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Computing Variance of Multiple Rows

Alfredo_L_
Beginner
342 Views

I'm having trouble figuring out how to compute the variance of multiple rows in a Matrix.

Suppose I have an M row by N column matrix X for which I need to compute N different variances, one for each row in a row-major (C-style) matrix.

For a concrete example, suppose my matrix contains time series data containing "periods" observations per day for "days" days. I want to calculate the variance for each day's "periods" observations and have an array "vars" containing "days" variances (one for each day). Below is the code I've attempted to use but it only produces one variance (and the rest, zeroes).

/// \brief computes one variance per day given a matrix of daily time series
/// \param obsv The matrix containing the time series
/// \param days Number of days in the matrix obsv
/// \param periods Number of periods per day
/// \param vars Output array for daily variances
void daily_variances(double *obsv, int days, int periods, double *vars) {
    VSLSSTaskPtr task;
    double *w = nullptr; //weights for VSL routine
    MKL_INT dim, n, xstorage;
    dim = days;
    n = periods;
    xstorage = VSL_SS_MATRIX_STORAGE_ROWS; //we're using C-style row-major matrices
    double *means = static_cast<double *>(mkl_malloc((size_t) days, 64));
    double *raw2m = static_cast<double *>(mkl_malloc((size_t) days, 64));
    std::fill_n(means, days, 0.0);
    std::fill_n(raw2m, days, 0.0);

    int status = vsldSSNewTask(&task, &dim, &n, &xstorage, obsv, w, nullptr);
    if (status != VSL_STATUS_OK)
        throw std::logic_error("MKL issue");
    status = vsldSSEditMoments(task, means, raw2m, nullptr, nullptr, vars, nullptr, nullptr);
    if (status != VSL_STATUS_OK)
        throw std::logic_error("MKL issue");
    status = vsldSSCompute(task, VSL_SS_2C_MOM, VSL_SS_METHOD_1PASS);
    if (status != VSL_STATUS_OK)
        throw std::logic_error("MKL issue");
    mkl_free(means);
    mkl_free(raw2m);
    vslSSDeleteTask(&task);
}
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1 Solution
Ilya_B_Intel
Employee
342 Views

Ah, yes.

mkl_malloc allocates data with size in bytes, thus, correct code will be:

mkl_malloc(sizeof(double)*days, 64)

View solution in original post

7 Replies
Ilya_B_Intel
Employee
342 Views

Hello Alfredo,

Clarify question.

Does layout of your data match the following C array?

double obsv[days][periods];

Alfredo_L_
Beginner
342 Views

ILYA B. (Intel) wrote:

Hello Alfredo,

Clarify question.

Does layout of your data match the following C array?

double obsv[days][periods];

Correct. My matrix is in row-major format and not Fortran-style column-major format. So for instance, to access the n-th period of day "d" I would do obsv

Ilya_B_Intel
Employee
342 Views

In this case code looks ok to me. Do you see similar problems with means or 2nd order raw moments?

Alfredo_L_
Beginner
342 Views

ILYA B. (Intel) wrote:

In this case code looks ok to me. Do you see similar problems with means or 2nd order raw moments?

So, I was passing the wrong value for "days" as verified by the debugger...

*however*

Now that I fixed that, I get the correct result ONLY if using "new" to allocate the mean and raw 2nd moment arrays. If I use mkl_malloc I get a segmentation fault. Any ideas?

Gennady_F_Intel
Moderator
342 Views
Do you mean using the code like below... You see seg fault when frees buffer for means?

    double *means = static_cast<double *>(mkl_malloc((size_t) days, 64));
    double *raw2m = static_cast<double *>(mkl_malloc((size_t) days, 64));
    .......
    mkl_free(means);
    mkl_free(raw2m);

 

Ilya_B_Intel
Employee
343 Views

Ah, yes.

mkl_malloc allocates data with size in bytes, thus, correct code will be:

mkl_malloc(sizeof(double)*days, 64)
Alfredo_L_
Beginner
342 Views

ILYA B. (Intel) wrote:

Ah, yes.

mkl_malloc allocates data with size in bytes, thus, correct code will be:

mkl_malloc(sizeof(double)*days, 64)

Whoops... I can't believe I forgot that. That was indeed the issue.

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