markovgpu-rane 0.2.0__py3-none-any.whl
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- markovgpu/__init__.py +5 -0
- markovgpu/backend.py +345 -0
- markovgpu/kernels.cl +170 -0
- markovgpu/py.typed +0 -0
- markovgpu/sklearn.py +94 -0
- markovgpu_rane-0.2.0.dist-info/METADATA +205 -0
- markovgpu_rane-0.2.0.dist-info/RECORD +8 -0
- markovgpu_rane-0.2.0.dist-info/WHEEL +4 -0
markovgpu/__init__.py
ADDED
markovgpu/backend.py
ADDED
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import pyopencl as cl
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import numpy as np
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import os
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# Locate the kernel file
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MODULE_PATH = os.path.dirname(os.path.abspath(__file__))
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KERNEL_PATH = os.path.join(MODULE_PATH, "kernels.cl")
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# Threshold: Use GPU if states >= 64, otherwise CPU is faster
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GPU_THRESHOLD = 64
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class MarkovEngine:
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def __init__(self):
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self.use_gpu = False
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self.ctx = None
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self.queue = None
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self.prg = None
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# 1. Try to Connect to GPU
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try:
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platforms = cl.get_platforms()
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gpu_devices = []
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for p in platforms:
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gpu_devices.extend(p.get_devices(device_type=cl.device_type.GPU))
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if gpu_devices:
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# Pick the discrete GPU (highest compute units)
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best_dev = sorted(
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gpu_devices, key=lambda d: d.max_compute_units, reverse=True
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)[0]
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self.ctx = cl.Context([best_dev])
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print(
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f"π Connected to Accelerator: {best_dev.name} ({best_dev.max_compute_units} CUs)"
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)
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else:
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self.ctx = cl.create_some_context(interactive=False)
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print(f"β οΈ No Dedicated GPU found. Using: {self.ctx.devices[0].name}")
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self.queue = cl.CommandQueue(self.ctx)
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# 2. Compile Kernels
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if not os.path.exists(KERNEL_PATH):
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raise FileNotFoundError(f"Kernel file missing at: {KERNEL_PATH}")
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with open(KERNEL_PATH, "r") as f:
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self.prg = cl.Program(self.ctx, f.read()).build()
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# 3. Cache Kernels (Robust Retrieval)
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self.use_gpu = True
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try:
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# Basic
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self.k_markov = self.prg.markov_step
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self.k_hmm_basic = self.prg.hmm_forward_step
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# Advanced / Viterbi
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self.k_hmm_log = self.prg.hmm_forward_log
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self.k_viterbi = self.prg.viterbi_step
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# Training
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self.k_hmm_back = self.prg.hmm_backward_log
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self.k_acc_trans = self.prg.accumulate_transitions
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self.k_acc_gamma = self.prg.accumulate_gammas
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except AttributeError as e:
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print(f"β Kernel Warning: {e}")
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print("β οΈ Some GPU features may be disabled.")
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except Exception as e:
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print(f"β οΈ OpenCL Initialization failed: {e}")
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print("β οΈ Running in CPU-Only Mode (NumPy).")
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self.use_gpu = False
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# --- 1. Simulation ---
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def step(self, P, v):
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"""Runs one step: v_new = v * P"""
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N = len(v)
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if not self.use_gpu or N < GPU_THRESHOLD:
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return v.dot(P)
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mf = cl.mem_flags
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P = np.ascontiguousarray(P, dtype=np.float32)
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v = np.ascontiguousarray(v, dtype=np.float32)
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result = np.empty_like(v)
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d_P = cl.Buffer(self.ctx, mf.READ_ONLY | mf.COPY_HOST_PTR, hostbuf=P)
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d_v = cl.Buffer(self.ctx, mf.READ_ONLY | mf.COPY_HOST_PTR, hostbuf=v)
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d_res = cl.Buffer(self.ctx, mf.WRITE_ONLY, size=result.nbytes)
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self.k_markov(self.queue, (N,), None, np.int32(N), d_v, d_P, d_res)
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cl.enqueue_copy(self.queue, result, d_res)
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return result
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def converge(self, P, start_v, tolerance=1e-5, max_steps=1000):
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N = len(start_v)
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# CPU Path
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if not self.use_gpu or N < GPU_THRESHOLD:
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current_v = start_v.copy()
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for i in range(max_steps):
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new_v = current_v.dot(P)
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if np.sum(np.abs(new_v - current_v)) < tolerance:
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return new_v
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current_v = new_v
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return current_v
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# GPU Path
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mf = cl.mem_flags
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P = np.ascontiguousarray(P, dtype=np.float32)
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start_v = np.ascontiguousarray(start_v, dtype=np.float32)
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d_P = cl.Buffer(self.ctx, mf.READ_ONLY | mf.COPY_HOST_PTR, hostbuf=P)
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d_v_read = cl.Buffer(
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self.ctx, mf.READ_WRITE | mf.COPY_HOST_PTR, hostbuf=start_v
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)
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d_v_write = cl.Buffer(self.ctx, mf.READ_WRITE, size=start_v.nbytes)
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current_v = start_v.copy()
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for i in range(max_steps):
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self.k_markov(self.queue, (N,), None, np.int32(N), d_v_read, d_P, d_v_write)
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if i % 10 == 0:
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new_v = np.empty_like(current_v)
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cl.enqueue_copy(self.queue, new_v, d_v_write)
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if np.sum(np.abs(new_v - current_v)) < tolerance:
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return new_v
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current_v = new_v
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d_v_read, d_v_write = d_v_write, d_v_read
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print("β οΈ Reached max steps without full convergence.")
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return current_v
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# --- 2. Inference & Viterbi ---
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def decode_regime(self, transition_matrix, observation_probs):
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"""Viterbi Algorithm (Finds Most Likely Path)"""
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T, N = observation_probs.shape
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epsilon = 1e-20
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# CPU Path
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if not self.use_gpu or N < GPU_THRESHOLD:
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log_trans = np.log(transition_matrix + epsilon)
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log_emis = np.log(observation_probs + epsilon)
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log_delta = np.zeros((T, N))
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backpointers = np.zeros((T, N), dtype=int)
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log_delta[0] = -np.log(N) + log_emis[0]
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for t in range(1, T):
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for j in range(N):
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vals = log_delta[t - 1] + log_trans[:, j]
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best_prev = np.argmax(vals)
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backpointers[t, j] = best_prev
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log_delta[t, j] = vals[best_prev] + log_emis[t, j]
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path = np.zeros(T, dtype=int)
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path[-1] = np.argmax(log_delta[-1])
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for t in range(T - 2, -1, -1):
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path[t] = backpointers[t + 1, path[t + 1]]
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return path
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# GPU Path
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mf = cl.mem_flags
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log_trans = np.log(transition_matrix + epsilon).astype(np.float32)
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log_emis = np.log(observation_probs + epsilon).astype(np.float32)
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log_delta = np.full(N, -np.log(N), dtype=np.float32)
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d_trans = cl.Buffer(
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self.ctx, mf.READ_ONLY | mf.COPY_HOST_PTR, hostbuf=log_trans
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)
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d_delta_in = cl.Buffer(
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self.ctx, mf.READ_WRITE | mf.COPY_HOST_PTR, hostbuf=log_delta
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)
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d_delta_out = cl.Buffer(self.ctx, mf.READ_WRITE, size=log_delta.nbytes)
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full_backpointer_history = np.zeros((T, N), dtype=np.int32)
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d_backpointers = cl.Buffer(
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self.ctx, mf.WRITE_ONLY, size=full_backpointer_history.nbytes // T
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)
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print(f"π΅οΈ Decoding {T} days (GPU Accelerated)...")
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for t in range(T):
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d_emis = cl.Buffer(
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self.ctx, mf.READ_ONLY | mf.COPY_HOST_PTR, hostbuf=log_emis[t]
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)
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self.k_viterbi(
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self.queue,
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(N,),
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None,
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np.int32(N),
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d_delta_in,
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d_trans,
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d_emis,
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d_delta_out,
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d_backpointers,
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)
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step_pointers = np.empty(N, dtype=np.int32)
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cl.enqueue_copy(self.queue, step_pointers, d_backpointers)
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full_backpointer_history[t] = step_pointers
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d_delta_in, d_delta_out = d_delta_out, d_delta_in
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final_log_probs = np.empty(N, dtype=np.float32)
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cl.enqueue_copy(self.queue, final_log_probs, d_delta_in)
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best_path = np.zeros(T, dtype=np.int32)
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best_path[-1] = np.argmax(final_log_probs)
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for t in range(T - 2, -1, -1):
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next_state = best_path[t + 1]
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best_path[t] = full_backpointer_history[t + 1][next_state]
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return best_path
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# --- 3. Training (Baum-Welch) ---
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def fit(self, observations, n_states, n_iters=10, tolerance=1e-4):
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"""Baum-Welch Expectation Maximization (Training)"""
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T = observations.shape[0]
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N = n_states
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mf = cl.mem_flags
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# 1. Initialize Params (Log Space)
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log_trans = np.log(
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np.full((N, N), 1.0 / N) + np.random.rand(N, N) * 0.01
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).astype(np.float32)
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log_emis = np.log(observations + 1e-20).astype(np.float32)
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# 2. Allocate GPU Memory (VRAM)
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# We allocate FULL history on GPU to avoid copying back and forth
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d_trans = cl.Buffer(self.ctx, mf.READ_WRITE | mf.COPY_HOST_PTR, hostbuf=log_trans)
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d_emis = cl.Buffer(self.ctx, mf.READ_ONLY | mf.COPY_HOST_PTR, hostbuf=log_emis)
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d_alpha = cl.Buffer(self.ctx, mf.READ_WRITE, size=T * N * 4) # float32 = 4 bytes
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d_beta = cl.Buffer(self.ctx, mf.READ_WRITE, size=T * N * 4)
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d_new_trans = cl.Buffer(self.ctx, mf.READ_WRITE, size=log_trans.nbytes)
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d_gamma_sums = cl.Buffer(self.ctx, mf.READ_WRITE, size=N * 4)
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prev_score = -np.inf
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print(f"π§ Training HMM ({N} States, {T} Steps) on GPU...")
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# Host buffers for initial checks and final readback
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init_alpha = np.zeros(N, dtype=np.float32)
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final_alpha_T = np.zeros(N, dtype=np.float32)
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for i in range(n_iters):
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# --- A. Forward Pass (GPU Loop) ---
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# Init Alpha[0] on CPU then send (fast enough for 1 step)
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init_alpha[:] = -np.log(N) + log_emis[0]
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cl.enqueue_copy(self.queue, d_alpha, init_alpha, is_blocking=False) # Write to offset 0
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# Loop t=1 to T
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for t in range(1, T):
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prev_offset = (t - 1) * N
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curr_offset = t * N
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emis_offset = t * N
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self.k_hmm_log(
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self.queue, (N,), None,
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np.int32(N),
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d_alpha, # Full Buffer
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np.int32(prev_offset),
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np.int32(curr_offset),
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d_trans,
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d_emis, # Full Buffer
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np.int32(emis_offset)
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)
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# --- B. Backward Pass (GPU Loop) ---
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# Init Beta[T-1] to 0.0 (log(1))
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# We can use clEnqueueFillBuffer, but pyopencl 2022+ is cleaner with copy
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init_beta_end = np.zeros(N, dtype=np.float32) # log(1) = 0
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beta_end_offset = (T - 1) * N * 4 # Bytes offset
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cl.enqueue_copy(self.queue, d_beta, init_beta_end, dst_offset=beta_end_offset, is_blocking=False)
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# Loop t = T-2 down to 0
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for t in range(T - 2, -1, -1):
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curr_offset = t * N
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future_offset = (t + 1) * N
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future_emis_offset = (t + 1) * N
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self.k_hmm_back(
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self.queue, (N,), None,
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np.int32(N),
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292
|
+
d_beta, # Full Buffer
|
|
293
|
+
np.int32(future_offset),
|
|
294
|
+
np.int32(curr_offset),
|
|
295
|
+
d_trans,
|
|
296
|
+
d_emis,
|
|
297
|
+
np.int32(future_emis_offset)
|
|
298
|
+
)
|
|
299
|
+
|
|
300
|
+
# --- C. Accumulation (GPU) ---
|
|
301
|
+
# Wait for loops to finish
|
|
302
|
+
self.queue.finish()
|
|
303
|
+
|
|
304
|
+
# Condense Alpha/Beta/Emis into new Transition Matrix
|
|
305
|
+
self.k_acc_trans(
|
|
306
|
+
self.queue, (N, N), None,
|
|
307
|
+
np.int32(T), np.int32(N),
|
|
308
|
+
d_alpha, d_beta, d_emis, d_trans, d_new_trans
|
|
309
|
+
)
|
|
310
|
+
|
|
311
|
+
# Condense into Gamma Sums
|
|
312
|
+
self.k_acc_gamma(
|
|
313
|
+
self.queue, (N,), None,
|
|
314
|
+
np.int32(T), np.int32(N),
|
|
315
|
+
d_alpha, d_beta, d_gamma_sums
|
|
316
|
+
)
|
|
317
|
+
|
|
318
|
+
# --- D. Update & Check Convergence (CPU) ---
|
|
319
|
+
# We only read back the "Summary Statistics", not the T*N buffers
|
|
320
|
+
new_log_trans_counts = np.empty_like(log_trans)
|
|
321
|
+
log_gamma_sums = np.empty(N, dtype=np.float32)
|
|
322
|
+
|
|
323
|
+
cl.enqueue_copy(self.queue, new_log_trans_counts, d_new_trans)
|
|
324
|
+
cl.enqueue_copy(self.queue, log_gamma_sums, d_gamma_sums)
|
|
325
|
+
|
|
326
|
+
# Calc Likelihood from Alpha[T-1] for convergence check
|
|
327
|
+
# Read just the last N floats
|
|
328
|
+
alpha_T_offset = (T - 1) * N * 4
|
|
329
|
+
cl.enqueue_copy(self.queue, final_alpha_T, d_alpha, src_offset=alpha_T_offset)
|
|
330
|
+
log_likelihood = np.logaddexp.reduce(final_alpha_T)
|
|
331
|
+
|
|
332
|
+
# M-Step: Normalize
|
|
333
|
+
log_trans = new_log_trans_counts - log_gamma_sums[:, None]
|
|
334
|
+
|
|
335
|
+
# Update GPU Trans Matrix for next iteration
|
|
336
|
+
cl.enqueue_copy(self.queue, d_trans, log_trans)
|
|
337
|
+
|
|
338
|
+
change = log_likelihood - prev_score
|
|
339
|
+
print(f" Iter {i + 1}: Likelihood {log_likelihood:.2f} (Delta: {change:.4f})")
|
|
340
|
+
|
|
341
|
+
if abs(change) < tolerance:
|
|
342
|
+
break
|
|
343
|
+
prev_score = log_likelihood
|
|
344
|
+
|
|
345
|
+
return np.exp(log_trans)
|
markovgpu/kernels.cl
ADDED
|
@@ -0,0 +1,170 @@
|
|
|
1
|
+
// kernels.cl - Fixed Write Permissions
|
|
2
|
+
|
|
3
|
+
// --- HELPER: Log-Sum-Exp Trick ---
|
|
4
|
+
float log_add(float log_a, float log_b) {
|
|
5
|
+
float max_val = max(log_a, log_b);
|
|
6
|
+
float min_val = min(log_a, log_b);
|
|
7
|
+
return max_val + log1p(exp(min_val - max_val));
|
|
8
|
+
}
|
|
9
|
+
|
|
10
|
+
// --- SECTION 1: Basic Operations ---
|
|
11
|
+
|
|
12
|
+
__kernel void markov_step(
|
|
13
|
+
const int N,
|
|
14
|
+
__global const float *current_state,
|
|
15
|
+
__global const float *transition_mat,
|
|
16
|
+
__global float *next_state)
|
|
17
|
+
{
|
|
18
|
+
int id = get_global_id(0);
|
|
19
|
+
if (id < N) {
|
|
20
|
+
float sum = 0.0f;
|
|
21
|
+
for (int k = 0; k < N; k++) {
|
|
22
|
+
sum += current_state[k] * transition_mat[k * N + id];
|
|
23
|
+
}
|
|
24
|
+
next_state[id] = sum;
|
|
25
|
+
}
|
|
26
|
+
}
|
|
27
|
+
|
|
28
|
+
__kernel void hmm_forward_step(
|
|
29
|
+
const int N,
|
|
30
|
+
__global const float *alpha_prev,
|
|
31
|
+
__global const float *trans_mat,
|
|
32
|
+
__global const float *emissions,
|
|
33
|
+
__global float *alpha_new)
|
|
34
|
+
{
|
|
35
|
+
int id = get_global_id(0);
|
|
36
|
+
if (id < N) {
|
|
37
|
+
float sum = 0.0f;
|
|
38
|
+
for (int k = 0; k < N; k++) {
|
|
39
|
+
sum += alpha_prev[k] * trans_mat[k * N + id];
|
|
40
|
+
}
|
|
41
|
+
alpha_new[id] = sum * emissions[id];
|
|
42
|
+
}
|
|
43
|
+
}
|
|
44
|
+
|
|
45
|
+
// --- SECTION 2: Advanced Log-Space Operations ---
|
|
46
|
+
|
|
47
|
+
// 3. Log-Space Forward (FIXED: Removed 'const' from log_alpha_full)
|
|
48
|
+
__kernel void hmm_forward_log(
|
|
49
|
+
const int N,
|
|
50
|
+
__global float *log_alpha_full, // <--- FIX: Removed 'const' here
|
|
51
|
+
const int prev_offset,
|
|
52
|
+
const int curr_offset,
|
|
53
|
+
__global const float *log_trans_mat,
|
|
54
|
+
__global const float *log_emissions,
|
|
55
|
+
const int emis_offset)
|
|
56
|
+
{
|
|
57
|
+
int id = get_global_id(0);
|
|
58
|
+
if (id < N) {
|
|
59
|
+
float log_sum = -INFINITY;
|
|
60
|
+
// Read from 'prev_offset' in the giant buffer
|
|
61
|
+
for (int k = 0; k < N; k++) {
|
|
62
|
+
float val = log_alpha_full[prev_offset + k] + log_trans_mat[k * N + id];
|
|
63
|
+
if (k == 0) log_sum = val;
|
|
64
|
+
else log_sum = log_add(log_sum, val);
|
|
65
|
+
}
|
|
66
|
+
// Write to 'curr_offset'
|
|
67
|
+
// Read emission from 'emis_offset'
|
|
68
|
+
log_alpha_full[curr_offset + id] = log_sum + log_emissions[emis_offset + id];
|
|
69
|
+
}
|
|
70
|
+
}
|
|
71
|
+
|
|
72
|
+
// 4. Log-Space Backward
|
|
73
|
+
__kernel void hmm_backward_log(
|
|
74
|
+
const int N,
|
|
75
|
+
__global float *beta_full,
|
|
76
|
+
const int future_offset,
|
|
77
|
+
const int curr_offset,
|
|
78
|
+
__global const float *trans,
|
|
79
|
+
__global const float *emis_full,
|
|
80
|
+
const int future_emis_offset)
|
|
81
|
+
{
|
|
82
|
+
int id = get_global_id(0); // State 'i'
|
|
83
|
+
if (id < N) {
|
|
84
|
+
float log_sum = -INFINITY;
|
|
85
|
+
for (int j=0; j<N; j++) {
|
|
86
|
+
// trans(i->j) + emis(t+1, j) + beta(t+1, j)
|
|
87
|
+
float val = trans[id*N + j] +
|
|
88
|
+
emis_full[future_emis_offset + j] +
|
|
89
|
+
beta_full[future_offset + j];
|
|
90
|
+
|
|
91
|
+
if (j==0) log_sum = val;
|
|
92
|
+
else log_sum = log_add(log_sum, val);
|
|
93
|
+
}
|
|
94
|
+
beta_full[curr_offset + id] = log_sum;
|
|
95
|
+
}
|
|
96
|
+
}
|
|
97
|
+
|
|
98
|
+
// 5. Viterbi Algorithm
|
|
99
|
+
__kernel void viterbi_step(
|
|
100
|
+
const int N,
|
|
101
|
+
__global const float *log_delta_prev,
|
|
102
|
+
__global const float *log_trans_mat,
|
|
103
|
+
__global const float *log_emissions,
|
|
104
|
+
__global float *log_delta_new,
|
|
105
|
+
__global int *backpointers)
|
|
106
|
+
{
|
|
107
|
+
int id = get_global_id(0);
|
|
108
|
+
if (id < N) {
|
|
109
|
+
float max_prob = -INFINITY;
|
|
110
|
+
int best_prev_state = 0;
|
|
111
|
+
for (int k = 0; k < N; k++) {
|
|
112
|
+
float prob = log_delta_prev[k] + log_trans_mat[k * N + id];
|
|
113
|
+
if (prob > max_prob) {
|
|
114
|
+
max_prob = prob;
|
|
115
|
+
best_prev_state = k;
|
|
116
|
+
}
|
|
117
|
+
}
|
|
118
|
+
log_delta_new[id] = max_prob + log_emissions[id];
|
|
119
|
+
backpointers[id] = best_prev_state;
|
|
120
|
+
}
|
|
121
|
+
}
|
|
122
|
+
|
|
123
|
+
// --- SECTION 3: Learning Accumulators ---
|
|
124
|
+
|
|
125
|
+
// 6. Accumulate Transitions (E-Step)
|
|
126
|
+
__kernel void accumulate_transitions(
|
|
127
|
+
const int T, const int N,
|
|
128
|
+
__global const float *alpha_full,
|
|
129
|
+
__global const float *beta_full,
|
|
130
|
+
__global const float *emis_full,
|
|
131
|
+
__global const float *trans_mat,
|
|
132
|
+
__global float *new_trans_counts)
|
|
133
|
+
{
|
|
134
|
+
int row = get_global_id(1); // From State i
|
|
135
|
+
int col = get_global_id(0); // To State j
|
|
136
|
+
|
|
137
|
+
if (row < N && col < N) {
|
|
138
|
+
float log_sum_xi = -INFINITY;
|
|
139
|
+
float log_trans_val = trans_mat[row * N + col];
|
|
140
|
+
|
|
141
|
+
for (int t = 0; t < T - 1; t++) {
|
|
142
|
+
float log_xi = alpha_full[t*N + row] +
|
|
143
|
+
log_trans_val +
|
|
144
|
+
emis_full[(t+1)*N + col] +
|
|
145
|
+
beta_full[(t+1)*N + col];
|
|
146
|
+
if (t == 0) log_sum_xi = log_xi;
|
|
147
|
+
else log_sum_xi = log_add(log_sum_xi, log_xi);
|
|
148
|
+
}
|
|
149
|
+
new_trans_counts[row * N + col] = log_sum_xi;
|
|
150
|
+
}
|
|
151
|
+
}
|
|
152
|
+
|
|
153
|
+
// 7. Accumulate Gammas (E-Step)
|
|
154
|
+
__kernel void accumulate_gammas(
|
|
155
|
+
const int T, const int N,
|
|
156
|
+
__global const float *alpha_full,
|
|
157
|
+
__global const float *beta_full,
|
|
158
|
+
__global float *log_gamma_sums)
|
|
159
|
+
{
|
|
160
|
+
int id = get_global_id(0);
|
|
161
|
+
if (id < N) {
|
|
162
|
+
float log_sum_gamma = -INFINITY;
|
|
163
|
+
for (int t = 0; t < T; t++) {
|
|
164
|
+
float val = alpha_full[t*N + id] + beta_full[t*N + id];
|
|
165
|
+
if (t == 0) log_sum_gamma = val;
|
|
166
|
+
else log_sum_gamma = log_add(log_sum_gamma, val);
|
|
167
|
+
}
|
|
168
|
+
log_gamma_sums[id] = log_sum_gamma;
|
|
169
|
+
}
|
|
170
|
+
}
|
markovgpu/py.typed
ADDED
|
File without changes
|
markovgpu/sklearn.py
ADDED
|
@@ -0,0 +1,94 @@
|
|
|
1
|
+
import numpy as np
|
|
2
|
+
from sklearn.base import BaseEstimator, TransformerMixin
|
|
3
|
+
from sklearn.utils.validation import check_array, check_is_fitted
|
|
4
|
+
from scipy.stats import norm
|
|
5
|
+
from .backend import MarkovEngine
|
|
6
|
+
|
|
7
|
+
class GpuHMM(BaseEstimator, TransformerMixin):
|
|
8
|
+
"""
|
|
9
|
+
Scikit-Learn compatible Wrapper for MarkovGPU.
|
|
10
|
+
Allows use in Pipelines, GridSearchCV, and Cross-Validation.
|
|
11
|
+
"""
|
|
12
|
+
def __init__(self, n_states=2, n_iter=100, tolerance=1e-4, verbose=False):
|
|
13
|
+
self.n_states = n_states
|
|
14
|
+
self.n_iter = n_iter
|
|
15
|
+
self.tolerance = tolerance
|
|
16
|
+
self.verbose = verbose
|
|
17
|
+
self.engine = MarkovEngine()
|
|
18
|
+
|
|
19
|
+
# Learned Parameters
|
|
20
|
+
self.trans_mat_ = None
|
|
21
|
+
self.start_prob_ = None
|
|
22
|
+
|
|
23
|
+
def fit(self, X, y=None):
|
|
24
|
+
"""
|
|
25
|
+
Trains the HMM on the GPU.
|
|
26
|
+
X: array-like of shape (n_samples, n_features) OR (n_samples,)
|
|
27
|
+
For now, we assume X represents 'Observation Probabilities'
|
|
28
|
+
OR raw data we can model as Gaussian emissions.
|
|
29
|
+
"""
|
|
30
|
+
# 1. Input Validation
|
|
31
|
+
X = check_array(X, ensure_2d=False)
|
|
32
|
+
|
|
33
|
+
# 2. Heuristic: If X is 1D (Raw Data), we convert to Emission Probs
|
|
34
|
+
# using a simple Gaussian mixture assumption for convenience.
|
|
35
|
+
if X.ndim == 1 or X.shape[1] == 1:
|
|
36
|
+
if self.verbose:
|
|
37
|
+
print(f"βΉοΈ Auto-converting raw data to {self.n_states} Gaussian states.")
|
|
38
|
+
X_flat = X.ravel()
|
|
39
|
+
obs_probs = self._auto_gaussian_emissions(X_flat)
|
|
40
|
+
else:
|
|
41
|
+
# Assume X is already [Probability of State 0, Prob of State 1, ...]
|
|
42
|
+
if X.shape[1] != self.n_states:
|
|
43
|
+
raise ValueError(f"Input has {X.shape[1]} columns, but n_states={self.n_states}. "
|
|
44
|
+
"If passing raw probabilities, cols must match n_states.")
|
|
45
|
+
obs_probs = X
|
|
46
|
+
|
|
47
|
+
# 3. Train on GPU
|
|
48
|
+
if self.verbose:
|
|
49
|
+
print(f"π Offloading to GPU: {X.shape[0]} samples, {self.n_states} states")
|
|
50
|
+
|
|
51
|
+
self.trans_mat_ = self.engine.fit(
|
|
52
|
+
obs_probs,
|
|
53
|
+
n_states=self.n_states,
|
|
54
|
+
n_iters=self.n_iter,
|
|
55
|
+
tolerance=self.tolerance
|
|
56
|
+
)
|
|
57
|
+
|
|
58
|
+
# Set is_fitted flag
|
|
59
|
+
self.is_fitted_ = True
|
|
60
|
+
return self
|
|
61
|
+
|
|
62
|
+
def predict(self, X):
|
|
63
|
+
"""
|
|
64
|
+
Returns the most likely hidden state path (Viterbi).
|
|
65
|
+
"""
|
|
66
|
+
check_is_fitted(self, ['trans_mat_'])
|
|
67
|
+
X = check_array(X, ensure_2d=False)
|
|
68
|
+
|
|
69
|
+
if X.ndim == 1 or X.shape[1] == 1:
|
|
70
|
+
obs_probs = self._auto_gaussian_emissions(X.ravel())
|
|
71
|
+
else:
|
|
72
|
+
obs_probs = X
|
|
73
|
+
|
|
74
|
+
return self.engine.decode_regime(self.trans_mat_, obs_probs)
|
|
75
|
+
|
|
76
|
+
def _auto_gaussian_emissions(self, data):
|
|
77
|
+
"""
|
|
78
|
+
Helper: Splits data into N quantiles and assumes Gaussian emissions.
|
|
79
|
+
This makes the class 'Just Work' for simple 1D data.
|
|
80
|
+
"""
|
|
81
|
+
T = len(data)
|
|
82
|
+
N = self.n_states
|
|
83
|
+
|
|
84
|
+
# Smart Init: Sort data and split into N chunks to guess means
|
|
85
|
+
sorted_data = np.sort(data)
|
|
86
|
+
chunk_size = T // N
|
|
87
|
+
means = [np.mean(sorted_data[i*chunk_size : (i+1)*chunk_size]) for i in range(N)]
|
|
88
|
+
std = np.std(data) * 0.5 # Heuristic width
|
|
89
|
+
|
|
90
|
+
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Metadata-Version: 2.4
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Name: markovgpu-rane
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Version: 0.2.0
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Summary: High-performance Markov Chains & HMMs using OpenCL
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Author-email: Sahil Rane <sahilrane249@gmail.com>
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Classifier: Development Status :: 4 - Beta
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Classifier: Intended Audience :: Developers
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Classifier: Intended Audience :: Financial and Insurance Industry
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Classifier: Intended Audience :: Science/Research
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Classifier: License :: OSI Approved :: MIT License
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Classifier: Operating System :: OS Independent
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Classifier: Programming Language :: Python :: 3
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Classifier: Topic :: Scientific/Engineering :: Artificial Intelligence
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Classifier: Topic :: Scientific/Engineering :: Mathematics
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Requires-Python: >=3.12
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Requires-Dist: matplotlib>=3.8.0
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Requires-Dist: numpy>=1.26.0
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Requires-Dist: pyopencl>=2024.1
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Requires-Dist: scikit-learn>=1.8.0
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Requires-Dist: scipy>=1.11.0
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Requires-Dist: yfinance>=1.1.0
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Description-Content-Type: text/markdown
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<div align="center">
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# β‘ **MarkovGPU**
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### *Massive Scale Markov Models on Consumer Hardware*
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<img width="100%" alt="MarkovGPU Hero" src="https://i.imgur.com/gK9J6hD.p" /
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> **Run million-state HMMs on your laptop GPU.**
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> **No CUDA required β’ Hybrid CPU/GPU Backend β’ Production Ready**
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[](https://pypi.org/project/markovgpu-rane/)
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[](https://www.python.org/downloads/)
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[](https://opensource.org/licenses/MIT)
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[](https://github.com/wizardwithcodehazard/markov/actions)
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</div>
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---
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## π **The Engine for Stochastic Intelligence**
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**MarkovGPU** is a high-performance probabilistic modeling library built for speed. It breaks the "NVIDIA Monopoly" by using **OpenCL** to accelerate **Hidden Markov Models (HMM)** and **Markov Chains** on *any* GPUβincluding AMD Radeon, Intel Arc, and Apple Silicon.
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It doesn't just run; it *thinks*. The **Smart Hybrid Backend** automatically routes small tasks to the CPU (NumPy) and massive workloads to the GPU, giving you optimal performance at every scale.
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---
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## π **Core Superpowers**
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| Feature | Magic Behind It |
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|-------|----------------|
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| β‘ **Hardware Agnostic** | Built on **OpenCL** β runs on AMD, Intel, NVIDIA, and Apple M1/M2/M3 chips. |
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| π§ **Smart Hybrid Backend** | Auto-detects problem size ($N$). Uses **NumPy** for speed on small data, **GPU** for massive throughput. |
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| π **Log-Space Stability** | Implements **Log-Sum-Exp** kernels to prevent underflow on long time-series (1M+ steps). |
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| π΅οΈ **Viterbi Decoding** | Finds the "Hidden Truth" in noisy data (e.g., market regimes, DNA sequences) in milliseconds. |
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| π **Unsupervised Learning** | **Baum-Welch (EM)** algorithm trains models directly on the GPU, learning rules from raw data. |
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| π¦ **Zero-Config Install** | `pip install markovgpu-rane`. No driver hell. No CUDA toolkit nightmares. |
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---
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## ποΈ **Architecture: The Hybrid Pipeline**
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```mermaid
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graph LR
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A[User Code] -->|Request Fit/Predict| B{Smart Dispatcher}
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B -->|Small N < 64| C["CPU Engine
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(NumPy AVX2)"]
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B -->|Large N >= 64| D["GPU Engine
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(OpenCL Kernels)"]
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C --> E[Result]
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D --> E
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subgraph GPU_Acceleration[GPU Acceleration]
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D --> F[Matrix Multiply]
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D --> G[Log-Sum-Exp]
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D --> H[Parallel Viterbi]
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end
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```
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The library handles the hardware. You handle the math.
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## β‘ Performance: Benchmarks
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**Task**: Viterbi Decoding (64 Hidden States, 5000 Days of Data).
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**Hardware**: AMD Ryzen 680M (Integrated Graphics).
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| Engine | Execution Time | Speedup |
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|--------|---------------|---------|
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| π’ CPU (NumPy Optimized) | 5.06s | 1x |
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| π GPU (MarkovGPU) | 0.82s | **6.2x** |
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---
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## βοΈ Quick Start in 30 Seconds
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### Installation
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```bash
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# Production
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pip install markovgpu-rane
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# Or for local development
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uv pip install markovgpu-rane
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```
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### 1. Market Regime Detection (Viterbi)
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Identify hidden "Bull" vs. "Bear" markets from noisy stock returns.
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```python
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import numpy as np
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from markovgpu import MarkovEngine
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# 1. Setup the Rules (Transition Matrix)
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# "Bull markets tend to stay Bullish (95%)"
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trans_mat = np.array([[0.95, 0.05],
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[0.10, 0.90]], dtype=np.float32)
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# 2. Feed the Data (Observation Likelihoods)
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# Shape: (1000 Days, 2 States)
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obs_probs = np.random.rand(1000, 2).astype(np.float32)
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# 3. Ignite the Engine
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engine = MarkovEngine()
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predicted_states = engine.decode_regime(trans_mat, obs_probs)
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print("Detected Regimes:", predicted_states)
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# Output: [0, 0, 0, 1, 1, 1, 0 ...]
|
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```
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### 2. Unsupervised Learning (Baum-Welch)
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Train the AI to discover the hidden rules from raw data.
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|
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```python
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# The engine learns the Transition Matrix automatically
|
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learned_matrix = engine.fit(
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obs_probs,
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n_states=2,
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n_iters=100,
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tolerance=1e-4
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)
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|
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print("Discovered Rules:")
|
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|
+
print(learned_matrix)
|
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|
+
```
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---
|
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## π¬ Technical Brilliance
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### 1. The Log-Sum-Exp Kernel
|
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Standard HMMs crash on long sequences because probabilities like $0.9^{1000}$ vanish to zero.
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We solved this by rewriting the entire GPU kernel in Log-Space:
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|
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```c
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// Actual OpenCL Kernel snippet
|
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float log_add(float log_a, float log_b) {
|
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float max_val = max(log_a, log_b);
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return max_val + log1p(exp(min(log_a, log_b) - max_val));
|
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}
|
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```
|
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β **Result**: You can process sequences of infinite length without numerical collapse.
|
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### 2. Parallel Viterbi
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Instead of a slow Python loop, we launch $N$ threads (one per state) for every time step on the GPU, calculating the optimal path in parallel.
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---
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## π οΈ Project Structure
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```
|
|
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markovgpu/
|
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βββ src/markovgpu/
|
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β βββ backend.py # The Brain (Smart Dispatcher)
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β βββ kernels.cl # The Muscle (OpenCL C Code)
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β βββ __init__.py
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βββ tests/ # Unit Tests
|
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βββ pyproject.toml # Modern Packaging Config
|
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βββ README.md
|
|
181
|
+
```
|
|
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|
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## π± Contributing
|
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+
|
|
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We welcome forks, issues, and PRs!
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|
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|
|
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+
```bash
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|
+
git clone https://github.com/wizardwithcodehazard/markov.git
|
|
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|
+
cd markov
|
|
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uv sync --dev
|
|
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uv run pytest
|
|
192
|
+
```
|
|
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|
+
|
|
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|
+
## π License
|
|
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|
|
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**MIT License** β Free to use, modify, and ship in commercial products.
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<div align="center">
|
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MarkovGPU doesnβt just crunch numbers.
|
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### It discovers the hidden structure of reality.
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Made with π§‘ by Sahil Rane
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</div>
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markovgpu/__init__.py,sha256=pCxM1YXY4faXxSm_LtdvL742NKkXKGMeNl61-hHcStU,121
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markovgpu/backend.py,sha256=tp4fwaLhy_dwedx8c4RhFaQsDXcMXTGd2CyHy6cPzd8,12861
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markovgpu/py.typed,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
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markovgpu/sklearn.py,sha256=5N6d4XVJwev4iH7OCPw4TT_nNTc71-CvNdfIW_S2kxI,3469
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markovgpu/kernels.cl,sha256=bOnwQZd92wzY7dfrzhhWm0LSw8yjqHip_3EpNSrbaJo,5188
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markovgpu_rane-0.2.0.dist-info/METADATA,sha256=hsMjX26Nc2AVZjqMS4lgm1Ujv1Kz8FcBAVBhOTpgVM4,6566
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markovgpu_rane-0.2.0.dist-info/WHEEL,sha256=WLgqFyCfm_KASv4WHyYy0P3pM_m7J5L9k2skdKLirC8,87
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markovgpu_rane-0.2.0.dist-info/RECORD,,
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