perf(gaussian): drop the sqrt round-trip from variance-space operations

`Add`, `Sub`, `exclude` and `forget` combined variances by way of standard
deviations: `sigma()` takes a square root, `.powi(2)` squares it away,
`var.sqrt()` takes another, and `from_ms` squares that one back. Three roots
to compute a value that is `1/pi` all along.

They now go through `variance()` and a new `from_mv(mu, var)`, which skip
both conversions. `Sub` is the hot one — `RankDiffFactor::propagate` is
`a - b`, run for every adjacent team pair on every forward and backward
sweep of every EP iteration.

`run_chain` also stopped recomputing each team's weighted performance in the
likelihood loop; the fold is already in `arena.team_prior`, indexed by the
sorted position the loop has in hand. Each `performance()` is itself a
`forget`, so the duplicate cost scaled with players per team.

Measured on this machine, before and after, same fixtures:

    Batch::iteration          23.57us -> 19.31us   (-18%)
    scored_history_60_events   1.071ms -> 983us    (-8%)

The `Gaussian::add`/`sub` microbenchmarks cannot resolve the change: they
sit at ~234ps against a ~218ps floor that `mul`/`div` also hit, so the
harness overhead dominates a single operation.

One golden moved. Two identical competitors drawing must land on their
shared prior mean exactly, by symmetry; the root-free path now returns
25.0 where the reference transcription recorded 24.999999 — that value
rounded to six decimals. Asserting a six-decimal transcription at
epsilon 1e-6 left no headroom, so the expectation is now the exact value.

Co-Authored-By: Claude Opus 5 (1M context) <noreply@anthropic.com>
Claude-Session: https://claude.ai/code/session_01DnsaJg74eNSva3PJjK2eej
This commit is contained in:
2026-08-04 21:58:30 +02:00
co-authored by Claude Opus 5
parent 06b6a68499
commit 355cdb7e05
3 changed files with 59 additions and 30 deletions
+45 -13
View File
@@ -35,6 +35,28 @@ impl Gaussian {
}
}
/// Construct from mean and *variance*, skipping the square-root round trip.
///
/// `from_ms(mu, var.sqrt())` immediately squares the root away again to
/// recover `pi = 1/var`. Variance-combining operations (`Add`, `Sub`,
/// `exclude`, `forget`) work in variance space throughout, so they go
/// through here instead and never take a root.
#[inline]
pub(crate) fn from_mv(mu: f64, var: f64) -> Self {
if var == f64::INFINITY {
Self { pi: 0.0, tau: 0.0 }
} else if var == 0.0 {
// Point mass at mu; see `from_ms` for the tau convention.
Self {
pi: f64::INFINITY,
tau: if mu == 0.0 { 0.0 } else { f64::INFINITY },
}
} else {
let pi = 1.0 / var;
Self { pi, tau: mu * pi }
}
}
/// Construct directly from natural parameters.
#[inline]
pub(crate) const fn from_natural(pi: f64, tau: f64) -> Self {
@@ -64,6 +86,21 @@ impl Gaussian {
}
}
/// Variance, `1 / pi`, without the root-and-square of `sigma().powi(2)`.
///
/// Mirrors `sigma()`'s treatment of the improper (`pi <= 0`) and point-mass
/// (`pi == inf`) cases.
#[inline]
pub(crate) fn variance(&self) -> f64 {
if self.pi <= 0.0 {
f64::INFINITY
} else if self.pi.is_infinite() {
0.0
} else {
1.0 / self.pi
}
}
#[inline]
pub fn sigma(&self) -> f64 {
// A non-positive precision is improper → infinite standard deviation. Guarding
@@ -86,22 +123,21 @@ impl Gaussian {
}
pub(crate) fn exclude(&self, other: Gaussian) -> Self {
let var = self.sigma().powi(2) - other.sigma().powi(2);
let var = self.variance() - other.variance();
if var <= 0.0 {
// When sigma_self ≈ sigma_other (including ULP-level rounding differences
// from the pi→sigma accessor round-trip), the excluded contribution is N00.
// Computing from_ms(tiny_mu, 0.0) would give {pi:inf, tau:inf}, whose
// mu() = inf/inf = NaN. Returning N00 is correct: when both Gaussians
// carry the same variance, the residual is a point mass at 0.
return Gaussian::from_ms(0.0, 0.0);
return Gaussian::from_mv(0.0, 0.0);
}
let mu = self.mu() - other.mu();
Self::from_ms(mu, var.sqrt())
Self::from_mv(self.mu() - other.mu(), var)
}
pub(crate) fn forget(&self, variance_delta: f64) -> Self {
let var = self.sigma().powi(2) + variance_delta;
Self::from_ms(self.mu(), var.sqrt())
Self::from_mv(self.mu(), self.variance() + variance_delta)
}
/// EP damping in natural-parameter space: `α·new + (1−α)·self`.
@@ -128,9 +164,7 @@ impl ops::Add<Gaussian> for Gaussian {
/// Variance addition: (mu1 + mu2, sqrt(σ1² + σ2²)).
/// Used for combining performance and noise; rare relative to mul/div.
fn add(self, rhs: Gaussian) -> Self::Output {
let mu = self.mu() + rhs.mu();
let var = self.sigma().powi(2) + rhs.sigma().powi(2);
Self::from_ms(mu, var.sqrt())
Self::from_mv(self.mu() + rhs.mu(), self.variance() + rhs.variance())
}
}
@@ -138,9 +172,7 @@ impl ops::Sub<Gaussian> for Gaussian {
type Output = Gaussian;
/// (mu1 - mu2, sqrt(σ1² + σ2²)). Same sigma combination as Add.
fn sub(self, rhs: Gaussian) -> Self::Output {
let mu = self.mu() - rhs.mu();
let var = self.sigma().powi(2) + rhs.sigma().powi(2);
Self::from_ms(mu, var.sqrt())
Self::from_mv(self.mu() - rhs.mu(), self.variance() + rhs.variance())
}
}
@@ -161,7 +193,7 @@ impl ops::Mul<f64> for Gaussian {
if scalar == 0.0 {
// Scaling by 0 collapses to a point mass at 0 (sigma' = 0, mu' = 0).
// This is N00, the additive identity, NOT N_INF.
return Gaussian::from_ms(0.0, 0.0);
return Gaussian::from_mv(0.0, 0.0);
}
// sigma' = sigma * |scalar| => pi' = pi / scalar²
// mu' = mu * scalar => tau' = tau / scalar