Quality comparison of floating-point maths libraries

April 10, 2011
By

(This article was first published on The Shape of Code » R, and kindly contributed to R-bloggers)

What is the best way to compare the quality of floating-point math libraries (e.g., sin, cos and log)? The traditional approach for evaluating the quality of an algorithm implementing a mathematical function is based on mathematics; methods have been developed to calculate the maximum error between the calculated and the actual value. The answer produced by this approach does not say anything about how frequently this maximum error will occur, only that it occurs at least once.

The log (natural logarithm) is probably the most frequently used mathematical function and I decided to compare a few implementations; R statistical package version 2.11.1 and glibc (libm version 2.11.2) both running under Suse 11.3 on an AMD Athlon 64 X2, and Cygwin version 1.7.1 under Windows XP SP 2 on another AMD Athlon 64 X2.

The algorithm often used to implement mathematical functions involves evaluating a polynomial expression (e.g., Chebyshev polynomials) within a small range of values (various methods are used to map the argument into this range and then scale the calculated result). I decided to initially treat the implementations under test as black boxes and did not know the ranges they used; a range of 0.1 to 1.0 seemed like a good idea and I generated all single precision floating-point values between these two bounds (all 28,521,267 of them, with each adjacent pair still having 2^29 double precision values between them).

#include <math.h>
#include <stdio.h>
 
int main(int argc, char *argv[])
{
float val = 0.1,
       max_val = 1.0;
 
while (val < max_val)
   {
   printf("%12.10f\n", val);
   val=nextafterf(val, 1.1);
   }
}

This list of 28 million values was fed as input to three programs:

  • bc, which was used to generate the list of assumed to be correct logarithm of these 28 million values. R supports 64-bit IEEE compliant floating-point values, as do the C compilers/libraries used, and the number of decimal digits supported in this representation is 15. To provide greater accuracy to compare against the values generated by bc contained 17 digits, an extra two decimal digits over the IEEE values.
    scale=17
    while ((val=read() > 0))
       l(val)
  • A C program.
    #include <math.h>
    #include <stdio.h>
     
    int main(int argc, char *argv[])
    {
    double val;
     
    while (!feof(stdin))
       {
       scanf("%lf", &val);
       printf("%17.15f\n", log(val));
       }
    }
  • A R program.
    base_range=file("stdin", open="r")
     
    base_val=as.numeric(readLines(base_range, n=1))
    while (length(base_val) != 0)
       {
       cat(format(log(base_val), nsmall=15), file=stdout())
       cat("\n", file=stdout())
     
       base_val=as.numeric(readLines(base_range, n=1))
       }

The output of the C and R programs was then compared against the output from bc; which unfortunately creates a dependency on the accuracy of the C & R binary to decimal output routines (the subsequent comparison process gets around the decimal-to-binary input problem by reading the log values as strings and comparing the last few digits of each respective value). Accurate floating-point I/O needs something like hexadecimal floating constants.

Plotting the number of computed values of log that differ by a given amount from the value computed by bc we get (values whose error is below -50 will be rounded down and those above 50 rounded up, ignoring the issue of round to even):

Error in evaluation of log

The results (raw data for R, Linux C and Cygwin C) show that around 5.6% of values are off by one in the last (15th) digit (Cygwin was slightly worse at 5.7%). The results for R/Linux C were almost identical and a quick check of the R source tree showed that R calls the C library function to evaluate log (it is a bit worrying that R is dependent on the host maths library, they should think about replacing this dependency by something like MPFR tout suite; even though the 64-bit glibc library is of very high quality it still has an environmental dependency).

Being off by one in the last decimal place is unlikely to keep many people awake at night. But if we want a measure of quality, is percentage of inaccurate values a useful measure of math library quality? Provided it is coupled with the amount of inaccuracy I think this is a useful measure.

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