MATLAB fast (componentwise) vector operations are…really fast

问题

I am writing MATLAB scripts since some time and, still, I do not understand how it works "under the hood". Consider the following script, that do some computation using (big) vectors in three different ways:

MATLAB vector operations;
Simple for cycle that do the same computation component-wise;
An optimized cycle that is supposed to be faster than 2. since avoid some allocation and some assignment.

Here is the code:

N = 10000000;

A = linspace(0,100,N);
B = linspace(-100,100,N);
C = linspace(0,200,N);
D = linspace(100,200,N);

% 1. MATLAB Operations
tic
C_ = C./A;
D_ = D./B;

G_ = (A+B)/2;
H_ = (C_+D_)/2;
I_ = (C_.^2+D_.^2)/2;

X = G_ .* H_;
Y = G_ .* H_.^2 + I_;
toc
tic
X;
Y;
toc

% 2. Simple cycle
tic
C_ = zeros(1,N);
D_ = zeros(1,N);
G_ = zeros(1,N);
H_ = zeros(1,N);
I_ = zeros(1,N);
X = zeros(1,N);
Y = zeros(1,N);
for i = 1:N,
  C_(i) = C(i)/A(i);
  D_(i) = D(i)/B(i);

  G_(i) = (A(i)+B(i))/2;
  H_(i) = (C_(i)+D_(i))/2;
  I_(i) = (C_(i)^2+D_(i)^2)/2;

 X(i) = G_(i) * H_(i);
 Y(i) = G_(i) * H_(i)^2 + I_(i);
end
toc
tic
X;
Y;
toc

% 3. Opzimized cycle
tic
X = zeros(1,N);
Y = zeros(1,N);
for i = 1:N,
  X(i) = (A(i)+B(i))/2 * (( C(i)/A(i) + D(i)/B(i) ) /2);
  Y(i) = (A(i)+B(i))/2 * (( C(i)/A(i) + D(i)/B(i) ) /2)^2 +  ( (C(i)/A(i))^2 + (D(i)/B(i))^2 ) / 2;
end
toc
tic
X;
Y;
toc

I know that one shall always try to vectorize computations, being MATLAB build over matrices/vectors (thus, nowadays, it is not always the best choice), so I am expecting that something like:

C = A .* B;

is faster than:

for i in 1:N,
  C(i) = A(i) * B(i);
end

What I am not expecting is that it is actually faster even in the above script, despite the second and the third methods I am using go through only one cycle, whereas the first method performs many vector operations (which, theoretically, are a "for" cycle every time). This force me to conclude that MATLAB has some magic that permit (for example) to:

C = A .* B;
D = C .* C;

to be run faster than a single "for" cycle with some operation inside it.

So:

what is the magic that avoid the 1st part to be executed so fast?
when you write "D= A .* B" does MATLAB actually do a component wise computation with a "for" cycle, or simply keeps track that D contains some multiplication of "bla" and "bla"?

EDIT

suppose I want to implement the same computation using C++ (using maybe some library). Will be the first method of MATLAB be faster even than the third one implemented in C++? (I'll answer to this question myself, just give me some time.)

EDIT 2

As requested, here there are the experiment runtimes:

Part 1: 0.237143

Part 2: 4.440132 of which 0.195154 for allocation

Part 3: 2.280640 of which 0.057500 for allocation

and without JIT:

Part 1: 0.337259

Part 2: 149.602017 of which 0.033886 for allocation

Part 3: 82.167713 of which 0.010852 for allocation

回答1:

The first one is the fastest because vectorized code can be easily interpreted to a small number of optimized C++ library calls. Matlab could also optimize it at more high level, for example, replace G*H+I with an optimized mul_add(G,H,I) instead of add(mul(G,H),I) in its core.

The second one can't be converted to C++ calls easily. It has to be interpreted or compiled. The most modern approach for scripting languages is JIT-compilation. The Matlab JIT compiler is not very good but it doesn't mean it has to be so. I don't know why MathWorks don't improve it. Thus #2 performs so slow that #1 is faster even it makes more "mathematical" operations.

Julia language was invented to be a compromise between Matlab expression and C++ speed. The same non-vectorized code (julia vs matlab) works very fast because JIT-compilation is very good.

回答2:

Regarding performance optimization I follow @memyself suggestion using the profiler for both approaches as mentioned in 'for' loop vs vectorization in MATLAB.

For educational purposes it does make sense to experiment with numerical algorithms, for anything else I would go with well proven libraries.

来源：https://stackoverflow.com/questions/16846042/matlab-fast-componentwise-vector-operations-are-really-fast

标签

matlab

optimization

for-loop

runtime

vectorization