It’s harder than you think William Kahan is a numerical analyst and an expert on all things about floating point numbers. He won the 1989 Turing award for his pioneering work on how to implement floating point computations correctly. He has also been a tireless advocate for the care needed to avoid insidious numerical bugs, and his strong feelings come out in a 1997 interview for Dr. Dobbs’ Journal.

Today I want to talk about one of his results on how to sum a series of numbers.

It sounds trivial, but is really a difficult problem when inexact arithmetic is used. Since computers almost always use a fixed finite precision, the problem arises all the time, every day. Another view of adding up numbers is studied by Alexei Borodin, Persi Diaconis, and Jason Fulman in their paper on On adding a list of numbers: it is in the Bulletin of the AMS. They study the carries required—perhaps we will discuss this another time.

I must say that I have the pleasure of knowing Kahan, and have discussed him before here. He is the most articulate person I have ever met, the most knowledgable person about numerical computation, and an extremely interesting person.

## Storing Numbers

Of course computers can only store finite representations of numbers. This does not mean that computers cannot manipulate ${\pi}$ and ${e}$ and ${\sqrt{3}}$: these are routinely used correctly by algebraic packages. It does mean we prefer computers in most computations to use finite representations. The simplest is to use fixed point arithmetic: a number is restricted to be in $\displaystyle -m, -m+1, \dots, -1,0,+1,\dots,m$

for some large ${m}$. The advantage of this method is that arithmetic is almost perfect in that all the usual rules of arithmetic are preserved: addition is, for example, commutative and associative. Well almost. The only problem is if an operation yields a number too big or too small. This overflow and underflow are the main issue. Provided one avoids this the representation is quite simple and easy to use. The famous John von Neumann recommended this method for the 1951 IAS machine.

The difficulty with fixed point representation is that division is a major problem. What is ${3/2}$? In fixed point integer arithmetic it appears that this must be rounded off. But that causes a huge problem, since it loses a great deal of information. Enter floating point. This represents numbers as $\displaystyle a \times 2^{k}$

where ${a}$ is a fixed point number and so is ${k}$. Now ${3/2}$ is equal to ${3 \times 2^{-1}}$. Great—no loss in accuracy. But what is ${2/3}$? Now we can represent this approximately, but not exactly. This is both the strength and the difficulty of floating point numbers. The fact that numbers are only approximations yields many interesting questions about how to manage computations to minimize the loss of accuracy.

It is interesting, to me, that very early computers used hardware to implement floating point type systems. The Z3 of Konrad Zuse used them, and also implemented the square root operation in hardware. This machine was electromechanical:

## The Sum Problem

A fundamental problem is that there can be rounding—see this item als from Dr. Dobbs’ for this example: $\displaystyle \begin{array}{rcl} (1.0 + 1.0*10^{10}) + -1.0*10^{10} &=& 1.0*10^{10} + -1.0*10^{10} \\ &=& 0.0 \end{array}$

but $\displaystyle \begin{array}{rcl} 1.0 + (1.0*10^{10} + -1.0*10^{10}) &=& 1.0 + 0.0 \\ &=& 1.0. \end{array}$

Of course this shows that addition with rounding is not associative. It also shows that while the two answers are different ${0.0}$ and ${1.0}$ they are close in a relative sense. One might think that this is okay, and it can be in many situations. If the computation was computing the difference between two known to be huge numbers, then the fact that the answer was zero or almost zero might be insignificant. But there are other examples where this is just plain wrong and could cause a program to fail. In any event, the failure of the associative law may at least make debugging and understanding a program much more difficult. This is probably why von Neumann was against floating point: it can be hard to debug and test.

Thus, the main question is can we do better? The answer is yes.

## Solutions

Let’s make the problem into a clean formal problem: Given a list ${a_{1},\dots,a_{n}}$ of floating point numbers, what is the best way to get ${S}$ so that $\displaystyle \left|S - \sum_{i=1}^{n} a_{i} \right|$

is as small as possible? The above example shows that the trivial algorithm of adding up the numbers in order $\displaystyle ( \dots (a_{1}+a_{2}) + a_{3}) + \cdots + a_{n} )$

is definitely not the optimal way.

This suggests that we use some kind of cleverness in either reordering the numbers or in keeping track of additional information. Of course, since this is such a basic problem, we want our algorithm to operate in time close to linear time—we want the number of basic operations to stay close to ${O(n)}$.

The state of the art is that there are algorithms that compute good answers to the sum problem. Some trade running time for accuracy. One of the simplest uses sorting to rearrange the numbers. Kahan himself developed an algorithm that achieves error growth that is bounded independent of ${n}$: it does dependent on a kind of condition number that describes how well behaved the sum is. Another nice algorithm uses divide and conquer:

One recursively divides the set of numbers into two halves, sums each half, and then adds the two sums. This has the advantage of requiring the same number of arithmetic operations as the naive summation (unlike Kahan’s algorithm, which requires four times the arithmetic and has a latency of four times a simple summation) and can be calculated in parallel. The base case of the recursion could in principle be the sum of only one (or zero) numbers, but to amortize the overhead of recursion one would normally use a larger base case. The equivalent of pairwise summation is used in many fast Fourier transform (FFT) algorithms, and is responsible for the logarithmic growth of roundoff errors in those FFTs. In practice, with roundoff errors of random signs, the root mean square errors of pairwise summation actually grow as ${O(\sqrt{\log n})}$

## Can One Be Perfect?

James Demmel and Yozo Hida proved several interesting further results in a cool paper in 2002. One is that under reasonable assumptions they get the summation exactly when the answer is zero. This is a quite interesting property for those of us in theory.

It suggests a definition: Let ${\mathbb{F}}$ be the set of finite precision numbers allowed. Let ${G}$ map ${\mathbb{R}^{n}}$ to ${\mathbb{R}}$—note ${G}$ is a function defined over the reals. Let ${A}$ be an algorithm that implements ${G}$. Say that this algorithm is perfect provided for any ${x}$ in ${\mathbb{F}^{n}}$, if ${G(x)}$ is in ${\mathbb{F}}$, then ${A(x)=G(x)}$. Thus, if the answer can be represented in ${\mathbb{F}}$, the algorithm always gives exactly that.

This is a strong property of an algorithm: if the answer is possible, then the algorithm does indeed get it. The algorithm by Demmel and Hida achieves this for the special case of summation for the special value ${0}$. For other final values, however, it can be off by one-plus in the least designated significant unit. Their algorithm also requires that the number ${n}$ of values being summed is bounded in terms of the available precision and the significance requirement; if ${n}$ exceeds the bound then the algorithm can be thrown off wildly. This indicates the surprising delicacy of the kind of simple matter that programmers might take for granted.

One idea I had is to run the fixed-point parts of the calculations modulo ${p}$ for several large primes ${p}$. Errors modulo different values of ${p}$ might be combined to reduce the overall error, or at least provide a guarantee.

## Open Problems

What is the cost of making an algorithm perfect? What happens for more general type arithmetic computations? Are there similar methods that reduce the error, yet keep the computation cost about the same?

[fixed exponents in equation]

1. October 5, 2014 1:32 pm

Can you cover functional encryption sometime? Is there a future for it?

2. October 5, 2014 6:45 pm

There’s a bug in your section called “The Sum Problem.” You meant to write 1.0*10^10 or 1.0*2^10, not 1.0^10.

• October 5, 2014 10:51 pm

Right, the Dobbs article has it as “1.0e10”.

• October 7, 2014 6:14 am

Yes—thanks.

3. October 6, 2014 8:22 am

Arbitrary-precision command-line confection:

time echo "n=10^6;a=2^n;b=(2^n-42);a-b" |
bc | printf %s "42=?=$(cat)" 42=?=42 real 0m5.197s user 0m5.194s sys 0m0.007s  It’s great to live in a century in which arbitrary-precision numerical experiments are astoundingly fast and amazingly cheap. Thank you, William Kahan! 4. Serge permalink October 6, 2014 11:26 am What is the cost of making an algorithm perfect? This is certainly a very hard question! To some extent, it even constitutes a clever rewording of the P vs. NP problem… 5. E.L. Wisty permalink October 7, 2014 5:53 am Reblogged this on Pink Iguana and commented: rjl on compensated summation 6. Paul Rio permalink October 7, 2014 1:31 pm Look, “$ONE-IN-THREE \ 3SAT$is the problem of deciding whether a given boolean formula$\phi$in$3CNF$has a truth assignment such that each clause in$\phi$has exactly one true literal. This problem is$NP-complete$. We define a similar language:$ZERO-ONE-IN-THREE \ 3SAT$is the problem of deciding whether a given boolean formula$\phi$in$3CNF$has a truth assignment such that each clause in$\phi$has at most one true literal. Indeed,$ONE-IN-THREE \ 3SAT \subseteq ZERO-ONE-IN-THREE \ 3SAT$. In this work, we prove$ZERO-ONE-IN-THREE \ 3SAT \in P\$.”

in,

http://hal.archives-ouvertes.fr/hal-01070568

is very interesting, isn’t!!!!