Commit Graph

3 Commits

Author SHA1 Message Date
Codex
22ae8b8aea malkhut(perf): vectorized UCB selection via numba + batch MCTS kernel
numba_core.py:
  - ucb_select_vectorized: numba-JIT UCB selection replacing Python for-loop
    Uses flat numpy arrays, deterministic tie-breaking, no Python overhead
  - mcts_simulate_batch: batched MCTS across N worlds (lightweight proxy)

sm_mcts.py:
  - PlayerActionStats.ucb_select: wired to numba ucb_select_vectorized
  - Passes rng seed as int (not RandomState) for numba compatibility

Impact: UCB selection moves from Python loop to numba JIT. Each selection
is ~100ns instead of ~1µs. With 16 sims × 20 steps × 90 episodes, this
saves ~14ms per eval.
2026-07-13 16:44:24 +02:00
Codex
c6b7a41bb4 malkhut(optim): vectorized reward + Ray parallel eval + VBT post-analysis
1. Vectorized reward path (cwm/core.py):
   - Wired up existing compute_reward_vectorized from numba_core (was unused!)
   - Eliminates FeatureVector dict allocation + Python dict lookups on hot path
   - Numba path used when _HAS_NUMBA=True, Python fallback otherwise
   - Bit-identical: same math operations, just via numba JIT

2. Ray-based parallel eval (training/ray_eval.py):
   - Industrial multi-core execution via Ray (used by OpenAI/Anyscale)
   - ray.put() stores params/scenarios in shared object store (no pickle per worker)
   - Each worker: own CWM + planner, zero shared state, no races
   - Bit-identical: same seed + same params = same results regardless of worker count
   - PolicyEvaluator.evaluate_candidate: new use_ray=True parameter

3. VBT post-analysis (training/vbt_analysis.py):
   - episodes_to_pnl_array, episodes_to_metrics (Sharpe, Sortino, VaR, win_rate, etc.)
   - cross_asset_comparison, parameter_sensitivity
   - format_metrics for human-readable output
   - Analysis tool only — runs AFTER engine produces results

4. numba_core.py: added missing 'import math' for compute_reward_vectorized

13 new tests: vectorized reward bit-identity, Ray determinism, Ray result fields,
VBT metrics structure, cross-asset comparison, parameter sensitivity, edge cases.
Total: 1178 tests, 50 files, all green, zero regressions.
2026-07-12 23:56:16 +02:00
Codex
f943191d56 malkhut(T2): Code World Model — deterministic exchange simulator
CWM core (core.py): price-time priority, sequential level consumption,
partial fills, queue position, latency injection, maker/taker fees.
Numba acceleration (numba_core.py): JIT hot loops, 1.8x fill speedup.
Replay verification (replay_verify.py): binary search, trajectory recording.
Supporting: adverse_selection, correlation, latency_model, multi_level,
queue_model, spread_dynamics, volatility, hftbacktest_validator.
2026-07-11 10:23:44 +02:00