perf(rust): argpcp: reduce re-allocations of intermediate matrices (#9)

* Add benchmark for Argpcp
* Use .resize_mut() rather than view().into() to avoid reallocating internal matrices

changepoint/Cargo.toml

@@ -49,3 +49,11 @@ harness = false
 [[bench]]
 name = "bocpd_truncated"
 harness = false
+
+[[bench]]
+name = "argpcpd"
+harness = false
+
+[profile.profiling]
+inherits = "release"
+debug = 2

changepoint/benches/argpcpd.rs

@@ -0,0 +1,43 @@
+use changepoint::*;
+use criterion::*;
+use rv::process::gaussian::kernel::{ConstantKernel, RBFKernel, WhiteKernel};
+
+fn bench_argpcpd(c: &mut Criterion) {
+ let raw_data: &str = include_str!("../../resources/TB3MS.csv");
+ let data: Vec<f64> = raw_data
+ .lines()
+ .skip(1)
+ .map(|line| line.split_at(11).1.parse().unwrap())
+ .collect();
+
+ let mut group = c.benchmark_group("Argpcp");
+
+ for nelems in (0..500).step_by(100) {
+ let subdata: Vec<f64> = data.iter().take(nelems).copied().collect();
+
+ group.throughput(Throughput::Elements(nelems as u64));
+ group.bench_with_input(
+ BenchmarkId::from_parameter(nelems),
+ &subdata,
+ |b, data| {
+ b.iter(|| {
+ let constant_kernel = ConstantKernel::new(0.5).unwrap();
+ let rbf_kernel = RBFKernel::new(10.0).unwrap();
+ let white_kernel = WhiteKernel::new(0.01).unwrap();
+ let kernel = constant_kernel * rbf_kernel + white_kernel;
+ // Create the Argpcp processor
+ let mut cpd =
+ Argpcp::new(kernel, 3, 2.0, 1.0, -5.0, 1.0, 1.0);
+
+ // Feed data into change point detector
+ let _res: Vec<Vec<f64>> =
+ data.iter().map(|d| cpd.step(d).to_vec()).collect();
+ });
+ },
+ );
+ }
+ group.finish();
+}
+
+criterion_group!(benches, bench_argpcpd);
+criterion_main!(benches);

changepoint/src/gp/mod.rs

@@ -385,11 +385,11 @@ where
  self.mrc = self.run_length_pr.len();
 
  // Adjust other variables
- self.u = self.u.view((0, 0), (self.mrc - 1, self.mrc - 1)).into();
+ self.u.resize_mut(self.mrc - 1, self.mrc - 1, 0.0);
  self.last_nlml = self.last_nlml.rows_range(0..(self.mrc - 1)).into();
- self.alpha = self.alpha.view((0, 0), (self.mrc - 1, 1)).into();
- self.alpha_t = self.alpha_t.view((0, 0), (self.mrc - 1, 1)).into();
- self.beta_t = self.beta_t.view((0, 0), (self.mrc - 1, 1)).into();
+ self.alpha.resize_mut(self.mrc - 1, 1, 0.0);
+ self.alpha_t.resize_mut(self.mrc - 1, 1, 0.0);
+ self.beta_t.resize_mut(self.mrc - 1, 1, 0.0);
 
  &self.run_length_pr
  }