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An OpenCL implementation of Kernel Density Estimation

Project description

This repository implements Gaussian Kernel Density Estimation using OpenCL to achieve important performance gains.

The Python interface is based on the Scipy's gaussian_kde class, so it should be pretty easy to replace the CPU implementation of gaussian_kde with the OpenCL implementation in this repository gaussian_kde_ocl.

Example Code

import numpy as np
from kde_ocl import gaussian_kde_ocl

# Generate dummy training data (10000 instances of 2D data)
train = np.random.multivariate_normal([0,0], [[1,0],[0,1]], 10000)
# Generate dummy test data (10000 instances of 2D data)
test = np.random.multivariate_normal([0,0], [[1,0],[0,1]], 100)

# Train the KDE model
kde = gaussian_kde_ocl(train)

# Get the pdf of each test point. This is equivalent to kde.pdf(test)
pdf = kde(test)

# Get the logpdf of each test point. This is equivalent to kde.pdf(test)
logpdf = kde.logpdf(test)

The interface is mostly the same as Scipy's gaussian_kde, but the axis order is changed. For example, training a Scipy's gaussian_kde with a numpy array of shape (10000, 2) is interpreted as two instances of 10000 dimensions. In gaussian_kde_ocl, this data is interpreted as 10000 instances of 2 dimensions. This change makes easier to work with pandas dataframes:

import pandas as pd
import numpy as np
from kde_ocl import gaussian_kde_ocl

# Create pandas dataframe 
a = np.random.normal(0, 1, 5000)
b = np.random.normal(3.2, np.sqrt(1.8), 5000)
data = pd.DataFrame({'a': a, 'b': b})

# Train KDE model
kde = gaussian_kde_ocl(data.values)

# Evaluate one point
logpdf = kde.logpdf([1.1, 2.3])

Performance

This is a comparison of the gaussian_kde_ocl and Scipy's gaussian_kde with 2D data and the following configuration:

  • CPU: Intel i7-6700K.
  • GPU: AMD RX 460.
  • Python 3.7.3
  • Ubuntu 16.04

pdf() method

Training instances / Test instances gaussian_kde_ocl.pdf() gaussian_kde.pdf() Speedup
100,000 / 1,000 218.6474 ± 1.5901 ms 1,911.0764 ± 50.8762 ms 8.74x
1,000 / 10,000,000 18.8643 ± 0.07322 s 237.3429 ± 1.1765 s 12.58x
100 / 10,000 4.4533 ± 0.7297 ms 18.0684 ± 0.3302 ms 4.46x

logpdf() method

Training instances / Test instances gaussian_kde_ocl.logpdf() gaussian_kde.logpdf() Speedup
100,000 / 1,000 261.1466 ± 6.3932 ms 6,798.4730 ± 420.2878 ms 26.03x
1,000 / 10,000,000 36.3143 ± 0.02916 s MemoryError NA
100 / 10,000 8.827 ± 0.7442 ms 34.1114 ± 1.3060 ms 3.86x

Current Limitations

  • Only C order (the default) numpy arrays can be used as traning/test datasets.
  • Only Gaussian kernels are implemented.
  • OpenCL device is selected automatically.

Dependencies

The library is Python 2/3 compatible. Currently, is tested in Ubuntu 16.04, but should be compatible with other operating systems where there are OpenCL GPU support.

Python Dependencies

The project has the following Python dependencies:

cffi numpy six

You can install them with:

pip install cffi numpy six

Rust

The Rust compiler must be installed in the system. Check out https://www.rust-lang.org/tools/install for more information.

The default Rust toolchain is used to compile the library, so make sure to install a Rust toolchain (32 vs 64 bits) compatible with the Python interpreter version (32 vs 64 bits).

OpenCL

The GPU drivers that enable OpenCL should be installed.

Installation

Use pip:

pip install kde_ocl

Alternatively, clone the repository and use the setup script:

python setup.py install

Testing

Tests are run using pytest and requires scipy to compare gaussian_kde_ocl with Scipy's gaussian_kde. Install them:

pip pytest scipy

Run the tests with:

pytest

Benchmarks

To run the benchmarks, pytest-benchmark is needed:

pip pytest-benchmark

Then, execute the tests with benchmarks enabled:

pytest --times

To run only the OpenCL benchmarks:

pytest --times-ocl

To run only the Scipy's gaussian_kde benchmarks:

pytest --times-scipy

Project details


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This version

0.1.0

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