AVX gradients (dmlc#2878)

* AVX gradients

* Add google test for AVX

* Create fallback implementation, remove fma instruction

* Improved accuracy of AVX exp function

CMakeLists.txt

@@ -9,6 +9,7 @@ msvc_use_static_runtime()
 
 # Options
 option(USE_CUDA  "Build with GPU acceleration") 
+option(USE_AVX  "Build with AVX instructions. May not produce identical results due to approximate math." OFF) 
 option(USE_NCCL "Build using NCCL for multi-GPU. Also requires USE_CUDA") 
 option(JVM_BINDINGS "Build JVM bindings" OFF)
 option(GOOGLE_TEST "Build google tests" OFF)
@@ -39,6 +40,17 @@ else()
   set(CMAKE_CXX_FLAGS "${CMAKE_CXX_FLAGS} -funroll-loops")
 endif()
 
+# AVX
+if(USE_AVX)
+  if(MSVC)
+    set(CMAKE_CXX_FLAGS "${CMAKE_CXX_FLAGS} /arch:AVX")
+  else()
+    set(CMAKE_CXX_FLAGS "${CMAKE_CXX_FLAGS} -mavx")
+  endif()
+  add_definitions(-DXGBOOST_USE_AVX)
+endif()
+
+
 # compiled code customizations for R package
 if(R_LIB)
   add_definitions(
@@ -212,12 +224,12 @@ endif()
 
 # Test
 if(GOOGLE_TEST)
-  enable_testing()
   find_package(GTest REQUIRED)
+  enable_testing()
 
   file(GLOB_RECURSE TEST_SOURCES "tests/cpp/*.cc")
   auto_source_group("${TEST_SOURCES}")
-  include_directories(${GTEST_INCLUDE_DIRS})
+  include_directories(${GTEST_INCLUDE_DIR})
 
   if(USE_CUDA)
     file(GLOB_RECURSE CUDA_TEST_SOURCES "tests/cpp/*.cu")
@@ -228,7 +240,7 @@ if(GOOGLE_TEST)
 
   add_executable(testxgboost ${TEST_SOURCES} ${CUDA_TEST_OBJS} $<TARGET_OBJECTS:objxgboost>)
   set_output_directory(testxgboost ${PROJECT_SOURCE_DIR})
-  target_link_libraries(testxgboost ${GTEST_BOTH_LIBRARIES} ${LINK_LIBRARIES})
+  target_link_libraries(testxgboost ${GTEST_LIBRARIES} ${LINK_LIBRARIES})
 
   add_test(TestXGBoost testxgboost)
 endif()

cmake/modules/FindGTest.cmake

@@ -0,0 +1,79 @@
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+# http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+#
+# Tries to find GTest headers and libraries.
+#
+# Usage of this module as follows:
+#
+#  find_package(GTest)
+#
+# Variables used by this module, they can change the default behaviour and need
+# to be set before calling find_package:
+#
+#  GTest_HOME - When set, this path is inspected instead of standard library
+#                locations as the root of the GTest installation.
+#                The environment variable GTEST_HOME overrides this veriable.
+#
+# This module defines
+#  GTEST_INCLUDE_DIR, directory containing headers
+#  GTEST_LIBS, directory containing gtest libraries
+#  GTEST_STATIC_LIB, path to libgtest.a
+#  GTEST_SHARED_LIB, path to libgtest's shared library
+#  GTEST_FOUND, whether gtest has been found
+
+find_path(GTEST_INCLUDE_DIR NAMES gtest/gtest.h gtest.h PATHS ${CMAKE_SOURCE_DIR}/gtest/include NO_DEFAULT_PATH)
+find_library(GTEST_LIBRARIES NAMES gtest PATHS ${CMAKE_SOURCE_DIR}/gtest/lib NO_DEFAULT_PATH)
+
+if (GTEST_INCLUDE_DIR )
+  message(STATUS "Found the GTest includes: ${GTEST_INCLUDE_DIR}")
+endif ()
+
+
+if (GTEST_INCLUDE_DIR AND GTEST_LIBRARIES)
+  set(GTEST_FOUND TRUE)
+  get_filename_component( GTEST_LIBS ${GTEST_LIBRARIES} PATH )
+  set(GTEST_LIB_NAME gtest)
+  set(GTEST_STATIC_LIB ${GTEST_LIBS}/${CMAKE_STATIC_LIBRARY_PREFIX}${GTEST_LIB_NAME}${CMAKE_STATIC_LIBRARY_SUFFIX})
+  set(GTEST_MAIN_STATIC_LIB ${GTEST_LIBS}/${CMAKE_STATIC_LIBRARY_PREFIX}${GTEST_LIB_NAME}_main${CMAKE_STATIC_LIBRARY_SUFFIX})
+  set(GTEST_SHARED_LIB ${GTEST_LIBS}/${CMAKE_SHARED_LIBRARY_PREFIX}${GTEST_LIB_NAME}${CMAKE_SHARED_LIBRARY_SUFFIX})
+else ()
+  set(GTEST_FOUND FALSE)
+endif ()
+
+if (GTEST_FOUND)
+  if (NOT GTest_FIND_QUIETLY)
+    message(STATUS "Found the GTest library: ${GTEST_LIBRARIES}")
+  endif ()
+else ()
+  if (NOT GTest_FIND_QUIETLY)
+    set(GTEST_ERR_MSG "Could not find the GTest library. Looked in ")
+    if ( _gtest_roots )
+      set(GTEST_ERR_MSG "${GTEST_ERR_MSG} in ${_gtest_roots}.")
+    else ()
+      set(GTEST_ERR_MSG "${GTEST_ERR_MSG} system search paths.")
+    endif ()
+    if (GTest_FIND_REQUIRED)
+      message(FATAL_ERROR "${GTEST_ERR_MSG}")
+    else (GTest_FIND_REQUIRED)
+      message(STATUS "${GTEST_ERR_MSG}")
+    endif (GTest_FIND_REQUIRED)
+  endif ()
+endif ()
+
+mark_as_advanced(
+  GTEST_INCLUDE_DIR
+  GTEST_LIBS
+  GTEST_LIBRARIES
+  GTEST_STATIC_LIB
+  GTEST_SHARED_LIB
+)