[eigen] Eigen slower than simple for loop.

[Janos Meny <janos.meny@xxxxxxxxxxxxxx>]

Hey,

I wanted to direct your attention to the following question on stackoverflow:

https://stackoverflow.com/questions/58071344/is-eigen-slow-at-multiplying-small-matrices#58071344

I also measured this on my machine and got the same result: Eigen ist always twice as slow as the simple for loop (I've attached the code from the question and added some code for measuring).

What could be the reason for this?

Best regards

Janos

#include <chrono>
#include <Eigen/Core>


constexpr int dimension = 10;
using StaticMatrix = Eigen::Matrix<double, dimension, dimension>;
using VectorOfMatrices = std::vector<StaticMatrix, Eigen::aligned_allocator<StaticMatrix >>;


StaticMatrix CustomMultiply(const StaticMatrix& a, const StaticMatrix& b) {
StaticMatrix result = StaticMatrix::Zero(10, 10);
for (int bcol_idx = 0; bcol_idx < dimension; ++bcol_idx) {
  for (int brow_idx = 0; brow_idx < dimension; ++brow_idx) {
    result.col(bcol_idx).noalias() += a.col(brow_idx) * b(brow_idx, bcol_idx);
  }
}
return result;
}

StaticMatrix PairwiseMultiplyEachMatrixNoAlias(int num_repetitions, const VectorOfMatrices& input) {
    StaticMatrix acc = StaticMatrix::Zero(10, 10);
for (int i = 0; i < num_repetitions; ++i) {
  for (const auto& matrix_a : input) {
    for (const auto& matrix_b : input) {
      acc.noalias() += matrix_a * matrix_b;
    }
  }
}
return acc;
}

StaticMatrix PairwiseMultiplyEachMatrixCustom(int num_repetitions, const VectorOfMatrices& input) {
StaticMatrix acc = StaticMatrix::Zero(10, 10);
for (int i = 0; i < num_repetitions; ++i) {
  for (const auto& matrix_a : input) {
    for (const auto& matrix_b : input) {
      acc.noalias() += CustomMultiply(matrix_a, matrix_b);
    }
  }
}
return acc;
}

using my_clock = std::chrono::steady_clock;
using my_dur = std::chrono::duration<double>;
int main() {

    VectorOfMatrices v1(100);
    std::generate(v1.begin(), v1.end(), []{ return StaticMatrix::Random();});

    auto start = my_clock::now();
    auto r1 = PairwiseMultiplyEachMatrixCustom(100, v1);
    auto end = my_clock::now();
    my_dur d = end - start;
    printf("Custom GEMM took: %f\n", d.count());

    start = my_clock::now();
    auto r2 = PairwiseMultiplyEachMatrixNoAlias(100, v1);
    end = my_clock::now();
    d = end - start;
    printf("Eigen GEMM took: %f\n", d.count());

    return 0;
}