slain-num 0.4.0

SLAIN's own numeric crate: dense matrices, least squares, polynomials, FFT, convolution, statistics and 1-D/N-D minimisation, with AVX2 kernels.
Documentation
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use std::f64::consts::PI;

#[derive(Clone, Copy, Debug, Default, PartialEq)]
#[repr(C)]
pub struct Complex {
    pub re: f64,
    pub im: f64,
}

impl Complex {
    #[must_use]
    pub const fn new(re: f64, im: f64) -> Self {
        Self { re, im }
    }

    #[must_use]
    pub fn norm_sqr(self) -> f64 {
        self.re * self.re + self.im * self.im
    }
}

impl core::ops::Mul for Complex {
    type Output = Self;

    #[inline]
    fn mul(self, o: Self) -> Self {
        Self::new(self.re * o.re - self.im * o.im, self.re * o.im + self.im * o.re)
    }
}

impl core::ops::MulAssign for Complex {
    #[inline]
    fn mul_assign(&mut self, o: Self) {
        *self = *self * o;
    }
}

pub fn fft(buf: &mut [Complex], inverse: bool) {
    fft_with(buf, inverse, slain_rt::cpu::avx2());
}

thread_local! {
    static SWAPS: std::cell::RefCell<Vec<Vec<(u32, u32)>>> = const { std::cell::RefCell::new(Vec::new()) };
    static TWIDDLES: std::cell::RefCell<[Vec<Vec<Complex>>; 2]> = const { std::cell::RefCell::new([Vec::new(), Vec::new()]) };
}

fn stage_twiddles(len: usize, inverse: bool) -> Vec<Complex> {
    let sign = if inverse { 1.0 } else { -1.0 };
    let ang = sign * 2.0 * PI / len as f64;
    let step = Complex::new(ang.cos(), ang.sin());
    let mut tw = Vec::with_capacity(len / 2);
    let mut w = Complex::new(1.0, 0.0);
    for _ in 0..len / 2 {
        tw.push(w);
        w *= step;
    }
    tw
}

fn bit_reverse(buf: &mut [Complex], bits: u32) {
    match bits {
        0..=11 => bit_reverse_pairs(buf, bits),
        12 | 13 => bit_reverse_tiles(buf, bits, 6, false),
        14 => bit_reverse_tiles(buf, bits, 5, false),
        _ => bit_reverse_tiles(buf, bits, 5, true),
    }
}

fn bit_reverse_pairs(buf: &mut [Complex], bits: u32) {
    SWAPS.with(|cache| {
        let mut cache = cache.borrow_mut();
        while cache.len() <= bits as usize {
            let b = cache.len() as u32;
            let pairs = (0..1usize << b)
                .filter_map(|i| {
                    let j = if b == 0 { 0 } else { i.reverse_bits() >> (usize::BITS - b) };
                    (j > i).then_some((i as u32, j as u32))
                })
                .collect();
            cache.push(pairs);
        }
        for &(i, j) in &cache[bits as usize] {
            buf.swap(i as usize, j as usize);
        }
    });
}

fn rev(x: usize, bits: u32) -> usize {
    if bits == 0 {
        0
    } else {
        x.reverse_bits() >> (usize::BITS - bits)
    }
}

struct SyncPtr(*mut Complex);
unsafe impl Sync for SyncPtr {}

struct Tiles {
    rb: Vec<usize>,
    cross: Vec<(usize, usize)>,
    own: Vec<usize>,
}

type TileCache = Vec<((u32, u32), std::sync::Arc<Tiles>)>;

thread_local! {
    static TILES: std::cell::RefCell<TileCache> = const { std::cell::RefCell::new(Vec::new()) };
}

fn tiles(bits: u32, b: u32) -> std::sync::Arc<Tiles> {
    TILES.with(|c| {
        let mut c = c.borrow_mut();
        if let Some((_, t)) = c.iter().find(|(k, _)| *k == (bits, b)) {
            return std::sync::Arc::clone(t);
        }
        let m = bits - 2 * b;
        let mids = 0..1usize << m;
        let t = std::sync::Arc::new(Tiles {
            rb: (0..1usize << b).map(|x| rev(x, b)).collect(),
            cross: mids.clone().filter_map(|mid| (mid < rev(mid, m)).then_some((mid, rev(mid, m)))).collect(),
            own: mids.filter(|&mid| mid == rev(mid, m)).collect(),
        });
        c.push(((bits, b), std::sync::Arc::clone(&t)));
        t
    })
}

fn bit_reverse_tiles(buf: &mut [Complex], bits: u32, b: u32, parallel: bool) {
    let b = b.min(bits / 2);
    let (m, side) = (bits - 2 * b, 1usize << b);
    let t = tiles(bits, b);
    let (rb, sh) = (&t.rb[..], m + b);
    let p = SyncPtr(buf.as_mut_ptr());
    let cross = |k: usize| {
        let (mid, mr) = t.cross[k];
        let ptr = &p;
        for hi in 0..side {
            for lo in 0..side {
                let i = (hi << sh) | (mid << b) | lo;
                let j = (rb[lo] << sh) | (mr << b) | rb[hi];
                unsafe { core::ptr::swap(ptr.0.add(i), ptr.0.add(j)) };
            }
        }
    };
    let own = |k: usize| {
        let mid = t.own[k];
        let ptr = &p;
        for u in 1..side {
            for v in 0..u {
                let i = (u << sh) | (mid << b) | rb[v];
                let j = (v << sh) | (mid << b) | rb[u];
                unsafe { core::ptr::swap(ptr.0.add(i), ptr.0.add(j)) };
            }
        }
    };
    if parallel {
        slain_rt::for_range(t.cross.len(), cross);
        slain_rt::for_range(t.own.len(), own);
    } else {
        (0..t.cross.len()).for_each(cross);
        (0..t.own.len()).for_each(own);
    }
}

fn fft_with(buf: &mut [Complex], inverse: bool, fast: bool) {
    debug_assert!(!fast || slain_rt::cpu::avx2(), "AVX2 FFT kernels requested on a CPU without AVX2");
    let n = buf.len();
    assert!(n.is_power_of_two(), "FFT length must be a power of two");
    if n < 2 {
        return;
    }
    let bits = n.trailing_zeros();
    bit_reverse(buf, bits);
    TWIDDLES.with(|cache| {
        let mut cache = cache.borrow_mut();
        let tables = &mut cache[usize::from(inverse)];
        while tables.len() < bits as usize {
            tables.push(stage_twiddles(2 << tables.len(), inverse));
        }
        #[cfg(target_arch = "x86_64")]
        let first = if fast && bits >= 4 {
            unsafe { x86::first_four(buf, [&tables[0], &tables[1], &tables[2], &tables[3]]) };
            4
        } else {
            0
        };
        #[cfg(not(target_arch = "x86_64"))]
        let first = 0;
        #[cfg(target_arch = "x86_64")]
        let first = if fast && first > 0 {
            let mut s = first;
            while s + 1 < bits as usize {
                unsafe { x86::stage_pair(buf, &tables[s], &tables[s + 1]) };
                s += 2;
            }
            s
        } else {
            first
        };
        for (s, tw) in tables[..bits as usize].iter().enumerate().skip(first) {
            let len = 2usize << s;
            #[cfg(target_arch = "x86_64")]
            if fast && len >= 4 {
                unsafe { x86::stage(buf, tw) };
                continue;
            }
            for block in buf.chunks_exact_mut(len) {
                let (lo, hi) = block.split_at_mut(len / 2);
                for ((a, b), &t) in lo.iter_mut().zip(hi.iter_mut()).zip(tw) {
                    let v = *b * t;
                    *b = Complex::new(a.re - v.re, a.im - v.im);
                    *a = Complex::new(a.re + v.re, a.im + v.im);
                }
            }
        }
    });
    if inverse {
        let k = 1.0 / n as f64;
        #[cfg(target_arch = "x86_64")]
        if fast {
            unsafe { x86::scale(buf, k) };
            return;
        }
        for v in buf.iter_mut() {
            v.re *= k;
            v.im *= k;
        }
    }
}

#[cfg(target_arch = "x86_64")]
mod x86 {
    use super::Complex;
    use core::arch::x86_64::*;

    #[target_feature(enable = "avx2")]
    pub(super) unsafe fn stage(buf: &mut [Complex], tw: &[Complex]) {
        let half = tw.len();
        let p = buf.as_mut_ptr().cast::<f64>();
        let t = tw.as_ptr().cast::<f64>();
        let mut base = 0;
        while base < buf.len() {
            let mut k = 0;
            while k < half {
                let pa = p.add(2 * (base + k));
                let pb = p.add(2 * (base + k + half));
                let a = _mm256_loadu_pd(pa);
                let b = _mm256_loadu_pd(pb);
                let w = _mm256_loadu_pd(t.add(2 * k));
                let wr = _mm256_movedup_pd(w);
                let wi = _mm256_permute_pd::<0b1111>(w);
                let bs = _mm256_permute_pd::<0b0101>(b);
                let v = _mm256_addsub_pd(_mm256_mul_pd(b, wr), _mm256_mul_pd(bs, wi));
                _mm256_storeu_pd(pb, _mm256_sub_pd(a, v));
                _mm256_storeu_pd(pa, _mm256_add_pd(a, v));
                k += 2;
            }
            base += 2 * half;
        }
    }

    #[inline(always)]
    unsafe fn cmul(b: __m256d, w: __m256d) -> __m256d {
        let wr = _mm256_movedup_pd(w);
        let wi = _mm256_permute_pd::<0b1111>(w);
        let bs = _mm256_permute_pd::<0b0101>(b);
        _mm256_addsub_pd(_mm256_mul_pd(b, wr), _mm256_mul_pd(bs, wi))
    }

    #[inline(always)]
    unsafe fn bfly(a: &mut __m256d, b: &mut __m256d, w: __m256d) {
        let v = cmul(*b, w);
        *b = _mm256_sub_pd(*a, v);
        *a = _mm256_add_pd(*a, v);
    }

    #[target_feature(enable = "avx2")]
    pub(super) unsafe fn first_four(buf: &mut [Complex], tw: [&[Complex]; 4]) {
        let p = buf.as_mut_ptr().cast::<f64>();
        let t2 = tw[0].as_ptr().cast::<f64>();
        let w2 = _mm256_castpd128_pd256(_mm_loadu_pd(t2));
        let w2 = _mm256_insertf128_pd::<1>(w2, _mm_loadu_pd(t2));
        let w4 = _mm256_loadu_pd(tw[1].as_ptr().cast::<f64>());
        let t8 = tw[2].as_ptr().cast::<f64>();
        let t16 = tw[3].as_ptr().cast::<f64>();
        let mut c = 0;
        while c < buf.len() {
            let q = p.add(2 * c);
            let mut r: [__m256d; 8] = core::array::from_fn(|k| _mm256_loadu_pd(q.add(4 * k)));
            for x in &mut r {
                let a = _mm256_permute2f128_pd::<0x00>(*x, *x);
                let b = _mm256_permute2f128_pd::<0x11>(*x, *x);
                let v = cmul(b, w2);
                *x = _mm256_blend_pd::<0b1100>(_mm256_add_pd(a, v), _mm256_sub_pd(a, v));
            }
            for g in 0..4 {
                let (lo, hi) = r.split_at_mut(2 * g + 1);
                bfly(&mut lo[2 * g], &mut hi[0], w4);
            }
            for g in 0..2 {
                for j in 0..2 {
                    let w = _mm256_loadu_pd(t8.add(4 * j));
                    let (lo, hi) = r.split_at_mut(4 * g + j + 2);
                    bfly(&mut lo[4 * g + j], &mut hi[0], w);
                }
            }
            for k in 0..4 {
                let w = _mm256_loadu_pd(t16.add(4 * k));
                let (lo, hi) = r.split_at_mut(k + 4);
                bfly(&mut lo[k], &mut hi[0], w);
            }
            for (k, x) in r.iter().enumerate() {
                _mm256_storeu_pd(q.add(4 * k), *x);
            }
            c += 16;
        }
    }

    #[target_feature(enable = "avx2")]
    pub(super) unsafe fn stage_pair(buf: &mut [Complex], tw_a: &[Complex], tw_b: &[Complex]) {
        let h = tw_a.len();
        let p = buf.as_mut_ptr().cast::<f64>();
        let (ta, tb) = (tw_a.as_ptr().cast::<f64>(), tw_b.as_ptr().cast::<f64>());
        let mut base = 0;
        while base < buf.len() {
            let mut k = 0;
            while k < h {
                let q = [base + k, base + k + h, base + k + 2 * h, base + k + 3 * h].map(|e| p.add(2 * e));
                let [mut e0, mut e1, mut e2, mut e3] = q.map(|x| _mm256_loadu_pd(x));
                let wa = _mm256_loadu_pd(ta.add(2 * k));
                bfly(&mut e0, &mut e1, wa);
                bfly(&mut e2, &mut e3, wa);
                bfly(&mut e0, &mut e2, _mm256_loadu_pd(tb.add(2 * k)));
                bfly(&mut e1, &mut e3, _mm256_loadu_pd(tb.add(2 * (k + h))));
                for (x, v) in q.into_iter().zip([e0, e1, e2, e3]) {
                    _mm256_storeu_pd(x, v);
                }
                k += 2;
            }
            base += 4 * h;
        }
    }

    #[target_feature(enable = "avx2")]
    pub(super) unsafe fn scale(buf: &mut [Complex], k: f64) {
        let p = buf.as_mut_ptr().cast::<f64>();
        let kv = _mm256_set1_pd(k);
        let n = buf.len() * 2;
        let mut i = 0;
        while i + 4 <= n {
            _mm256_storeu_pd(p.add(i), _mm256_mul_pd(_mm256_loadu_pd(p.add(i)), kv));
            i += 4;
        }
        while i < n {
            *p.add(i) *= k;
            i += 1;
        }
    }
}

#[must_use]
pub fn convolve(a: &[f64], b: &[f64]) -> Vec<f64> {
    if a.is_empty() || b.is_empty() {
        return Vec::new();
    }
    let out_len = a.len() + b.len() - 1;
    let n = out_len.next_power_of_two();
    let load = |s: &[f64]| {
        let mut v = vec![Complex::default(); n];
        for (d, &x) in v.iter_mut().zip(s) {
            d.re = x;
        }
        v
    };
    let (mut fa, mut fb) = (load(a), load(b));
    fft(&mut fa, false);
    fft(&mut fb, false);
    for (x, y) in fa.iter_mut().zip(&fb) {
        *x *= *y;
    }
    fft(&mut fa, true);
    fa[..out_len].iter().map(|c| c.re).collect()
}

#[cfg(test)]
mod tests {
    use super::*;

    fn signal(n: usize, seed: f64) -> Vec<Complex> {
        (0..n).map(|i| Complex::new(((i as f64 + seed) * 0.37).sin() * 1e3, ((i as f64 * 1.3 + seed) * 0.11).cos() - 0.5)).collect()
    }

    fn reference(buf: &mut [Complex], inverse: bool) {
        let n = buf.len();
        let bits = n.trailing_zeros();
        for i in 0..n {
            let j = i.reverse_bits() >> (usize::BITS - bits);
            if j > i {
                buf.swap(i, j);
            }
        }
        let mut len = 2;
        while len <= n {
            let tw = stage_twiddles(len, inverse);
            for block in buf.chunks_exact_mut(len) {
                let (lo, hi) = block.split_at_mut(len / 2);
                for ((a, b), &t) in lo.iter_mut().zip(hi.iter_mut()).zip(&tw) {
                    let v = *b * t;
                    *b = Complex::new(a.re - v.re, a.im - v.im);
                    *a = Complex::new(a.re + v.re, a.im + v.im);
                }
            }
            len <<= 1;
        }
        if inverse {
            let k = 1.0 / n as f64;
            for v in buf.iter_mut() {
                v.re *= k;
                v.im *= k;
            }
        }
    }

    #[test]
    fn scalar_and_avx2_equal_the_reference_bit_for_bit() {
        let same = |a: &[Complex], b: &[Complex]| a.iter().zip(b).all(|(x, y)| x.re.to_bits() == y.re.to_bits() && x.im.to_bits() == y.im.to_bits());
        for bits in 1..=12 {
            let n = 1usize << bits;
            for inverse in [false, true] {
                let mut want = signal(n, bits as f64);
                let mut scalar = want.clone();
                let mut avx = want.clone();
                reference(&mut want, inverse);
                fft_with(&mut scalar, inverse, false);
                assert!(same(&want, &scalar), "n {n} inverse {inverse}: scalar differs from the reference");
                if slain_rt::cpu::avx2() {
                    fft_with(&mut avx, inverse, true);
                    assert!(same(&want, &avx), "n {n} inverse {inverse}: AVX2 differs from the reference");
                }
            }
        }
    }

    #[test]
    fn every_reversal_equals_the_direct_permutation() {
        for bits in 1..=17u32 {
            let src = signal(1 << bits, f64::from(bits));
            let mut want = src.clone();
            for (i, &v) in src.iter().enumerate() {
                want[rev(i, bits)] = v;
            }
            let mut got = src.clone();
            bit_reverse(&mut got, bits);
            assert!(want == got, "bit_reverse bits {bits}");
            let mut got = src.clone();
            bit_reverse_pairs(&mut got, bits);
            assert!(want == got, "pairs bits {bits}");
            for b in [3u32, 4, 5, 6] {
                for parallel in [false, true] {
                    let mut got = src.clone();
                    bit_reverse_tiles(&mut got, bits, b, parallel);
                    assert!(want == got, "tiles bits {bits} b {b} parallel {parallel}");
                }
            }
        }
    }

    #[test]
    #[ignore]
    fn time_fork_join() {
        for jobs in [0usize, 1, 2, 3, 16, 64] {
            let reps = 20000;
            let mut best = f64::MAX;
            for _ in 0..11 {
                let t = std::time::Instant::now();
                for _ in 0..reps {
                    slain_rt::for_range(crate::bench::slain(jobs), |k| {
                        crate::bench::slain(k);
                    });
                }
                best = best.min(t.elapsed().as_secs_f64());
            }
            println!("FORKJOIN jobs {jobs:3} {:.9} us per for_range", best / f64::from(reps) * 1e6);
        }
    }

    #[test]
    #[ignore]
    fn time_tiled_reversal() {
        for bits in 10u32..=16 {
            let n = 1usize << bits;
            let src = signal(n, 1.0);
            let reps = ((1 << 24) / n).max(4);
            let time = |f: &mut dyn FnMut(&mut [Complex])| {
                let mut best = f64::MAX;
                for _ in 0..11 {
                    let mut v = src.clone();
                    let t = std::time::Instant::now();
                    for _ in 0..reps {
                        f(crate::bench::slain(&mut v));
                    }
                    best = best.min(t.elapsed().as_secs_f64());
                }
                best / reps as f64 * 1e6
            };
            let pairs = time(&mut |v| bit_reverse_pairs(v, bits));
            let mut line = format!("TILES n {n:6} pairs {pairs:.9} us");
            for b in [3u32, 4, 5, 6] {
                for parallel in [false, true] {
                    let t = time(&mut |v| bit_reverse_tiles(v, bits, b, parallel));
                    line += &format!("  b{b}{} {t:.9} us {:.9}x", if parallel { "par" } else { "" }, pairs / t);
                }
            }
            println!("{line}");
        }
    }

    #[test]
    #[ignore]
    fn time_bitrev_share() {
        for n in [64usize, 256, 1024, 4096] {
            let src = signal(n, 1.0);
            let reps = (1 << 22) / n;
            let time = |f: &mut dyn FnMut(&mut [Complex])| {
                let mut best = f64::MAX;
                for _ in 0..15 {
                    let mut v = src.clone();
                    let t = std::time::Instant::now();
                    for _ in 0..reps {
                        f(crate::bench::slain(&mut v));
                    }
                    best = best.min(t.elapsed().as_secs_f64());
                }
                best / reps as f64
            };
            let whole = time(&mut |v| fft_with(v, false, slain_rt::cpu::avx2()));
            let inline = time(&mut |v| {
                let bits = v.len().trailing_zeros();
                for i in 0..v.len() {
                    let j = i.reverse_bits() >> (usize::BITS - bits);
                    if j > i {
                        v.swap(i, j);
                    }
                }
            });
            let cached = time(&mut |v| bit_reverse(v, v.len().trailing_zeros()));
            println!(
                "BITREV n {n:5} whole {:.9} us  inline {:.9} us  cached {:.9} us  cached share {:.9}%  cached/inline {:.9}x",
                whole * 1e6,
                inline * 1e6,
                cached * 1e6,
                100.0 * cached / whole,
                inline / cached
            );
        }
    }

    #[test]
    #[ignore]
    fn time_fft() {
        for n in [64usize, 256, 1024, 4096] {
            let src = signal(n, 1.0);
            let mut rate = [0f64; 3];
            for arm in 0..3 {
                let reps = (1 << 22) / n;
                let mut best = f64::MAX;
                for _ in 0..15 {
                    let mut v = src.clone();
                    let t = std::time::Instant::now();
                    for r in 0..reps {
                        let v = crate::bench::slain(&mut v);
                        match arm {
                            0 => reference(v, r % 2 == 1),
                            1 => fft_with(v, r % 2 == 1, false),
                            _ => fft_with(v, r % 2 == 1, slain_rt::cpu::avx2()),
                        }
                    }
                    best = best.min(t.elapsed().as_secs_f64());
                }
                rate[arm] = reps as f64 / best;
            }
            println!(
                "FFT n {n:5} reference {:.9}  scalar+cache {:.9}  avx2+cache {:.9} calls/s  scalar+cache {:.9}x  avx2+cache {:.9}x",
                rate[0],
                rate[1],
                rate[2],
                rate[1] / rate[0],
                rate[2] / rate[0]
            );
        }
    }

    #[test]
    fn round_trip_and_convolution() {
        let orig: Vec<Complex> = (0..64).map(|i| Complex::new((i as f64 * 0.3).sin(), (i as f64 * 0.7).cos())).collect();
        let mut v = orig.clone();
        fft(&mut v, false);
        let s = orig.iter().fold(Complex::default(), |a, b| Complex::new(a.re + b.re, a.im + b.im));
        assert!((v[0].re - s.re).abs() < 1e-9 && (v[0].im - s.im).abs() < 1e-9);
        fft(&mut v, true);
        assert!(v.iter().zip(&orig).all(|(a, b)| (a.re - b.re).abs() < 1e-12 && (a.im - b.im).abs() < 1e-12));
        let (a, b) = ([1.0, 2.0, 3.0], [0.5, -1.0]);
        let c = convolve(&a, &b);
        let want = [0.5, 0.0, -0.5, -3.0];
        assert!(c.iter().zip(want).all(|(g, w)| (g - w).abs() < 1e-12));
    }
}