On Quasi Random Numbers - MersenneTwister vs Sobol precision in Asian Option Pricing

Java Logging Still Crap in 2009

When java logging API was first introduced in JDK 1.4 in 2002, it caused quite a lot a fuss around, with everybody asking “Why did not they just include Log4j instead of creating their own bastard child?”.

I remember having looked at it very shortly before continuing using Log4j on all projects I have been involved with.

Today, while doing a very small project, I tried once more to use java logging. The main reason is that I was lazy to add a dependency to one more jar for this small project. While trying I found out that:

• you still need to use a damned JVM parameter to point to your configuration file
• you can not change the formatting without writing a formatter class!

It’s 2009! What has Sun done? I am amazed the most elementary things you expect from a Logger are still not included by default in the JDK.

Bachelier vs. Black

Linux Audio State = Miserable

There are lots of programs for playing MP3 under linux, a few dealing decently with big libraries. But when you start looking for a program that does crossfade well and manage big libraries easily - there is nothing.

Rhythmbox does some crossfade, but crashes when you move manually in the song. Audacious does some crossfade but regularly crashes with crossfade plugin.

The real alternative are AIMP2 or Foobar2000 in Wine. It is quite incredible that you can have good solid crossfade in wine and not natively in Linux.

Maybe people spent too much time on useless Pulseaudio (I have much less issues using only ALSA).

Senior Developers Team Productivity X4 (from MS Research Paper)

"TDD seems to be applicable in various domains and can significantly reduce the defect density of developed software without significant productivity reduction of the development team"

• An experienced team (5 people over 10 years + 2 people under 5 years) : 155KLOC C# code (+60 test).
  

• A junior team (3 people under 10 years + 6 people under 5 years): 41 KLOC Java code (+28 test).
  

The End Of Rings Around Plain Java - A Better Concurrency Test

In my previous post, I was wondering why single thread was faster. D Andreou gave the correct explanation: as we send only 1 start message and as each node only send 1 message to the next one, there is always only 1 message being processed. So the test is optimum on 1 thread. It does not make much sense to make a multithreading benchmark on a problem that is fundamentally single threaded.

His suggestion was to simple send N start messages where N >= number of processors. In theory, the performance will become optimal with N threads then. Unfortunately this is not what happened in real life. In real life the single threaded performance is still better if you send even 16 messages on a biprocessor machine.

public static void main(String[] args) throws Exception {
    OptimizedRing ring = new OptimizedRing();
    RingNode node = ring.startRing(Integer.parseInt(args[0]));
    node.sendMessage(new StartMessage());
    node.sendMessage(new TokenMessage(node.nodeId,1));
    node.sendMessage(new TokenMessage(node.nodeId,1));
    node.sendMessage(new TokenMessage(node.nodeId,1));
    ring.executor.awaitTermination(10, TimeUnit.MINUTES);
}

My idea was that it was related to the swiching from thread to thread overhead, which is precisely what I think the original author of the test had in mind to test. I am not 100% convinced it is really what’s happening. I wanted a test that would actually be faster using N threads; so I decided to add a bit of computation at before processing each Token. Unfortunately I had the bad idea to compute Pi by Monte Carlo method to do that. Running my tests I was surprised it did not change the results, and made things worse the most computer intensive the computation was (increasing the number of monte carlo iterations). It scared me a bit wondering what the hell could be wrong there. The following class performs much worse with 2 threads compared to 1:

public class BadParallelPi {

    private static void startExecutors() throws Exception {        
        long startTime = System.currentTimeMillis();
        System.out.println(startTime);
        ExecutorService executor1 = Executors.newFixedThreadPool(1);
        executor1.execute(new Computation());
        executor1.execute(new Computation());
        executor1.shutdown();
        executor1.awaitTermination(60, TimeUnit.SECONDS);
        long delay = System.currentTimeMillis() - startTime;
        System.out.println("finished single thread in "+(delay/1000.0));
        startTime = System.currentTimeMillis();
        System.out.println(startTime);
        executor1 = Executors.newFixedThreadPool(2);
        executor1.execute(new Computation());
        executor1.execute(new Computation());
        executor1.shutdown();
        executor1.awaitTermination(60, TimeUnit.SECONDS);
        delay = System.currentTimeMillis() - startTime;
        System.out.println("finished 2 threads in "+(delay/1000.0));
    }
    
    public static class Computation implements Runnable {
        public volatile int count = 0;
         private double computePi() {
            double pi = 0;
            double x,y;
            int n = 10000000;
            for (int i=0;i<n;i++) {
                x = Math.random();
                x *= x;
                y = Math.random();
                y *= y;
                if (x+y < 1) {
                    pi +=1;
                }
            }
            pi = 4*pi/n;
            return pi;
        }
        
        public void run() {
            double pi = computePi();
            long time = System.currentTimeMillis();
            System.out.println(time+" thread "+Thread.currentThread().getId()+" pi="+pi);
            count++;
        }        
    }

    
    public static void main(String[] args) throws Exception {
        startExecutors();
    }
} 

Did you figure out why?

It took me less time with this simple code than with the original ring test to find out why. It is simply because of the Math.random call. Math.random only creates one random number generator, and it will be shared among threads. So every thread will wait at the other one at this point. Creating one random generator per thread showed 2 threads were much faster than 1, finally.

Back to the original ring test. Adding the correct way to compute Pi by Monte Carlo, I now had decent test results as long as the number of iterations is not too small. 10 iterations is enough to show a real difference between N threads and 1. Adding a small computation helps figuring out what happens behind the scene. You can also verify D Andreou claim, using only 1 start message the single threaded version is faster. If computation is too weak (for example number of Monte Carlo iteration of 0, one only measures method calls between threads (context switching), which is obviously optimal for 1 thread. Measuring Actor libraries on it is dangerous: if I write a single threaded Actor library, it will be the fastest of this test, but it certainly is not what you want to use as Actor library.

Let’s see now how Scala fares compared to the Plain Java solution, using computation:

It is interesting to compare results of 4 threads on a biprocessor with monte carlo count of 10 and 100. We see a much higher thread overhead with fewer computation. With too few computation in monte carlo, the overhead of threads is too high over 2 concurrent threads. This explains why the very simple threading architecture fares much better in the last column compared to the previous one.

Scala Actors fares much better when it is not hindered in the creation of too many threads. It seem actually very good at abstracting multithreading intricacies, while still providing near Java performance in the real world where each actor does enough computation and multithreading is important.

Object Oriented Analysis And Design with Applications Book Review

A while ago, I had a comment from someone implying I knew nothing about OO programming because I had not mentioned (and therefore read) Object Oriented Analysis And Design with Applications from G. Booch. I was intrigued by such a silly comment and decided to look at this book that was considered as the bible of OOP.

Well, I don’t find it that good! But I don’t find the bible particularly good either. I like B. Meyer Object Oriented Software Construction book much more, because it is more practical, more in touch with realities while pointing at the real important problems like:

Real systems have no top

In contrast G Booch book has too much evident concepts that don’t really make you learn anything or think things a different way. It is a good book for someone who is learning OO for the first time. It covers the subject in details, but I did not find anything in it that made me say

wow!

It is like most other book you can find on OO. Furthermore only the first parts are on OO, the rest is more a UML tutorial.

Running Rings Around Plain Java - The Killer Code

I wrote my previous post too fast. I found a very simple change that increases the speed x6!

The idea is too process messages in a ThreadPoolExecutor. As my Nodes are Runnable, I just needed to initialize a common ThreadPoolExecutor, and in a sendMessage, execute the runnable each time.

Here is the full code: public class OptimizedRing {

    private ExecutorService executor;

    public static void main(String[] args) throws Exception {
        OptimizedRing ring = new OptimizedRing();
        RingNode node = ring.startRing(Integer.parseInt(args[0]));
        node.sendMessage(new StartMessage());
    }

    public RingNode startRing(int n) {
        RingNode[] nodes = spawnNodes(n, startTimer());
        connectNodes(n, nodes);
        return nodes[0];
    }

    private Timer startTimer() {
        Timer timer = new Timer();
        new Thread(timer).start();
        return timer;
    }

    private RingNode[] spawnNodes(int n, final Timer timer) {
        System.out.println("constructing nodes");
        long start = System.currentTimeMillis();
        executor = Executors.newFixedThreadPool(4);
        RingNode[] nodes = new RingNode[n+1];
        for (int i = 0; i < n ; i++) {
            nodes[i] = new RingNode(i, timer, null);
        }
        long end = System.currentTimeMillis();
        System.out.println("Took "+(end-start)+"ms to construct "+n+" nodes");
        return nodes;
    }

    private void connectNodes(int n, RingNode[] nodes) {
        System.out.println("connecting nodes");
        nodes[n] = nodes[0];
        for (int i=0; i<n; i++) {
            nodes[i].connect(nodes[i+1]);
        }
    }

    interface Message {
        String getType();
    }

    private static class StartMessage implements Message {
        public String getType() {
            return "START";
        }
    }

    private static class StopMessage implements Message {
        public String getType() {
            return "STOP";            
        }
    }

    private static class CancelMessage implements Message {
        public String getType() {
            return "CANCEL";
        }
    }

    private static class TokenMessage implements Message {
        private int nodeId;
        private int value;

        public TokenMessage(int nodeId, int value) {
            this.nodeId = nodeId;
            this.value = value;
        }

        public String getType() {
            return "TOKEN";
        }
    }

    private class RingNode implements Runnable {
        private int nodeId;
        private Timer timer;
        private RingNode nextNode;
        private BlockingQueue<Message> queue = new LinkedBlockingQueue<Message>();
        private boolean isActive = false;
        
        public RingNode(int id, Timer timer, RingNode nextNode) {
            nodeId = id;
            this.timer = timer;
            this.nextNode = nextNode;                        
        }

        public void connect(RingNode node) {
            nextNode = node;
            isActive = true;
        }

        public void sendMessage(Message m) {
            queue.add(m);
            executor.execute(this);
        }

        public void run() {
            if (isActive) {
                try {
                    Message m = queue.take();
                    if (m instanceof StartMessage) {
                        log("Starting messages");
                        timer.sendMessage(m);
                        nextNode.sendMessage(new TokenMessage(nodeId, 0));
                    } else if (m instanceof StopMessage) {
                        log("Stopping");
                        nextNode.sendMessage(m);
                        isActive = false;
                        //
                    } else if (m instanceof TokenMessage) {
                        if (((TokenMessage)m).nodeId == nodeId) {
                            int nextValue = ((TokenMessage)m).value + 1;
                            if (nextValue % 10000 == 0) {
                                log("Around ring "+nextValue+" times");
                            }
                            if (nextValue == 1000000) {
                                timer.sendMessage(new StopMessage());
                                timer.sendMessage(new CancelMessage());
                                nextNode.sendMessage(new StopMessage());
                                isActive = false;
                            } else {
                                nextNode.sendMessage(new TokenMessage(nodeId, nextValue));
                            }

                        } else {
                            nextNode.sendMessage(m);
                        }
                    }

                } catch (InterruptedException ie) {
                    ie.printStackTrace();
                }
            }
        }

        public void log(String s) {
            System.out.println(System.currentTimeMillis()+" "+nodeId+": "+s);
        }

    }

    private static class Timer implements Runnable {
        private BlockingQueue<Message> queue = new LinkedBlockingQueue<Message>();
        private boolean timing = false;
        private long startTime;

        public void sendMessage(Message m) {
            //we don't need to change this implementation as timer is rarely called
            queue.add(m);
        }

        public void run() {
            while (true) {
                Message m;
                try {
                    m = queue.take();
                    if (m instanceof StartMessage) {
                        startTime = System.currentTimeMillis();
                        timing = true;
                    } else if (m instanceof StopMessage) {
                        long end = System.currentTimeMillis();
                        System.out.println("Start="+startTime+" Stop="+end+" Elapsed="+(end-startTime));
                        timing = false;                                        
                    } else if (m instanceof CancelMessage) {
                        break;
                    }
                } catch (InterruptedException e) {
                    e.printStackTrace();
                }
            }
        }
    }
}

Running rings around plain Java

Alex Miller has a very interesting test of Actors. He finds out Scala performance is relatively low compared to Erlang, and Kilim is very near Erlang. But Kilim code is the most difficult to read in the lot.

I thought it would be simple to just do the same test in plain Java. I wrote the code for it duplicating the scala logic using Threads instead of Actors.

public class SimpleRing {
    public static void main(String[] args) throws Exception {
        SimpleRing ring = new SimpleRing();
        RingNode node = ring.startRing(Integer.parseInt(args[0]));
        node.sendMessage(new StartMessage());
    }

    public RingNode startRing(int n) {
        RingNode[] nodes = spawnNodes(n, startTimer());
        connectNodes(n, nodes);
        return nodes[0];
    }

    private Timer startTimer() {
        Timer timer = new Timer();
        new Thread(timer).start();
        return timer;
    }


    private RingNode[] spawnNodes(int n, final Timer timer) {
        System.out.println("constructing nodes");
        long start = System.currentTimeMillis();
        RingNode[] nodes = new RingNode[n+1];

        for (int i = 0; i < n ; i++) {
            nodes[i] = new RingNode(i, timer, null);
            new Thread(nodes[i]).start(); //later use pool
        }

        long end = System.currentTimeMillis();
        System.out.println("Took "+(end-start)+"ms to construct "+n+" nodes");

        return nodes;
    }


    private void connectNodes(int n, RingNode[] nodes) {
        System.out.println("connecting nodes");
        nodes[n] = nodes[0];

        for (int i=0; i<n; i++) {
            nodes[i].connect(nodes[i+1]);
        }
    }


    interface Message {
        String getType();
    }


    private static class StartMessage implements Message {
        public String getType() {
            return "START";
        }
    }

    private static class StopMessage implements Message {
        public String getType() {
            return "STOP";            
        }
    }


    private static class CancelMessage implements Message {
        public String getType() {
            return "CANCEL";
        }
    }


    private static class TokenMessage implements Message {
        private int nodeId;
        private int value;

        public TokenMessage(int nodeId, int value) {
            this.nodeId = nodeId;
            this.value = value;
        }

        public String getType() {
            return "TOKEN";
        }
    }


    private static class RingNode implements Runnable {
        private int nodeId;
        private Timer timer;
        private RingNode nextNode;
        private BlockingQueue<Message> queue = new LinkedBlockingQueue<Message>();

        public RingNode(int id, Timer timer, RingNode nextNode) {
            nodeId = id;
            this.timer = timer;
            this.nextNode = nextNode;                        
        }


        public void connect(RingNode node) {
            nextNode = node;
        }


        public void sendMessage(Message m) {
            queue.add(m);
        }


        public void run() {
            while (true) {
                try {
                    Message m = queue.take();
                    if (m instanceof StartMessage) {
                        log("Starting messages");
                        timer.sendMessage(m);
                        nextNode.sendMessage(new TokenMessage(nodeId, 0));
                    } else if (m instanceof StopMessage) {
                        log("Stopping");
                        nextNode.sendMessage(m);
                        break;
                    } else if (m instanceof TokenMessage) {
                        if (((TokenMessage)m).nodeId == nodeId) {
                            int nextValue = ((TokenMessage)m).value + 1;
                            if (nextValue % 10000 == 0) {
                                log("Around ring "+nextValue+" times");
                            }
                            if (nextValue == 1000000) {
                                timer.sendMessage(new StopMessage());
                                timer.sendMessage(new CancelMessage());
                                nextNode.sendMessage(new StopMessage());
                                break;
                            } else {
                                nextNode.sendMessage(new TokenMessage(nodeId, nextValue));
                            }
                        } else {
                            nextNode.sendMessage(m);
                        }
                    }

                } catch (InterruptedException ie) {
                    ie.printStackTrace();
                }
            }
        }


        public void log(String s) {
            System.out.println(System.currentTimeMillis()+" "+nodeId+": "+s);
        }
    }


    private static class Timer implements Runnable {
        private BlockingQueue<Message> queue = new LinkedBlockingQueue<Message>();
        private boolean timing = false;
        private long startTime;


        public void sendMessage(Message m) {
            queue.add(m);
        }


        public void run() {
            while (true) {
                Message m;
                try {
                    m = queue.take();
                    if (m instanceof StartMessage) {
                        startTime = System.currentTimeMillis();
                        timing = true;
                    } else if (m instanceof StopMessage) {
                        long end = System.currentTimeMillis();
                        System.out.println("Start="+startTime+" Stop="+end+" Elapsed="+(end-startTime));
                        timing = false;                                        
                    } else if (m instanceof CancelMessage) {
                        break;
                    }
                } catch (InterruptedException e) {
                    e.printStackTrace();
                }
            }
        }
    }
}

• SimpleRing

  • spawn 100: 11ms
  • send 100M messages: 493073ms

• Scala Actors

  • spawn 100: 15 ms
  • send 100M messages: 270104ms

UPDATE with slight changes plain Java rocks!

More Double Troubles

408.16 - 40.82 = 367.34000000000003

• exponent = 256. Then 408.16/256 = 1.594375 = 1 + 0x9828F5C28F5C28F5C28F5C... * 2^-52
  
• We round to 52 bits, the mantissa is 0x9828F5C28F5C3 = 2676827028518339.
• As a decimal, the internal value is (2676827028518339/2^52+1) * 256 = 408.1600000000000250111042987555265426635742

• exponent = 32. Then 40.82/32= 1.275625 = 1 + 0x468F5C28F5C28F5C...*2^-52
• Rounded to 52 bits, the mantissa is 0x468F5C28F5C29 = 1241304647293993
  
• As a decimal, the internal value is (1241304647293993/2^52 + 1)*32 = 40.8200000000000002842170943040400743484497