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Hackathon Team Lambda Optimizations #140

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mowdl
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@mowdl mowdl commented Nov 15, 2024

Description

This PR optimizes the automatic differentiation tape system in three key ways:

  1. Pre-allocates memory for expressions to reduce allocation overhead
  2. Combines multiplier and slot data into a single container for better cache performance
  3. Simplifies derivative calculations by using direct multiplication instead of FMA

The changes significantly improve memory usage and computational speed while maintaining correctness.

Testing shows performance improvements with no impact on accuracy.

Type of change

  • Performance improvement

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CLAassistant commented Nov 15, 2024

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All committers have signed the CLA.

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github-actions bot commented Nov 16, 2024

Test Results

    29 files      29 suites   14m 30s ⏱️
 1 320 tests  1 320 ✅ 0 💤 0 ❌
48 395 runs  48 395 ✅ 0 💤 0 ❌

Results for commit a6d1312.

♻️ This comment has been updated with latest results.

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coveralls commented Nov 16, 2024

Pull Request Test Coverage Report for Build 11864682645

Details

  • 38 of 38 (100.0%) changed or added relevant lines in 4 files are covered.
  • No unchanged relevant lines lost coverage.
  • Overall coverage increased (+0.04%) to 98.767%

Totals Coverage Status
Change from base Build 11864608732: 0.04%
Covered Lines: 2403
Relevant Lines: 2433

💛 - Coveralls

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auto-differentiation-dev commented Nov 16, 2024

Results:

App Reference Optimised Improvement
Monte-Carlo Swaption Pricer (App 1) 13.061s 6.814s 47.829%
Bermudan Swaption Pricer (App 2) 36.46156ms 21.606425ms 40.742%
QuantLib Overhead (App 3) 4000769ms 3052805ms 23.695%

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Closing this PR as key changes have been incorporated into #150, which consolidates contributions from multiple submissions. Thank you all for your efforts!

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5 participants