017   0.001   0.018
   user  system elapsed
  0.138   0.005   0.143
   user  system elapsed
  0.368   0.012   0.389
   user  system elapsed
  1.010   0.032   1.051
   user  system elapsed
  1.945   0.069   2.015

This is more what I expected.  Something like N or N log(N) , with
the difference hard to discern in granularity and noise.

The convolve function is not very big (see below).  When type is
not specified, it defaults to "circular".  So my guess is that something
mysterious might be happening inside the first else clause below,
at least on some architectures.

-Art Owen



 > convolve
function (x, y, conj = TRUE, type = c("circular", "open", "filter"))
{
    type <- match.arg(type)
    n <- length(x)
    ny <- length(y)
    Real <- is.numeric(x) && is.numeric(y)
    if (type == "circular") {
        if (ny != n)
            stop("length mismatch in convolution")
    }
    else {
        n1 <- ny - 1
        x <- c(rep.int(0, n1), x)
        n <- length(y <- c(y, rep.int(0, n - 1)))
    }
    x <- fft(fft(x) * (if (conj)
        Conj(fft(y))
    else fft(y)), inv = TRUE)
    if (type == "filter")
        (if (Real)
            Re(x)
        else x)[-c(1:n1, (n - n1 + 1):n)]/n
    else (if (Real)
        Re(x)
    else x)/n
}
#
On Tue, 18 Dec 2007, Art Owen wrote:

            
The time is consumed by fft, which is called with vectors of length 
2*2^i-1 when type = 'o'
user  system elapsed
    0.31    0.00    0.32
user  system elapsed
       0       0       0
There are no factors of 2^13-1 or 2^17-1 or 2^18-1
(2^(i+1)-1)%%(2:trunc(sqrt(2^(i+1)-1)) )))))
index nfact
    11    11
index nfact
    12     0
index nfact
    13     3
index nfact
    14     3
index nfact
    15     7
index nfact
    16     0
index nfact
    17    15
index nfact
    18     0
index nfact
    19    23
index nfact
    20     5
It looks like the code in fft.c tries to find factors of the series length 
and works from there.

So, the size of the problem evidently depends on its factors.

HTH,

Chuck
Charles C. Berry                            (858) 534-2098
                                             Dept of Family/Preventive Medicine
E mailto:cberry at tajo.ucsd.edu	            UC San Diego
http://famprevmed.ucsd.edu/faculty/cberry/  La Jolla, San Diego 92093-0901
#
Thanks Charles.  That must be it.  (Berwin also
noticed this.)

When convolve hit the wall, I switched over
to FFTW in C.  That is actually pretty nice
code which runs in n log(n) even for prime n
and takes special account of factors of n up
to about 19 or so.  So if the R team ever wants
to put in a new FFT, that looks like a good one.

But I think easier fix for me, or others in this boat,
would just be to write a new convolve(x,y) that
pads x and y with zeros out to length
2*max( length(x), length(y) ).  Then if x and y
have very composite lengths, especially powers of
2, the fft should go quickly.

-Art



Quoting "Charles C. Berry" <cberry at tajo.ucsd.edu>: