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Numerical methods challenge: Day 30

During October (2017) I will write a program per day for some well-known numerical methods in both Python and Julia. It is intended to be an exercise then don't expect the code to be good enough for real use. Also, I should mention that I have almost no experience with Julia, so it probably won't be idiomatic Julia but more Python-like Julia.

Conjugate gradient

Today we have the conjugate gradient method. This method is commonly used to solve positive-definite linear systems of equations. Compared with gradient descent, we choose as descent direction a direction that is conjugated with the residual, that is, it is orthogonal with the matrix as weighting.

Following are the codes

Python

from __future__ import division, print_function
import numpy as np


def conj_grad(A, b, x, tol=1e-8):
    r = b - A.dot(x)
    p = r
    rsq_old = r.dot(r)
    for cont in range(len(b)):
        Ap = A.dot(p)
        alpha = rsq_old / p.dot(Ap)
        x = x + alpha*p
        r = r - alpha*Ap
        rsq_new = r.dot(r)
        if np.sqrt(rsq_new) < tol:
            break
        p = r + (rsq_new / rsq_old) * p
        rsq_old = rsq_new
    return x, cont, np.sqrt(rsq_new)


N = 1000
A = -np.diag(2*np.ones(N)) + np.diag(np.ones(N-1), -1) +\
    np.diag(np.ones(N-1), 1)
b = np.ones(N)
x0 = np.ones(N)
x, niter, accu = conj_grad(A, b, x0)

Julia

function conj_grad(A, b, x; tol=1e-8)
    r = b - A * x
    p = r
    rsq_old = dot(r, r)
    niter = 1
    for cont = 1:length(b)
        Ap = A * p
        alpha = rsq_old / dot(p, Ap)
        x = x + alpha*p
        r = r - alpha*Ap
        rsq_new = dot(r, r)
        if sqrt(rsq_new) < tol
            break
        end
        p = r + (rsq_new / rsq_old) * p
        rsq_old = rsq_new
        niter += 1
    end
    return x, niter, norm(r)
end


N = 1000
A = -diagm(2*ones(N)) + diagm(ones(N-1), -1) + diagm(ones(N-1), 1)
b = ones(N)
x0 = ones(N)
x, niter, accu = conj_grad(A, b, x0)

In this case, we are testing the method with a matrix that comes from the discretization of the second order derivative using finite differences.

Comparison Python/Julia

Regarding number of lines we have: 27 in Python and 27 in Julia. The comparison in execution time is done with %timeit magic command in IPython and @benchmark in Julia.

For Python:

%timeit conj_grad(A, b, x0)

with result

10 loops, best of 3: 107 ms per loop

For Julia:

@benchmark conj_grad(A, b, x0)

with result

BenchmarkTools.Trial:
  memory estimate:  27.13 MiB
  allocs estimate:  3501
  --------------
  minimum time:     128.477 ms (0.54% GC)
  median time:      294.407 ms (0.24% GC)
  mean time:        298.208 ms (0.30% GC)
  maximum time:     464.223 ms (0.30% GC)
  --------------
  samples:          17
  evals/sample:     1

In this case, we can say that the Python code is roughly 2 times faster than Julia code.

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