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Faster generation of Sobol samples #119

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merged 2 commits into from
Jun 12, 2024
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There are a lot of avoidable allocations currently when generating Sobol samples (BTW a bit related: JuliaMath/Sobol.jl#35 - after this change probably the use of skip!/skip should be removed from QuasiMonteCarlo).

On the master branch

julia> using QuasiMonteCarlo, BenchmarkTools

julia> @benchmark QuasiMonteCarlo.sample(100, 10, SobolSample())
BenchmarkTools.Trial: 10000 samples with 3 evaluations.
 Range (min  max):  8.014 μs  227.764 μs  ┊ GC (min  max): 0.00%  93.73%
 Time  (median):     8.722 μs               ┊ GC (median):    0.00%
 Time  (mean ± σ):   9.241 μs ±   6.835 μs  ┊ GC (mean ± σ):  2.77% ±  3.59%

   ▂▄▅▅▅▆▇█▇▇▇▆▄▃▂▂▁▁▁▁▂▂▂▃▃▃▂▁▂▁▁▁▁                          ▃
  ▆██████████████████████████████████████▇▇▇▇▇▇▇███▇██▇▇▇▆▆▆▅ █
  8.01 μs      Histogram: log(frequency) by time      12.3 μs <

 Memory estimate: 26.02 KiB, allocs estimate: 124.

This PR

julia> using QuasiMonteCarlo, BenchmarkTools

julia> @benchmark QuasiMonteCarlo.sample(100, 10, SobolSample())
BenchmarkTools.Trial: 10000 samples with 7 evaluations.
 Range (min  max):  4.542 μs  313.673 μs  ┊ GC (min  max): 0.00%  97.50%
 Time  (median):     4.935 μs               ┊ GC (median):    0.00%
 Time  (mean ± σ):   5.396 μs ±   9.654 μs  ┊ GC (mean ± σ):  6.38% ±  3.51%

           ▁█▅▇                                                
  ▂▄▆▄▃▂▂▂▆█████▆▄▄▃▂▂▂▁▂▂▂▂▂▂▂▂▂▂▂▂▂▂▂▁▂▁▁▁▁▁▁▁▁▁▁▁▁▁▁▁▁▁▁▁▁ ▂
  4.54 μs         Histogram: frequency by time        6.47 μs <

 Memory estimate: 10.23 KiB, allocs estimate: 14.

@ChrisRackauckas ChrisRackauckas merged commit 2574bb9 into master Jun 12, 2024
15 of 24 checks passed
@devmotion devmotion deleted the dw/sobol_allocations branch June 12, 2024 10:44
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