Accumulator Error Feedback

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Revision as of 22:23, 28 November 2017

CSUM() in Digital Signal Processing terms: z^-1 is a unit delay, Q is a floating-point quantizer to 64 bits, q_i represents error due to quantization (additive by definition).    Jon Dattorro

function s_hat = csum(x)
% CSUM Sum of elements using a compensated summation algorithm.
%
% For large vectors, the native sum command in Matlab does 
% not appear to use a compensated summation algorithm which 
% can cause significant roundoff errors.
%
% This code implements a variant of Kahan's compensated 
% summation algorithm which often takes about twice as long, 
% but produces more accurate sums when the number of 
% elements is large. -David Gleich
%
% Also see SUM.
%
% % Matlab csum() example:
% clear all
% csumv=0;  rsumv=0;
% while csumv <= rsumv
%    v = randn(13e6,1);
%    rsumv = abs(sum(v) - sum(v(end:-1:1)));
%    disp(['rsumv = ' num2str(rsumv,'%18.16f')]);
%    [~, idx] = sort(abs(v),'descend'); 
%    x = v(idx);
%    csumv = abs(csum(x) - csum(x(end:-1:1)));
%    disp(['csumv = ' num2str(csumv,'%18.16e')]);
% end

s_hat=0; e=0;
for i=1:numel(x)
   s_hat_old = s_hat; 
   y = x(i) + e; 
   s_hat = s_hat_old + y; 
   e = (s_hat_old - s_hat) + y;  %calculate difference first (Higham)
end
return

notes

In practice, input sorting

[~, idx] = sort(abs(x),'descend'); 
x = x(idx);

should begin the csum() subroutine to achieve the most accurate summation. That is not presented here because the commented Example (inspired by Higham) would then display false positive results. Even in absence of sorting, csum() is more accurate than conventional summation by orders of magnitude.

Equations in the Figure represent neither a sequence of instructions or algorithm. The are meant simply to remind us that an imperfect accumulator introduces noise into a series.

links

Accuracy and Stability of Numerical Algorithms 2e, ch.4.3, Nicholas J. Higham, 2002

For multiplier error feedback, see:

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