This week we introduced two new features in the Extreme Optimization Numerical Libraries for .NET.
Trigonometric functions with large arguments
The .NET Framework implementation of the trigonometric functions, sine, cosine, and tangent, relies on the corresponding processor instruction. This gives extremely fast performance, but may not give fully accurate results. This is the case for even fairly small arguments.
For example, Math.Sin(1000000.0) returns -0.34999350217129177 while the correct value is -0.34999350217129295. So we’ve already lost at least 2 digits. And things just go downhill from there. At 1012, we only get 8 good digits.
For even larger arguments, something quite unexpected happens. The result of Math.Sin(1e20) is… 1e20! The argument is returned unchanged! Not only is this a completely meaningless return value. It also can cause a calculation to fail if it relies on the fact that sine and cosine are bounded by -1 and +1.
To understand what is going on, we need to go back to the implementation.
Math.Sin, Math.Cos and Math.Tan rely on processor instructions like fsin and fcos. These instructions work by first reducing the angle to a much smaller value, and then using a table-based approach to get the final result. Moreover, according to the documentation, the argument must be strictly between –263 and 263. The return value is not defined for arguments outside this interval. This explains the complete breakdown for large arguments.
The explanation for the gradual loss of accuracy is more subtle. As I said, the computation is done by first reducing the argument to a smaller interval, typically (–π, π]. The argument x is rewritten in the form
x = n π + f
where n is an even integer, and f is a real number with magnitude less than π.
The first step is to divide the number by π. The quotient is rounded to the nearest even integer to give us n. We get the reduced value f by subtracting this number times π from x. Because of the periodicity of the trigonometric functions, the value of the function at x is the same as the value at f, which can be calculated accurately and efficiently.
Now, if you start with a value like 10300, you’ll need to divide this number by π with at least 300 digits of precision, round the quotient to the nearest even number, and subtract π times this number from 10300. To do this calculation accurately over the whole range, we would need to work with a value of π that is accurate to 1144 bits.
Even today, this is just a little bit beyond the capabilities of current hardware. Moreover, it could be considered wasteful to spend so much silicon on a calculation that is not overly common. Intel processors use just 66 bits. This leaves us with just 14 extra bits. The effects will begin to show with arguments that are larger than 216.
Accurate argument reduction for trigonometric functions
So, there are two problems with the standard trigonometric functions in the .NET Framework:
- The accuracy decreases with increasing size of the argument, losing several digits for even modest sized arguments.
- When the argument is very large, the functions break down completely.
To address these two problems, we’ve added Sin, Cos and Tan methods to the Elementary class. These methods perform fully accurate argument reduction so the results are accurate even for huge values of the argument.
For example, the 256 digit floating-point number 6381956970095103 2797 is very close to a multiple of π/2. In fact, it is so close that the first 61 binary digits after the period of the reduced value are 0. As expected, Math.Cos gives the completely meaningless result 5.31937264832654141671e+255. Elementary.Cos returns -4.6871659242546267E-19, which is almost exactly the same as what Wolfram|Alpha gives: 4.6871659242546276E-19. The relative error is about the size of the machine precision.
What about performance? Thanks to some tricks with modular multiplication, it is possible to do the reduction in nearly constant time. Moreover, since the reduction only needs to be done for larger arguments, the overhead in most situations is minimal. Our benchmarks show a 4% overall slowdown when no reduction is needed. For smaller values, the operation can take close to twice as long, while in the worst case, for large arguments that require a full reduction, we see a 10x slowdown.
Transcendental functions for System.Decimal
Also new in this week’s update is the DecimalMath class, which contains implementations of all functions from System.Math for the decimal type. All trigonometric, hyperbolic, exponential and logarithmic functions are supported, as well as the constants e and π.
The calculations are accurate to the full 96 bit precision of the decimal type. This is useful for situations where double precision is not enough, but going with an arbitrary precision BigFloat would be overkill.