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diff --git a/eigen/doc/HiPerformance.dox b/eigen/doc/HiPerformance.dox new file mode 100644 index 0000000..ab6cdfd --- /dev/null +++ b/eigen/doc/HiPerformance.dox @@ -0,0 +1,128 @@ + +namespace Eigen { + +/** \page TopicWritingEfficientProductExpression Writing efficient matrix product expressions + +In general achieving good performance with Eigen does no require any special effort: +simply write your expressions in the most high level way. This is especially true +for small fixed size matrices. For large matrices, however, it might be useful to +take some care when writing your expressions in order to minimize useless evaluations +and optimize the performance. +In this page we will give a brief overview of the Eigen's internal mechanism to simplify +and evaluate complex product expressions, and discuss the current limitations. +In particular we will focus on expressions matching level 2 and 3 BLAS routines, i.e, +all kind of matrix products and triangular solvers. + +Indeed, in Eigen we have implemented a set of highly optimized routines which are very similar +to BLAS's ones. Unlike BLAS, those routines are made available to user via a high level and +natural API. Each of these routines can compute in a single evaluation a wide variety of expressions. +Given an expression, the challenge is then to map it to a minimal set of routines. +As explained latter, this mechanism has some limitations, and knowing them will allow +you to write faster code by making your expressions more Eigen friendly. + +\section GEMM General Matrix-Matrix product (GEMM) + +Let's start with the most common primitive: the matrix product of general dense matrices. +In the BLAS world this corresponds to the GEMM routine. Our equivalent primitive can +perform the following operation: +\f$ C.noalias() += \alpha op1(A) op2(B) \f$ +where A, B, and C are column and/or row major matrices (or sub-matrices), +alpha is a scalar value, and op1, op2 can be transpose, adjoint, conjugate, or the identity. +When Eigen detects a matrix product, it analyzes both sides of the product to extract a +unique scalar factor alpha, and for each side, its effective storage order, shape, and conjugation states. +More precisely each side is simplified by iteratively removing trivial expressions such as scalar multiple, +negation and conjugation. Transpose and Block expressions are not evaluated and they only modify the storage order +and shape. All other expressions are immediately evaluated. +For instance, the following expression: +\code m1.noalias() -= s4 * (s1 * m2.adjoint() * (-(s3*m3).conjugate()*s2)) \endcode +is automatically simplified to: +\code m1.noalias() += (s1*s2*conj(s3)*s4) * m2.adjoint() * m3.conjugate() \endcode +which exactly matches our GEMM routine. + +\subsection GEMM_Limitations Limitations +Unfortunately, this simplification mechanism is not perfect yet and not all expressions which could be +handled by a single GEMM-like call are correctly detected. +<table class="manual" style="width:100%"> +<tr> +<th>Not optimal expression</th> +<th>Evaluated as</th> +<th>Optimal version (single evaluation)</th> +<th>Comments</th> +</tr> +<tr> +<td>\code +m1 += m2 * m3; \endcode</td> +<td>\code +temp = m2 * m3; +m1 += temp; \endcode</td> +<td>\code +m1.noalias() += m2 * m3; \endcode</td> +<td>Use .noalias() to tell Eigen the result and right-hand-sides do not alias. + Otherwise the product m2 * m3 is evaluated into a temporary.</td> +</tr> +<tr class="alt"> +<td></td> +<td></td> +<td>\code +m1.noalias() += s1 * (m2 * m3); \endcode</td> +<td>This is a special feature of Eigen. Here the product between a scalar + and a matrix product does not evaluate the matrix product but instead it + returns a matrix product expression tracking the scalar scaling factor. <br> + Without this optimization, the matrix product would be evaluated into a + temporary as in the next example.</td> +</tr> +<tr> +<td>\code +m1.noalias() += (m2 * m3).adjoint(); \endcode</td> +<td>\code +temp = m2 * m3; +m1 += temp.adjoint(); \endcode</td> +<td>\code +m1.noalias() += m3.adjoint() +* * m2.adjoint(); \endcode</td> +<td>This is because the product expression has the EvalBeforeNesting bit which + enforces the evaluation of the product by the Tranpose expression.</td> +</tr> +<tr class="alt"> +<td>\code +m1 = m1 + m2 * m3; \endcode</td> +<td>\code +temp = m2 * m3; +m1 = m1 + temp; \endcode</td> +<td>\code m1.noalias() += m2 * m3; \endcode</td> +<td>Here there is no way to detect at compile time that the two m1 are the same, + and so the matrix product will be immediately evaluated.</td> +</tr> +<tr> +<td>\code +m1.noalias() = m4 + m2 * m3; \endcode</td> +<td>\code +temp = m2 * m3; +m1 = m4 + temp; \endcode</td> +<td>\code +m1 = m4; +m1.noalias() += m2 * m3; \endcode</td> +<td>First of all, here the .noalias() in the first expression is useless because + m2*m3 will be evaluated anyway. However, note how this expression can be rewritten + so that no temporary is required. (tip: for very small fixed size matrix + it is slighlty better to rewrite it like this: m1.noalias() = m2 * m3; m1 += m4;</td> +</tr> +<tr class="alt"> +<td>\code +m1.noalias() += (s1*m2).block(..) * m3; \endcode</td> +<td>\code +temp = (s1*m2).block(..); +m1 += temp * m3; \endcode</td> +<td>\code +m1.noalias() += s1 * m2.block(..) * m3; \endcode</td> +<td>This is because our expression analyzer is currently not able to extract trivial + expressions nested in a Block expression. Therefore the nested scalar + multiple cannot be properly extracted.</td> +</tr> +</table> + +Of course all these remarks hold for all other kind of products involving triangular or selfadjoint matrices. + +*/ + +} |