Digits of pi and Python generators

Introduction

This post was initially motivated by an interesting recent article by Chris Wellons discussing the Blowfish cipher. The Blowfish cipher’s subkeys are initialized with values containing the first 8336 hexadecimal digits of \pi, the idea being that implementers may compute these digits for themselves, rather than trusting the integrity of explicitly provided “random” values.

So, how do we compute hexadecimal– or decimal, for that matter– digits of \pi? This post describes several methods for computing digits of \pi and other well-known constants, as well as some implementation issues and open questions that I encountered along the way.

Pi is easy with POSIX

First, Chris’s implementation of the Blowfish cipher includes a script to automatically generate the code defining the subkeys. The following two lines do most of the work:

cmd='obase=16; scale=10040; a(1) * 4'
pi="$(echo "$cmd" | bc -l | tr -d '\n\\' | tail -c+3)"

This computes base 16 digits of \pi as a(1) * 4, or 4 times the arctangent of 1 (i.e., \tan(\pi/4) = 1), using the POSIX arbitrary-precision calculator bc. Simple, neat, end of story.

How might we do the same thing on Windows? There are plenty of approximation formulas and algorithms for computing digits of \pi, but to more precisely specify the requirements I was interested in, is there an algorithm that generates digits of \pi:

  • in any given base,
  • one digit at a time “indefinitely,” i.e., without committing to a fixed precision ahead of time,
  • with a relatively simple implementation,
  • using only arbitrary-precision integer arithmetic (such as is built into Python, or maybe C++ with a library)?

Bailey-Borwein-Plouffe

The Bailey-Borwein-Plouffe (BBP) formula seems ready-made for our purpose:

\pi = \sum\limits_{k=0}^{\infty} \frac{1}{16^k} (\frac{4}{8k+1} - \frac{2}{8k+4} - \frac{1}{8k+5} - \frac{1}{8k+6})

This formula has the nice property that it may be used to efficiently compute the n-th hexadecimal digit of \pi, without having to compute all of the previous digits along the way. Roughly, the approach is to multiple everything by 16^n, then use modular exponentiation to collect and discard the integer part of the sum, leaving the fractional part with enough precision to accurately extract the n-th digit.

However, getting the implementation details right can be tricky. For example, this site provides source code and example data containing one million hexadecimal digits of \pi generated using the BBP formula… but roughly one out of every 55 digits or so is incorrect.

But suppose that we don’t want to “look ahead,” but instead want to generate all hexadecimal digits of \pi, one after the other from the beginning. Can we still make use of this formula in a simpler way? For example, consider the following Python implementation:

def pi_bbp():
    """Conjectured BBP generator of hex digits of pi."""
    a, b = 0, 1
    k = 0
    while True:
        ak, bk = (120 * k**2 + 151 * k + 47,
                  512 * k**4 + 1024 * k**3 + 712 * k**2 + 194 * k + 15)
        a, b = (16 * a * bk + ak * b, b * bk)
        digit, a = divmod(a, b)
        yield digit
        k = k + 1

for digit in pi_bbp():
    print('{:x}'.format(digit), end='')

The idea is similar to converting a fraction to a string in a given base: multiply by the base (16 in this case), extract the next digit as the integer part, then repeat with the remaining fractional part. Here a/b is the running fractional part, and a_k / b_k is the current term in the BBP summation. (Using the fractions module doesn’t significantly improve readability, and is much slower than managing the numerators and denominators directly.)

Now for the interesting part: although this implementation appears to behave correctly– at least for the first 500,000 digits where I stopped testing– it isn’t clear to me that it is always correct. That is, I don’t see how to prove that this algorithm will continue to generate correct hexadecimal digits of \pi indefinitely. Perhaps a reader can enlighten me.

(Initial thoughts: Since it’s relatively easy to show that each term a_k / b_k in the summation is positive, I think it would suffice to prove that the algorithm never generates an “invalid” hexadecimal digit that is greater than 15. But I don’t see how to do this, either.)

Interestingly, Bailey et. al. conjecture (see Reference 1 below) a similar algorithm that they have verified out to 10 million hexadecimal digits. The algorithm involves a strangely similar-but-slightly-different approach and formula:

def pi_bbmw():
    """Conjectured BBMW generator of hex digits of pi."""
    a, b = 0, 1
    k = 0
    yield 3
    while True:
        k = k + 1
        ak, bk = (120 * k**2 - 89 * k + 16,
                  512 * k**4 - 1024 * k**3 + 712 * k**2 - 206 * k + 21)
        a, b = (16 * a * bk + ak * b, b * bk)
        a = a % b
        yield 16 * a // b

Unfortunately, this algorithm is slower, requiring one more expensive arbitrary-precision division operation per digit than the BBP version.

Proven algorithms

Although the above two algorithms are certainly short and sweet, (1) they only work for generating hexadecimal digits (vs. decimal, for example), and (2) we don’t actually know if they are correct. Fortunately, there are other options.

Gibbons (Reference 2) describes an algorithm that is not only proven correct, but works for generating digits of \pi in any base:

def pi_gibbons(base=10):
    """Gibbons spigot generator of digits of pi in given base."""
    q, r, t, k, n, l = 1, 0, 1, 1, 3, 3
    while True:
        if 4 * q + r - t < n * t:
            yield n
            q, r, t, k, n, l = (base * q, base * (r - n * t), t, k,
                                (base * (3 * q + r)) // t - base * n, l)
        else:
            q, r, t, k, n, l = (q * k, (2 * q + r) * l, t * l, k + 1,
                                (q * (7 * k + 2) + r * l) // (t * l), l + 2)

The bad news is that this is by far the slowest algorithm that I investigated, nearly an order of magnitude slower than BBP on my laptop.

The good news is that there is at least one other algorithm, that is not only competitive with BBP in terms of throughput, but is also general enough to easily compute– in any base– not just the digits of \pi, but also e (the base of the natural logarithm), \phi (the golden ratio), \sqrt{2}, and others.

The idea is to express the desired value as a generalized continued fraction:

a_0 + \frac{b_1}{a_1 + \frac{b_2}{a_2 + \frac{b_3}{a_3 + \cdots}}}

where in particular \pi may be represented as

\pi = 0 + \frac{4}{1 + \frac{1^2}{3 + \frac{2^2}{5 + \cdots}}}

Then digits may be extracted similarly to the BBP algorithm above: iteratively refine the convergent (i.e., approximation) of the continued fraction until the integer part doesn’t change; extract this integer part as the next digit, then multiply the remaining fractional part by the base and continue. In Python:

def continued_fraction(a, b, base=10):
    """Generate digits of continued fraction a(0)+b(1)/(a(1)+b(2)/(...)."""
    (p0, q0), (p1, q1) = (a(0), 1), (a(1) * a(0) + b(1), a(1))
    k = 1
    while True:
        (d0, r0), (d1, r1) = divmod(p0, q0), divmod(p1, q1)
        if d0 == d1:
            yield d1
            p0, p1 = base * r0, base * r1
        else:
            k = k + 1
            x, y = a(k), b(k)
            (p0, q0), (p1, q1) = (p1, q1), (x * p1 + y * p0, x * q1 + y * q0)

This approach is handy because not only \pi, but other common constants as well, have generalized continued fraction representations in which the sequences (a_k), (b_k) are “nice.” To generate decimal digits of \pi:

for digit in continued_fraction(lambda k: 0 if k == 0 else 2 * k - 1,
                                lambda k: 4 if k == 1 else (k - 1)**2, 10):
    print(digit, end='')

Or to generate digits of the golden ratio \phi:

for digit in continued_fraction(lambda k: 1,
                                lambda k: 1, 10):
    print(digit, end='')

Consuming blocks of a generator

Finally, once I got around to actually using the above algorithm to try to reproduce Chris’s original code generation script, I accidentally injected a bug that took some thought to figure out. Recall that the Blowfish cipher has a couple of (sets of) subkeys, each populated with a segment of the sequence of hexadecimal digits of \pi. So we would like to extract a block of digits, do something with it, then extract a subsequent block of digits, do something else, etc.

A simple way to do this in Python is with the built-in zip function, that takes multiple iterables as arguments, and returns a single generator that outputs tuples of elements from each of the inputs… and “truncates” to the length of the shortest input. In this case, to extract a fixed number of digits of \pi, we just zip the “infinite” digit generator together with a range of the desired length.

To more clearly see what happens, let’s simplify the context a bit and just try to print the first 10 decimal digits of \pi in two groups of 5:

digits = continued_fraction(lambda k: 0 if k == 0 else 2 * k - 1,
                            lambda k: 4 if k == 1 else (k - 1)**2, 10)
for digit, k in zip(digits, range(5)):
    print(digit, end='')
print()
for digit, k in zip(digits, range(5)):
    print(digit, end='')

This doesn’t work: the resulting output blocks are (31415) and (26535)… but \pi = 3.1415926535\ldots. We “lost” the 9 in the middle.

The problem is that zip evaluates each input iterator in turn, stopping only when one of them is exhausted. In this case, during the 6th iteration of the first loop, we “eat” the 9 from the digit generator before we realize that the range iterator is exhausted. When we continue to the second block of 5 digits, we can’t “put back” the 9.

This is easy to fix: just reverse the order of the zip arguments, so the range is exhausted first, before eating the extra element of the “real” sequence we’re extracting from.

for k, digit in zip(range(5), digits):
    print(digit, end='')
print()
for k, digit in zip(range(5), digits):
    print(digit, end='')

This works as desired, with output blocks (31415) and (92653).

References:

  1. Bailey, D., Borwein, J., Mattingly, A., Wightwick, G., The Computation of Previously Inaccessible Digits of \pi^2 and Catalan’s Constant, Notices of the American Mathematical Society, 60(7) 2013, p. 844-854 [PDF]
  2. Gibbons, J., Unbounded Spigot Algorithms for the Digits of Pi, American Mathematical Monthly, 113(4) April 2006, p. 318-328 [PDF]

Floating-point agreement between MATLAB and C++

Introduction

A common development approach in MATLAB is to:

  1. Write MATLAB code until it’s unacceptably slow.
  2. Replace the slowest code with a C++ implementation called via MATLAB’s MEX interface.
  3. Goto step 1.

Regression testing the faster MEX implementation against the slower original MATLAB can be difficult. Even a seemingly line-for-line, “direct” translation from MATLAB to C++, when provided with exactly the same numeric inputs, executed on the same machine, with the same default floating-point rounding mode, can still yield drastically different output. How does this happen?

There are three primary causes of such differences, none of them easy to fix. The purpose of this post is just to describe these causes, focusing on one in particular that I learned occurs more frequently than I realized.

1. The butterfly effect

This is where the drastically different results typically come from. Even if the inputs to the MATLAB and MEX implementations are identical, suppose that just one intermediate calculation yields even the smallest possible difference in its result… and is followed by a long sequence of further calculations using that result. That small initial difference can be greatly magnified in the final output, due to cumulative effects of rounding error. For example:

x = 0.1;
for k in 1:100
    x = 4 * (1 - x);
end
% x == 0.37244749676375793

double x = 0.10000000000000002;
for (int k = 1; k <= 100; ++k) {
    x = 4 * (1 - x);
}
// x == 0.5453779481420313

This example is only contrived in its simplicity, exaggerating the “speed” of divergence with just a few hundred floating-point operations. Consider a more realistic, more complex Monte Carlo simulation of, say, an aircraft autopilot maneuvering in response to simulated sensor inputs. In a particular Monte Carlo iteration, the original MATLAB implementation might successfully dampen a severe Dutch roll, while the MEX version might result in a crash (of the aircraft, I mean).

Of course, for this divergence of behavior to occur at all, there must be that first difference in the result of an intermediate calculation. So this “butterfly effect” really is just an effect— it’s not a cause at all, just a magnified symptom of the two real causes, described below.

2. Compiler non-determinism

As far as I know, the MATLAB interpreter is pretty well-behaved and predictable, in the sense that MATLAB source code explicitly specifies the order of arithmetic operations, and the precision with which they are executed. A C++ compiler, on the other hand, has a lot of freedom in how it translates source code into the corresponding sequence of arithmetic operations… and possibly even the precision with which they are executed.

Even if we assume that all operations are carried out in double precision, order of operations can matter; the problem is that this order is not explicitly controlled by the C++ source code being compiled (edit: at least for some speed-optimizing compiler settings). For example, when a compiler encounters the statement double x = a+b+c;, it could emit code to effectively calculate (a+b)+c, or a+(b+c), which do not necessarily produce the same result. That is, double-precision addition is not associative:

(0.1 + 0.2) + 0.3 == 0.1 + (0.2 + 0.3) % this is false

Worse, explicit parentheses in the source code may help, but it doesn’t have to.

Another possible problem is intermediate precision. For example, in the process of computing (a+b)+c, the intermediate result t=(a+b) might be computed in, say, 80-bit precision, before clamping the final sum to 64-bit double precision. This has bitten me in other ways discussed here before; Bruce Dawson has several interesting articles with much more detail on this and other issues with floating-point arithmetic.

3. Transcendental functions

So suppose that we are comparing the results of MATLAB and C++ implementations of the same algorithm. We have verified that the numeric inputs are identical, and we have also somehow verified that the arithmetic operations specified by the algorithm are executed in the same order, all in double precision, in both implementations. Yet the output still differs between the two.

Another possible– in fact likely– cause of such differences is in the implementation of transcendental functions such as sin, cos, atan2, exp, etc., which are not required by IEEE-754-2008 to be correctly rounded due to the table maker’s dilemma. For example, following is the first actual instance of this problem that I encountered years ago, reproduced here in MATLAB R2017a (on my Windows laptop):

x = 193513.887169782;
y = 44414.97148164646;
atan2(y, x) == 0.2256108075334872

while the corresponding C++ implementation (still called from MATLAB, built as a MEX function using Microsoft Visual Studio 2015) yields

#include <cmath>
...
std::atan2(y, x) == 0.22561080753348722;

The two results differ by an ulp, with (in this case) the MATLAB version being correctly rounded.

(Rant: Note that both of the above values, despite actually being different, display as the same 0.225610807533487 in the MATLAB command window, which for some reason neglects to provide “round-trip” representations of its native floating-point data type. See here for a function that I find handy when troubleshooting issues like this.)

What I found surprising, after recently exploring this issue in more detail, is that the above example is not an edge case: the MATLAB and C++ cmath implementations of the trigonometric and exponential functions disagree quite frequently– and furthermore, the above example notwithstanding, the C++ implementation tends to be more accurate more of the time, significantly so in the case of atan2 and the exponential functions, as the following figure shows.

Probability of MATLAB/C++ differences in function evaluation for input randomly selected from the unit interval.

The setup: on my Windows laptop, with MATLAB R2017a and Microsoft Visual Studio 2015 (with code compiled from MATLAB as a MEX function with the provided default compiler configuration file), I compared each function’s output for 1 million randomly generated inputs– or pairs of inputs in the case of atan2— in the unit interval.

Of those 1 million inputs, I calculated how many yielded different output from MATLAB and C++, where the differences fell into 3 categories:

  • Red indicates that MATLAB produced the correctly rounded result, with the exact value between the MATLAB and C++ outputs (i.e., both implementations had an error less than an ulp).
  • Gray indicates that C++ produced the correctly rounded result, with both implementations having an error of less than an ulp.
  • Blue indicates that C++ produced the correctly rounded result, between the exact value and the MATLAB output (i.e., MATLAB had an error greater than an ulp).

(A few additional notes on test setup: first, I used random inputs in the unit interval, instead of evenly-spaced values with domains specific to each function, to ensure testing all of the mantissa bits in the input, while still allowing some variation in the exponent. Second, I also tested addition, subtraction, multiplication, division, and square root, just for completeness, and verified that they agree exactly 100% of the time, as guaranteed by IEEE-754-2008… at least for one such operation in isolation, eliminating any compiler non-determinism mentioned earlier. And finally, I also tested against MEX-compiled C++ using MinGW-w64, with results identical to MSVC++.)

For most of these functions, the inputs where MATLAB and C++ differ are distributed across the entire unit interval. The two-argument form of the arctangent is particularly interesting. The following figure “zooms in” on the 16.9597% of the sample inputs that yielded different outputs, showing a scatterplot of those inputs using the same color coding as above. (The red, where MATLAB provides the correctly rounded result, is so infrequent it is barely visible in the summary bar chart.)

Scatterplot of points where MATLAB/C++ differ in evaluation of atan2(y,x), using the same color coding as above.

Conclusion

This might all seem rather grim. It certainly does seem hopeless to expect that a C++ translation of even modestly complex MATLAB code will preserve exact agreement of output for all inputs. (In fact, it’s even worse than this. Even the same MATLAB code, executed in the same version of MATLAB, but on two different machines with different architectures, will not necessarily produce identical results given identical inputs.)

But exact agreement between different implementations is rarely the “real” requirement. Recall the Monte Carlo simulation example described above. If we run, say, 1000 iterations of a simulation in MATLAB, and the same 1000 iterations with a MEX translation, it may be that iteration #137 yields different output in the two versions. But that should be okay… as long as the distribution over all 1000 outputs is the same– or sufficiently similar– in both cases.