Non-diffusive atmospheric flow #9: speeding up KDE

January 30, 2015

The Haskell kernel density estimation code in the last article does work, but it’s distressingly slow. Timing with the Unix time command (not all that accurate, but it gives a good idea of orders of magnitude) reveals that this program takes about 6.3 seconds to run. For a one-off, that’s not too bad, but in the next article, we’re going to want to run this type of KDE calculation thousands of times, in order to generate empirical distributions of null hypothesis PDF values for significance testing. So we need something faster.

It’s quite possible that the Haskell code here could be made quite a bit faster. I didn’t spend a lot of time thinking about optimising it. I originally tried a slightly different approach using a mutable matrix to accumulate the kernel values across the data points, but this turned out to be slower than very simple code shown in the previous article (something like ten times slower!). It’s clear though that this calculation is very amenable to parallelisation – the unnormalised PDF value at each point in the (θ,ϕ)(\theta, \phi) grid can by calculated independently of any other grid point, and the calculation for each grid point accesses all of the data points in a very regular way.

So, let’s parallelise. I have an NVIDIA graphics card in my machine here, so it’s very tempting to do something with CUDA. If I was a real Haskell programmer, I’d use Accelerate, which is an embedded DSL for data parallel array processing that has a CUDA backend. Unfortunately, a few experiments revealed that it would take me a while to learn how to use Accelerate, which has some restrictions on how you can structure algorithms that didn’t quite fit with the way I was trying to do things. So I gave up on that.

However, I’ve been writing quite a lot of CUDA C++ recently, so I decided to use the simple FFI bindings to the CUDA runtime API in the Haskell cuda package, and to write the CUDA code itself in C++. If you’re at all familiar with CUDA C++, running kernels from Haskell turns out to be really pretty easy.

I’m not going to get into a long description of CUDA itself here. You can read all about it on the NVIDIA website or there are a couple of MOOCs that cover parallel programming with CUDA1.

Here’s the CUDA code for the KDE calculation:

I’ll just say a couple of things about it:

  • We launch CUDA threads in two-dimensional blocks set up to cover the whole of the (θ,ϕ)(\theta, \phi) grid: the row and column in the grid are calculated from the CUDA block and thread indexes in the first two lines of the kernel.

  • The main part of the computation is completely straightforward: each thread determines the coordinates of the grid point it’s working on, then loops over all the data points (which are stored flattened into the d_data vector) accumulating values of the KDE Epanechnikov kernel, finally writing the result out to the d_pdf vector (also a two-dimensional array flattened into a vector in row-major order).

  • We do almost nothing to optimise the CUDA code: this is just about the simplest CUDA implementation of this algorithm that’s possible, and it took about five minutes to write. The only “clever” thing is the declaration of the input data point array as const double * __restrict__ d_data. This little bit of magic tells the CUDA C++ compiler that the d_data array will not be aliased, contains data that will not be modified during the execution of the CUDA kernel, and is accessed in a consistent pattern across all threads running the kernel. The upshot of this is that the compiler can generate code that causes the GPU to cache this data very aggressively (actually, on more recent GPUs, in a very fast L1 cache). Since every thread accesses all of the data points stored in d_data, this can lead to a large reduction in accesses to global GPU memory. Much optimisation of GPU code comes down to figuring out ways to reduce global memory bandwidth, since global memory is much slower than the registers and local and shared memory in the multiprocessors in the GPU. The usual approach to this sort of thing is to load chunks of data into shared memory (“shared” in this context means shared between GPU threads within a single thread block), which is faster than global memory. This requires explicitly managing this loading though, which isn’t always very convenient. In contrast, telling the CUDA compiler that it can cache d_data in this way has more or less the same effect, with next to no effort.

The CUDA code is compiled to an intermediate format called PTX using the NVIDIA C++ compiler, nvcc:

  nvcc -O2 -ptx -arch=compute_50 -code=sm_50 make_pdf.cu

The arch and code options tell the compiler to produce code for NVIDIA devices with “compute capability” 5.0, which is what the GPU in my machine has.

Calling the CUDA code from Haskell isn’t too hard. Here, I show just the parts that are different from the previous Haskell-only approach:

First, we need to initialise the CUDA API and load our compiled module. The PTX format is just-in-time compiled to binary code for the installed GPU during this step, and we output some information about the compilation process.

Allocating memory on the GPU is done using the cuda package’s versions of functions like mallocArray, and the pokeArray function is used to transfer data from the host (i.e. the CPU) to the GPU memory. The CUDA kernel is then run using the launchKernel function, which takes arguments specifying the layout of threads and thread blocks to use (the values shown in the code above were the best I found from doing a couple of quick timing experiments), as well as the parameters to pass to the kernel function. Once the kernel invocation is finished, the results can be retrieved using the peekArray function.

This is all obviously a little bit grungy and it would definitely be nicer from an aesthetic point of view to use something like Accelerate, but if you already know CUDA C++ and are familiar with the CUDA programming model, it’s really not that hard to do this sort of mixed language CPU/GPU programming.

And is it fast? Oh yeah. Again, using the very unsophisticated approach of measuring elapsed time using the Unix time utility, we find that the CUDA version of the KDE code runs in about 0.4 seconds on my machine. That’s more than ten times faster than the Haskell only version, on a not very beefy GPU. And as I’ve said, I’ve not put any real effort into optimising the CUDA code. I’m sure it could be made to go faster. But for our purposes, this is good enough. In the next article, we’ll want to run this code 10,000 times (you’ll see why), which will take a little over an hour with the CUDA code, rather than nearly 17 hours with the Haskell-only code. For writing library code, or for more performance-critical applications, you would obviously put a lot more effort into optimisation (think about all the FFT stuff from earlier articles!), but for this kind of one-off data analysis task, there’s no benefit to spending more time. It’s easy to set off an analysis job, go for lunch and have the results ready when you come back.


  1. The Udacity course is pretty good, as is the Coursera Heterogeneous Parallel Programming course.