Accumulator Error Feedback

(Difference between revisions)
 Revision as of 15:06, 25 February 2018 (edit) (→summing)← Previous diff Revision as of 15:08, 25 February 2018 (edit) (undo) (→summing)Next diff → Line 36: Line 36: === summing === === summing === We need a stable reference for comparison of results from any method of summation. We need a stable reference for comparison of results from any method of summation. - ones(1,n)*v  and  sum(v)  produce different results in Matlab 2017b with vectors having only a few hundred entries. +  ones(1,n)*v  and  sum(v)  produce different results in Matlab 2017b with vectors having only a few hundred entries. Matlab's VPA (variable precision arithmetic, vpa(), sym()), from Mathworks' Symbolic Math Toolbox, cannot accurately sum a few hundred entries in quadruple precision. Error creeps up above |2e-16| for sequences with high condition number (heavy cancellation defined as large sum|x|/|sum x|). Matlab's VPA (variable precision arithmetic, vpa(), sym()), from Mathworks' Symbolic Math Toolbox, cannot accurately sum a few hundred entries in quadruple precision. Error creeps up above |2e-16| for sequences with high condition number (heavy cancellation defined as large sum|x|/|sum x|).

Revision as of 15:08, 25 February 2018

csum() in Digital Signal Processing terms: z-1 is a unit delay,
Q is a 64-bit floating-point quantizer.
```function s = csum(x)
% CSUM Sum of elements using a compensated summation algorithm.
%
% This Matlab code implements
% Kahan's compensated summation algorithm (1964)
%
% Example:
% clear all; clc
% csumv=0;  rsumv=0;
% n = 100e6;
% t = ones(n,1);
% while csumv <= rsumv
%    v = randn(n,1);
%
%    rsumv = abs((t'*v - t'*v(end:-1:1))/sum(v));
%    disp(['rsumv = ' num2str(rsumv,'%1.16f')]);
%
%    csumv = abs((csum(v) - csum(v(end:-1:1)))/sum(v));
%    disp(['csumv = ' num2str(csumv,'%1.16e')]);
% end

s=0; e=0;
for i=1:numel(x)
s_old = s;
y = x(i) + e;
s = s + y;
e = y - (s - s_old);
end
return
```

Contents

summing

We need a stable reference for comparison of results from any method of summation.  ones(1,n)*v  and  sum(v)  produce different results in Matlab 2017b with vectors having only a few hundred entries.

Matlab's VPA (variable precision arithmetic, vpa(), sym()), from Mathworks' Symbolic Math Toolbox, cannot accurately sum a few hundred entries in quadruple precision. Error creeps up above |2e-16| for sequences with high condition number (heavy cancellation defined as large sum|x|/|sum x|).

Advanpix Multiprecision Computing Toolbox, for MATLAB, is one such stable reference. Advanpix is also hundreds of times faster than Matlab VPA. Higham measures speed here: https://nickhigham.wordpress.com/2017/08/31/how-fast-is-quadruple-precision-arithmetic

sorting

Floating-point compensated-summation accuracy is data dependent. Substituting a unit sinusoid at arbitrary frequency, instead of a random number sequence input, can make compensated summation fail to produce more accurate results than a simple sum.

Input sorting, in descending order of absolute value, achieves more accurate summation whereas ascending order reliably fails. Sorting is not integral to Kahan's algorithm above because it would defeat input sequence reversal in the commented example. Sorting later became integral to modifications of Kahan's algorithm, such as Priest's (Higham Algorithm 4.3), but the same accuracy dependence on input data prevails.

refining

Eight years after introduction of summation compensation in 1964, Kahan proposed appending final error to the sum (after input has vanished). This makes sense from a Digital Signal Processing perspective because the marginally stable recursive system illustrated has persistent zero-input response (ZIR). The modified Kahan algorithm becomes:

```function s = ksum(x)
[~, idx] = sort(abs(x),'descend');
x = x(idx);
s=0; e=0;
for i=1:numel(x)
s_old = s;
s = s + x(i);
e = e + x(i) - (s - s_old);
end
s = s + e;
return
```

Input sorting is now integral to the algorithm. Error e becomes superfluous to the loop. This algorithm always succeeds, even on sequences with high cancellation; data dependency has been eliminated. Use the Advanpix Multiprecision Computing Toolbox to compare results.

references

For fixed-point multiplier error feedback, see: