Related
Background
I'm trying to convert an algorithm from sequential to parallel, but I am stuck.
Point and Figure Charts
I am creating point and figure charts.
Decreasing
While the stock is going down, add an O every time it breaks through the floor.
Increasing
While the stock is going up, add an X every time it breaks through the ceiling.
Reversal
If the stock reverses direction, but the change is less than a reversal threshold (3 units) do nothing. If the change is greater than the reversal threshold, start a new column (X or O)
Sequential vs Parallel
Sequentially, this is pretty straight forward. I keep a variable for the floor and ceiling. If the current price breaks through the floor or ceiling, or changes more than the reversal threshold, I can take the appropriate action.
My question is, is there a way to find these reversal point in parallel? I'm fairly new to thinking in parallel, so I'm sorry if this is trivial. I am trying to do this in CUDA, but I have been stuck for weeks. I have tried using the finite difference algorithms from NVidia. These produce local max / min but not the reversal points. Small fluctuations produce numerous relative max / min, but most of them are trivial because the change is not greater than the reversal size.
My question is, is there a way to find these reversal point in parallel?
one possible approach:
use thrust::unique to remove periods where the price is numerically constant
use thrust::adjacent_difference to produce 1st difference data
use thrust::adjacent_difference on 1st difference data to get the 2nd difference data, i.e the points where there is a change in the sign of the slope.
use these points of change in sign of slope to identify separate regions of data - build a key vector from these (e.g. with a prefix sum). This key vector segments the price data into "runs" where the price change is in a particular direction.
use thrust::exclusive_scan_by_key on the 1st difference data, to produce the net change of the run
Wherever the net change of the run exceeds a threshold, flag as a "reversal"
Your description of what constitutes a reversal may also be slightly unclear. The above method would not flag a reversal on certain data patterns that you might classify as a reversal. I suspect you are looking beyond a single run as I have defined it here. If that is the case, there may be a method to address that as well - with more steps.
Existing implementation:
In my implementation of Tic-Tac-Toe with minimax, I look for all boxes where I can get best result and chose 1 of them randomly, so that the same solution isn't displayed each time.
For ex. if the returned list is [1, 0 , 1, -1], at some point, I will randomly chose between the two highest values.
Question about Alpha-Beta Pruning:
Based on what I understood, when the algorithm finds that it is winning from one path, it would no longer need to look for other paths that might/ might not lead to a winning case.
So will this, like I feel, cause the earliest possible box that leads to the best solution to be displayed as the result and seem the same each time? For example at the time of first move, all moves lead to a draw. So will the 1st box be selected each time?
How can I bring randomness to the solution like with the minimax solution? One way that I thought about now could be to randomly pass the indices to the alpha-beta algorithm. So the result will be the first best solution in that randomly sorted list of positions.
Thanks in advance. If there is some literature on this, I'd be glad to read it.
If someone could post some good reference for aplha-beta pruning, That'll be excellent as I had a hard time understanding how to apply it.
To randomly pick among multiple best solutions (all equal) in alpha-beta pruning, you can modify your evaluation function to add a very small random number whenever you evaluate a game state. You should just make sure that the magnitude of that random number is never greater than the true difference between the evaluations of two states.
For example, if the true evaluation function for your game state can only return values -1, 0, and 1, you could add a randomly generated number in the range [0.0, 0.01] to the evaluation of every game state.
Without this, alpha-beta pruning doesn't necessarily find only one solution. Consider this example from wikipedia. In the middle, you see that two solutions with an evaluation of 6 were found, so it can find more than one. I do actually think it will still find all moves leading to optimal solutions at the root node, but not actually find all solutions deep down in the tree. Suppose, in the example image, that the pruned node with score of 9 in the middle actually had a score of 6. It would still get pruned there, so that particular solution wouldn't be found, but the move from root node leading to it (the middle move at root) would still be found. So, eventually, you would be able to reach it.
Some interesting notes:
This implementation would also work in minimax, and avoid the need to store a list of multiple (equally good) solutions
In more complex games than Tic Tac Toe, where you cannot search the complete state space, adding a small random number for the max player and deducting a small random number for the min player like this may actually slightly improve your heuristic evaluation function. The reason for this is as follows. Suppose in state A you have 5 moves available, and in state B you have 10 moves available, which all result in the same heuristic evaluation score. Intuitively, the successors of state B may be slightly better, because you had more moves available; in many games, having more moves available means that you are in a better position. Because you generated 10 random numbers for the 10 successors of state B, it is also a bit more likely that the highest generated random number is among those 10 (instead of the 5 numbers generated for successors of A)
I am trying to come up with an efficient way to characterize two narrowband tones separated by about 900kHz (one at around 100kHZ and one at around 1MHz once translated to baseband). They don't move much in freq over time but may have amplitude variations we want to monitor.
Each tone is roughly about 100Hz wide and we are required to characterize these two beasts over long periods of time down to a resolution of about 0.1 Hz. The samples are coming in at over 2M Samples/sec (TBD) to adequately acquire the highest tone.
I'm trying to avoid (if possible) doing brute force >2MSample FFTs on the data once a second to extract frequency domain data. Is there an efficient approach? Something akin to performing two (much) smaller FFTs around the bands of interest? Ive looked at Goertzel and chirp z methods but I am not certain it helps save processing.
Something akin to performing two (much) smaller FFTs around the bands of interest
There is, it's called Goertzel, and is kind of the FFT for single bins, and you already have looked at it. It will save you CPU time.
Anyway, there's no reason to do a 2M-point FFT; first of all, you only want a resolution of about 1/20 the sampling rate, hence, a 20-point FFT would totally do, and should be pretty doable for your CPU at these low rates; since you don't seem to care about phase of your tones, FFT->complex_to_mag.
However, there's one thing that you should always do: look at your signal of interest, and decimate down to the rate that fits exactly that. Since GNU Radio's filters are implemented cleverly, the filter itself will only run at the decimated rate, and you can spend the CPU cycles saved on a better filter.
Because a direct decimation from 2MHz to 100Hz (decimation: 20000) will really have an ugly filter length, you should do this multi-rated:
I'd try first decimating by 100, and then in a second step by 100, leaving you with 200Hz observable spectrum. The xlating fir filter blocks will let you use a simple low-pass filter (use the "Low-Pass Filter Taps" block to define a variable that contains such taps) as a band-selector.
Imagines there's a 2D space and in this space there are circles that grow at different constant rates. What's an efficient data structure for storing theses circles, such that I can query "Which circles intersect point p at time t?".
EDIT: I do realize that I could store the initial state of the circles in a spatial data structure and do a query where I intersect a circle at point p with a radius of fastest_growth * t, but this isn't efficient when there are a few circles that grow extremely quickly whereas most grow slowly.
Additional Edit: I could further augment the above approach by splitting up the circles and grouping them by there growth rate, then applying the above approach to each group, but this requires a bounded time to be efficient.
Represent the circles as cones in 3d, where the third dimension is time. Then use a BSP tree to partition them the best you can.
In general, I think the worst-case for testing for intersection is always O(n), where n is the number of circles. Most spacial data structures work by partitioning the space cleverly so that a fraction of the objects (hopefully close to half) are in each half. However, if the objects overlap then the partitioning cannot be perfect; there will always be cases where more than one object is in a partition. If you just think about the case of two circles overlapping, there is no way to draw a line such that one circle is entirely on one side and the other circle is entirely on the other side. Taken to the logical extreme, assuming arbitrary positioning of the circles and arbitrary radiuses, there is no way to partition them such that testing for intersection takes O(log(n)).
This doesn't mean that, in practice, you won't get a big advantage from using a tree, but the advantage you get will depend on the configuration of the circles and the distribution of the queries.
This is a simplified version of another problem I have posted about a week ago:
How to find first intersection of a ray with moving circles
I still haven't had the time to describe the solution that was expected there, but I will try to outline it here(for this simplar case).
The approach to solve this problem is to use a kinetic KD-tree. If you are not familiar with KD trees it is better to first read about them. You also need to add the time as additional coordinate(you make the space 3d instead of 2d). I have not implemented this idea yet, but I believe this is the correct approach.
I'm sorry this is not completely thought through, but it seems like you might look into multiplicatively-weighted Voronoi Diagrams (MWVDs). It seems like an adversary could force you into computing one with a series of well-placed queries, so I have a feeling they provide a lower-bound to your problem.
Suppose you compute the MWVD on your input data. Then for a query, you would be returned the circle that is "closest" to your query point. You can then determine whether this circle actually contains the query point at the query time. If it doesn't, then you are done: no circle contains your point. If it does, then you should compute the MWVD without that generator and run the same query. You might be able to compute the new MWVD from the old one: the cell containing the generator that was removed must be filled in, and it seems (though I have not proved it) that the only generators that can fill it in are its neighbors.
Some sort of spatial index, such as an quadtree or BSP, will give you O(log(n)) access time.
For example, each node in the quadtree could contain a linked list of pointers to all those circles which intersect it.
How many circles, by the way? For small n, you may as well just iterate over them. If you constantly have to update your spatial index and jump all over cache lines, it may end up being faster to brute-force it.
How are the centres of your circles distributed? If they cover the plane fairly evenly you can discretise space and time, then do the following as a preprocessing step:
for (t=0; t < max_t; t++)
foreach circle c, with centre and radius (x,y,r) at time t
for (int X = x-r; X < x+r; x++)
for (int Y = x-r; Y < y+r; y++)
circles_at[X][Y][T].push_back (&c)
(assuming you discretise space and time along integer boundaries, scale and offset however you like of course, and you can add circles later on or amortise the cost by deferring calculation for distant values of t)
Then your query for point (x,y) at time (t) could do a brute-force linear check over circles_at[x][y][ceil(t)]
The trade-off is obvious, increasing the resolution of any of the three dimensions will increase preprocessing time but give you a smaller bucket in circles_at[x][y][t] to test.
People are going to make a lot of recommendations about types of spatial indices to use, but I would like to offer a bit of orthogonal advice.
I think you are best off building a few indices based on time, i.e. t_0 < t_1 < t_2 ...
If a point intersects a circle at t_i, it will also intersect it at t_{i+1}. If you know the point in advance, you can eliminate all circles that intersect the point at t_i for all computation at t_{i+1} and later.
If you don't know the point in advance, then you can keep these time-point trees (built based on the how big each circle would be at a given time). At query time (e.g. t_query), find i such that t_{i-1} < t_query <= t_i. If you check all the possible circles at t_i, you will not have any false negatives.
This is sort of a hack for a data structure that is "time dynamics aware", but I don't know of any. If you have a threaded environment, then you only need to maintain one spacial index and be working on the next one in the background. It will cost you a lot of computation for the benefit of being able to respond to queries with low latency. This solution should be compared at the very least to the O(n) solution (go through each point and check if dist(point, circle.center) < circle.radius).
Instead of considering the circles, you can test on their bounding boxes to filter out the ones which do not contain the point. If your bounding box sides are all sorted, this is essentially four binary searches.
The tricky part is reconstructing the sorted sides for any given time, t. To do that, you can start off with the original points: two lists for the left and right sides with the x coordinate, and two lists for top and bottom with the y coordinates. For any time greater than 0, all the left side points will move to left, etc. You only need to check each location to the one next to it to obtain a points where the element and the one next to it are are swapped. This should give you a list of time points to modify your ordered lists. If you now sort these modification records by time, for any given starting time and an ending time you can extract all the modification records between the two, and apply them to your four lists in order. I haven't completely figured out the algorithm, but I think there will be edge cases where three or more successive elements can cross over exactly at the same time point, so you may need to modify the algorithm to handle those edge cases as well. Perhaps a list modification record that contains the position in list, and the number of records to reorder would suffice.
I think it's possible to create a binary tree that solves this problem.
Each branch should contain a growing circle, a static circle for partitioning and the latest time at which the partitioning circle cleanly partitions. Further more the growing circle that is contained within a node should always have a faster growing rate than either of it's child nodes' growing circles.
To do a query, take the root node. First check it's growing circle, if it contains the query point at the query time, add it to the answer set. Then, if the time that you're querying is greater than the time at which the partition line is broken, query both children, otherwise if the point falls within the partitioning circle, query the left node, else query the right node.
I haven't quite completed the details of performing insertions, (the difficult part is updating the partition circle so that the number of nodes on the inside and outside is approximately equal and the time when the partition is broken is maximized).
To combat the few circles that grow quickly case, you could sort the circles in descending order by rate of growth and check each of the k fastest growers. To find the proper k given t, I think you can perform a binary search to find the index k such that k*m = (t * growth rate of k)^2 where m is a constant factor you'll need to find by experimentation. The will balance the part the grows linearly with k with the part that falls quadratically with the growth rate.
If you, as already suggested, represent growing circles by vertical cones in 3d, then you can partition the space as regular (may be hexagonal) grid of packed vertical cylinders. For each cylinder calculate minimal and maximal heights (times) of intersections with all cones. If circle center (vertex of cone) is placed inside the cylinder, then minimal time is zero. Then sort cones by minimal intersection time. As result of such indexing, for each cylinder you’ll have the ordered sequence of records with 3 values: minimal time, maximal time and circle number.
When you checking some point in 3d space, you take the cylinder it belongs to and iterate its sequence until stored minimal time exceeds the time of the given point. All obtained cones, which maximal time is less than given time as well, are guaranteed to contain given point. Only cones, where given time lies between minimal and maximal intersection times, are needed to recalculate.
There is a classical tradeoff between indexing and runtime costs – the less is the cylinder diameter, the less is the range of intersection times, therefore fewer cones need recalculation at each point, but more cylinders have to be indexed. If circle centers are distributed non-evenly, then it may be worth to search better cylinder placement configuration then regular grid.
P.S. My first answer here - just registered to post it. Hope it isn’t late.
Update
Just for future reference, I'm going to list all of the statistics that I'm aware of that can be maintained in a rolling collection, recalculated as an O(1) operation on every addition/removal (this is really how I should've worded the question from the beginning):
Obvious
Count
Sum
Mean
Max*
Min*
Median**
Less Obvious
Variance
Standard Deviation
Skewness
Kurtosis
Mode***
Weighted Average
Weighted Moving Average****
OK, so to put it more accurately: these are not "all" of the statistics I'm aware of. They're just the ones that I can remember off the top of my head right now.
*Can be recalculated in O(1) for additions only, or for additions and removals if the collection is sorted (but in this case, insertion is not O(1)). Removals potentially incur an O(n) recalculation for non-sorted collections.
**Recalculated in O(1) for a sorted, indexed collection only.
***Requires a fairly complex data structure to recalculate in O(1).
****This can certainly be achieved in O(1) for additions and removals when the weights are assigned in a linearly descending fashion. In other scenarios, I'm not sure.
Original Question
Say I maintain a collection of numerical data -- let's say, just a bunch of numbers. For this data, there are loads of calculated values that might be of interest; one example would be the sum. To get the sum of all this data, I could...
Option 1: Iterate through the collection, adding all the values:
double sum = 0.0;
for (int i = 0; i < values.Count; i++) sum += values[i];
Option 2: Maintain the sum, eliminating the need to ever iterate over the collection just to find the sum:
void Add(double value) {
values.Add(value);
sum += value;
}
void Remove(double value) {
values.Remove(value);
sum -= value;
}
EDIT: To put this question in more relatable terms, let's compare the two options above to a (sort of) real-world situation:
Suppose I start listing numbers out loud and ask you to keep them in your head. I start by saying, "11, 16, 13, 12." If you've just been remembering the numbers themselves and nothing more, and then I say, "What's the sum?", you'd have to think to yourself, "OK, what's 11 + 16 + 13 + 12?" before responding, "52." If, on the other hand, you had been keeping track of the sum yourself while I was listing the numbers (i.e., when I said, "11" you thought "11", when I said "16", you thought, "27," and so on), you could answer "52" right away. Then if I say, "OK, now forget the number 16," if you've been keeping track of the sum inside your head you can simply take 16 away from 52 and know that the new sum is 36, rather than taking 16 off the list and them summing up 11 + 13 + 12.
So my question is, what other calculations, other than the obvious ones like sum and average, are like this?
SECOND EDIT: As an arbitrary example of a statistic that (I'm almost certain) does require iteration -- and therefore cannot be maintained as simply as a sum or average -- consider if I asked you, "how many numbers in this collection are divisible by the min?" Let's say the numbers are 5, 15, 19, 20, 21, 25, and 30. The min of this set is 5, which divides into 5, 15, 20, 25, and 30 (but not 19 or 21), so the answer is 5. Now if I remove 5 from the collection and ask the same question, the answer is now 2, since only 15 and 30 are divisible by the new min of 15; but, as far as I can tell, you cannot know this without going through the collection again.
So I think this gets to the heart of my question: if we can divide kinds of statistics into these categories, those that are maintainable (my own term, maybe there's a more official one somewhere) versus those that require iteration to compute any time a collection is changed, what are all the maintainable ones?
What I am asking about is not strictly the same as an online algorithm (though I sincerely thank those of you who introduced me to that concept). An online algorithm can begin its work without having even seen all of the input data; the maintainable statistics I am seeking will certainly have seen all the data, they just don't need to reiterate through it over and over again whenever it changes.
First, the term that you want here is online algorithm. All moments (mean, standard deviation, skew, etc.) can be calculated online. Others include the minimum and maximum. Note that median and mode can not be calculated online.
To consistently maintain the high/low you store your data in sorted order. There are algorithms for maintaining data structures which preserves ordering.
Median is trivial if the data is ordered.
If the data is reduced slightly to a frequency table, you can maintain mode. If you keep your data as a random, flat list of values, you can't easily compute mode in the presence of change.
The answers to this question on online algorithms might be useful. Regarding the usability for your needs, I'd say that while some online algorithms can be used for estimating summary statistics with partial data, others may be used to maintain them from a data flow just as you like.
You might also want to look at complex event processing (or CEP), which is used for tracking and analysing real time data, for example in finance or web commerce. The only free CEP product I know of is Esper.
As Jason says, you are indeed describing an online algorithm. I've also seen this type of computation referred to as the Accumulator Pattern, whether the loop is implemented explicitly or by recursion.
Not really a direct answer to your question, but for many statistics that are not online statistics you can usually find some rules to calculate by iteration only part of the time, and cache the correct value the rest of the time. Is this possibly good enough for you?
For high value for example:
public void Add(double value) {
values.Add(value);
if (value > highValue)
highValue = value;
}
public void Remove(double value) {
values.Remove(value);
if (value.WithinTolerance(highValue))
highValue = RecalculateHighValueByIteration();
}
It's not possible to maintain high or low with constant-time add and remove operations because that would give you a linear-time sorting algorithm. You can use a search tree to maintain the data in sorted order, which gives you logarithmic-time minimum and maximum. If you also keep subtree sizes and the count, it's simple to find the median too.
And if you just want to maintain the high or low in the presence of additions and removals, look into priority queues, which are more efficient for that purpose than search trees.
If you don't know the exact size of the dataset in advance, or if it is potentially unlmited, or you just want some ideas, you should definitely look into techniques used in Streaming Algorithms.
It does sound (even after your 2nd edit) that you are describing on-line algorithms, with the additional requirement that you want to allow "delete" operations. An example of this are the "sketch algorithms" used for finding frequent items in a stream.