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Refs EA31337#738. Matrix multiplication fallback for MT4. CPU version…
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… now uses new API for reading/writing directly to flat arrays.
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@nseam
nseam committed May 2, 2024
1 parent 0b9bbfd commit 6f4492c
Showing 1 changed file with 129 additions and 37 deletions.
166 changes: 129 additions & 37 deletions Matrix.mqh
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Original file line number Diff line number Diff line change
Expand Up @@ -24,7 +24,9 @@
#ifndef MATRIX_MQH
#define MATRIX_MQH

#ifdef __MQL5__
#define MATRIX_USE_OPENCL
#endif

#ifdef USE_MQL_MATH_STAT
#ifdef __MQL5__
Expand All @@ -33,11 +35,14 @@
#endif

#include "Math.h"

#ifdef MATRIX_USE_OPENCL
#include "OpenCL.h"

#resource "Matrix.matmul.cl" as string CLSource_Matrix_MatMul
#resource "Matrix.matmul.naive.cl" as string CLSource_Matrix_MatMul_Naive
#resource "Matrix.matmul.test.cl" as string CLSource_Matrix_MatMul_Test
#endif // MATRIX_USE_OPENCL

#define MATRIX_DIMENSIONS 6
#define MATRIX_VALUES_ARRAY_INCREMENT 500
Expand Down Expand Up @@ -748,7 +753,7 @@ class Matrix {
static DictStruct<int, Ref<OpenCLBuffer>> cl_buffers_in_1;
static DictStruct<int, Ref<OpenCLBuffer>> cl_buffers_out;

#endif
#endif // MATRIX_USE_OPENCL

// Array with declaration of items per matrix's dimension.
int dimensions[MATRIX_DIMENSIONS];
Expand Down Expand Up @@ -777,12 +782,16 @@ class Matrix {
// change to this matrix.
unsigned long version;

#ifdef MATRIX_USE_OPENCL

// OpenCL program for multi-core MatMul.
static Ref<OpenCLProgram> cl_program_matmul;

// OpenCL program for single-core MatMul.
static Ref<OpenCLProgram> cl_program_matmul_single;

#endif // MATRIX_USE_OPENCL

/**
* Constructor.
*/
Expand Down Expand Up @@ -857,7 +866,7 @@ class Matrix {
#ifdef MATRIX_USE_OPENCL

/**
*
* Initializes OpenCL programs.
*/
void InitializeOpenCL() {
if (cl_program_matmul.IsSet()) {
Expand All @@ -875,9 +884,57 @@ class Matrix {
"matmul");
}

#endif
#endif // MATRIX_USE_OPENCL

public:
/**
* Returns value from a flattened data cache (flattens data firstly if neccessary).
*/
X FlatRead(int _idx) {
FlattenMaybe();
return flattened_cache[_idx];
}

/**
* Writes value into flattened data cache (creates/clears cache if needed).
*/
void FlatWrite(int _idx, X value) {
if (version > flattened_cache_version) {
// Matrix has new data. Updating flattened data cache.
GetRawArrayNoCache(flattened_cache);
flattened_cache_version = version;
}

flattened_cache[_idx] = value;
++flattened_cache_version;
}

/**
* Initializes matrix from the flattened data cache. Used after FlatWrite() to apply changes.
*/
void FlatApply() {
if (version >= flattened_cache_version) {
return;
}

unsigned long _new_version = flattened_cache_version;

FillFromArray(flattened_cache);

version = flattened_cache_version = _new_version;
}

/**
* Will prepare flattened data cache if needed.
*/
void FlattenMaybe() {
if (flattened_cache_version >= version) {
return;
}
GetRawArrayNoCache(flattened_cache);
flattened_cache_version = version;
}

/**
* Returns matrix's data version.
*/
Expand All @@ -893,6 +950,8 @@ class Matrix {
*/
void Modified() { ++version; }

#ifdef MATRIX_USE_OPENCL

/**
* Returns/allocs and returns buffer of the given size to be used in CL operations as first input parameter.
*/
Expand Down Expand Up @@ -941,6 +1000,8 @@ class Matrix {
return _buffer.Ptr();
}

#endif // MATRIX_USE_OPENCL

/**
* Matrix initializer.
*/
Expand Down Expand Up @@ -1450,29 +1511,42 @@ class Matrix {
return MinOf((X)0);
}

static void MatMul(Matrix<X>& source, Matrix<X>& target, Matrix<X>& output) {
/**
* Performs matrix multiplication on CPU or GPU.
*/
static void MatMul(Matrix<X>& _source, Matrix<X>& _target, Matrix<X>& _output) {
#ifdef MATRIX_USE_OPENCL
MatMulCL(source, target, output);
return;
MatMulCL(_source, _target, _output);
#else
MatMulCPU(_source, _target, _output);
#endif
}

if (source.GetSize() != target.GetRange(1)) {
/**
* Performs matrix multiplication on CPU.
*/
static void MatMulCPU(Matrix<X>& _source, Matrix<X>& _target, Matrix<X>& _output) {
if (_source.GetSize() != _target.GetRange(1)) {
Alert("Inconsistent size of matrices!");
}

int num_outputs = target.GetRange(0);
int num_inputs = target.GetRange(1);
int _rows_a = _source.GetRange(0);
int _cols_a = _source.GetRange(1);
int _cols_b = _target.GetRange(1);

output.SetShape(num_outputs);
_output.SetShape(_rows_a, _cols_b);

for (int output_idx = 0; output_idx < num_outputs; ++output_idx) {
output[output_idx] = 0;
for (int input_idx = 0; input_idx < num_inputs; ++input_idx) {
output[output_idx] += source[input_idx].Val() * target[output_idx][input_idx].Val();
for (int i = 0; i < _rows_a; i++) {
for (int j = 0; j < _cols_b; j++) {
double sum = 0.0;
for (int k = 0; k < _cols_a; k++) {
sum += _source.FlatRead(i * _cols_a + k) * _target.FlatRead(k * _cols_b + j);
}
_output.FlatWrite(i * _cols_b + j, sum);
}
}

output.Modified();
_output.FlatApply();
}

#ifdef MATRIX_USE_OPENCL
Expand Down Expand Up @@ -1650,6 +1724,16 @@ class Matrix {
}
}

/**
* Fills array with all values from the matrix.
*/
void GetRawArrayNoCache(X& array[]) {
// Filling target array with flattened matrix data.
int offset = 0;
ArrayResize(array, GetSize());
ptr_first_dimension.FillArray(array, offset);
}

/**
* Fills array with all values from the matrix.
*/
Expand All @@ -1660,10 +1744,7 @@ class Matrix {
return;
}

// Filling target array with flattened matrix data.
int offset = 0;
ArrayResize(array, GetSize());
ptr_first_dimension.FillArray(array, offset);
GetRawArrayNoCache(array);

// Copying target array into our flattened data cache.
ArrayResize(flattened_cache, 0, 1024);
Expand Down Expand Up @@ -1712,6 +1793,9 @@ class Matrix {
}
#endif

/**
* Fills matrix with the flattened data. Also fill flattened data cache.
*/
void FillFromArray(X& _array[]) {
if (ArraySize(_array) != GetSize()) {
Print("Matrix::FillFromArray(): input array (", ArraySize(_array), " elements) must be the same size as matrix (",
Expand All @@ -1720,8 +1804,12 @@ class Matrix {

int offset = 0;
ptr_first_dimension.FromArray(_array, offset);

Modified();

// We also fill flattened data cache.
ArrayResize(flattened_cache, ArraySize(_array));
ArrayCopy(flattened_cache, _array);
flattened_cache_version = version;
}

/**
Expand Down Expand Up @@ -2567,36 +2655,40 @@ class Matrix {
}
};

#ifdef __MQL__
template <typename X>
unsigned long Matrix::version_counter = 0;
#else
template <typename X>
unsigned long Matrix<X>::version_counter = 0;
#endif // __MQL__

#ifdef MATRIX_USE_OPENCL

#ifdef __MQL__
template <typename X>
static unsigned long Matrix::version_counter = 0UL;
template <typename X>
static Ref<OpenCLProgram> Matrix::cl_program_matmul;
Ref<OpenCLProgram> Matrix::cl_program_matmul;
template <typename X>
static Ref<OpenCLProgram> Matrix::cl_program_matmul_single;
Ref<OpenCLProgram> Matrix::cl_program_matmul_single;
template <typename X>
static DictStruct<int, Ref<OpenCLBuffer>> Matrix::cl_buffers_in_0;
DictStruct<int, Ref<OpenCLBuffer>> Matrix::cl_buffers_in_0;
template <typename X>
static DictStruct<int, Ref<OpenCLBuffer>> Matrix::cl_buffers_in_1;
DictStruct<int, Ref<OpenCLBuffer>> Matrix::cl_buffers_in_1;
template <typename X>
static DictStruct<int, Ref<OpenCLBuffer>> Matrix::cl_buffers_out;
DictStruct<int, Ref<OpenCLBuffer>> Matrix::cl_buffers_out;
#else
template <typename X>
static unsigned long Matrix<X>::version_counter = 0UL;
Ref<OpenCLProgram> Matrix<X>::cl_program_matmul;
template <typename X>
static Ref<OpenCLProgram> Matrix<X>::cl_program_matmul;
Ref<OpenCLProgram> Matrix<X>::cl_program_matmul_single;
template <typename X>
static Ref<OpenCLProgram> Matrix<X>::cl_program_matmul_single;
DictStruct<int, Ref<OpenCLBuffer>> Matrix<X>::cl_buffers_in_0;
template <typename X>
static DictStruct<int, Ref<OpenCLBuffer>> Matrix<X>::cl_buffers_in_0;
DictStruct<int, Ref<OpenCLBuffer>> Matrix<X>::cl_buffers_in_1;
template <typename X>
static DictStruct<int, Ref<OpenCLBuffer>> Matrix<X>::cl_buffers_in_1;
template <typename X>
static DictStruct<int, Ref<OpenCLBuffer>> Matrix<X>::cl_buffers_out;
#endif
DictStruct<int, Ref<OpenCLBuffer>> Matrix<X>::cl_buffers_out;
#endif // __MQL__

#endif
#endif // MATRIX_USE_OPENCL

#endif
#endif // MATRIX_MQH

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