Performance improvements: reduce allocations in MLP algorithm #123
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Summary
This PR significantly reduces allocations in the MLP (Multi-Level Picard) algorithm's inner loops, particularly benefiting problems with Neumann boundary conditions.
Key optimizations:
_reflect()for MLP Vector inputs (used by Neumann BC):NEW
_reflect!()in-place version:nby tracking only the indexUniformSamplingMonte Carlo sampling:_mlt_sde_loop!with Neumann BC:_ml_picard,_ml_picard_mlt,_ml_picard_callBenchmark results:
These optimizations significantly reduce allocation pressure in the exponentially-called MLP inner loops (
_mlt_sde_loop!is calledM^Ltimes for level-0 and similar exponential counts at other levels), improving performance especially for problems with Neumann boundary conditions.Test plan
NormalSamplingandUniformSamplingcc @ChrisRackauckas
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