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Feature/issue 2966 add 7 parameter ddm cdf and ccdf #3042

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@Franzi2114 Franzi2114 commented Mar 29, 2024

Summary

With this PR the CDF and the CCDF of the 7-parameter diffuion model are added.
See issue #2966
Relates to issue #2822

Tests

We implemented analogous tests as for the PDF

Side Effects

no

Release notes

CDF and CCDF for the 7-parameter diffusion model. Allows modeling truncated and censored data.

Checklist

  • Copyright holder: Franziska Henrich, Christoph Klauer

    The copyright holder is typically you or your assignee, such as a university or company. By submitting this pull request, the copyright holder is agreeing to the license the submitted work under the following licenses:
    - Code: BSD 3-clause (https://opensource.org/licenses/BSD-3-Clause)
    - Documentation: CC-BY 4.0 (https://creativecommons.org/licenses/by/4.0/)

  • the basic tests are passing

    • unit tests pass (to run, use: ./runTests.py test/unit)
    • header checks pass, (make test-headers)
    • dependencies checks pass, (make test-math-dependencies)
    • docs build, (make doxygen)
    • code passes the built in C++ standards checks (make cpplint)
  • the code is written in idiomatic C++ and changes are documented in the doxygen

  • the new changes are tested

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@Franzi2114
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Hey @SteveBronder, is the code ok now or shall I change some more things?

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Hey @SteveBronder, which changes would you like to have before continuing?

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I had another look today. @andrjohns can you look at this code? I'm not super familiar with why a lot of the branches here exist so it's pretty difficult for me to review

stan/math/prim/prob/wiener4_lccdf.hpp Outdated Show resolved Hide resolved
stan/math/prim/prob/wiener4_lccdf.hpp Outdated Show resolved Hide resolved
inline auto wiener_prob_derivative_term(const T_a& a, const T_v& v_value,
const T_w& w_value) noexcept {
using ret_t = return_type_t<T_a, T_w, T_v>;
const auto exponent_m1 = log1p(-1.1 * 1.0e-8);
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Going to have to tag @bob-carpenter here as I'm unsure of how we usually handle things like this.

Bob the value exponent_m1 is essentially -1.1e-08. When we do the calculations starting on line 62 we check that each of the exponents are greater than this value. If any of those values are less than -1.1e-08 then the code returns -w.

As we later have to divide by the exponents, we would have to divide by nearly zero.

Sorry where in this code is the divide happening? Everything is on the log scale here so division is just turning into subtraction

stan/math/prim/prob/wiener4_lccdf.hpp Outdated Show resolved Hide resolved
stan/math/prim/prob/wiener4_lccdf.hpp Outdated Show resolved Hide resolved
Comment on lines 16 to 19
template <typename T_x>
inline auto rexp(T_x&& x) noexcept {
return (x <= 700) ? exp(x) : exp(700);
}
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Tagging @andrjohns do we do things like this anywhere else in Stan math? tmk we just check if it would overflow and if so we normally just return +/- inf or we let it overflow

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Delete this. If the user is going to rollover a double they can rescale their problem

stan/math/prim/prob/wiener4_lcdf.hpp Outdated Show resolved Hide resolved
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stan/math/prim/prob/wiener4_lcdf.hpp Outdated Show resolved Hide resolved
inline auto log_probability_distribution(const T_a& a, const T_v& v,
const T_w& w) noexcept {
using ret_t = return_type_t<T_a, T_w, T_v>;
auto nearly_one = ret_t(1.0 - 1.0e-6);
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@bob-carpenter this is another spot where I'm getting a bit confused. Here the code is checking if we are within 1.0e-6 of 1 and then branching off of that. How do we normally handle cases like this?

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Can you just use std::numeric_limits<ret_t>::min() here instead of 1e-6?

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Hey @SteveBronder, I worked through your suggestions and pushed a new version. Is it good for these points?
@andrjohns and @bob-carpenter, what do you think on the points above?

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Name Old Result New Result Ratio Performance change( 1 - new / old )
arma/arma.stan 0.35 0.35 1.01 1.37% faster
low_dim_corr_gauss/low_dim_corr_gauss.stan 0.01 0.01 0.99 -0.98% slower
gp_regr/gen_gp_data.stan 0.03 0.02 1.21 17.51% faster
gp_regr/gp_regr.stan 0.1 0.1 1.01 1.23% faster
sir/sir.stan 70.03 70.0 1.0 0.04% faster
irt_2pl/irt_2pl.stan 4.13 4.11 1.01 0.52% faster
eight_schools/eight_schools.stan 0.06 0.06 0.98 -2.11% slower
pkpd/sim_one_comp_mm_elim_abs.stan 0.25 0.25 0.98 -2.24% slower
pkpd/one_comp_mm_elim_abs.stan 19.14 18.6 1.03 2.84% faster
garch/garch.stan 0.43 0.41 1.05 4.87% faster
low_dim_gauss_mix/low_dim_gauss_mix.stan 2.68 2.59 1.04 3.53% faster
arK/arK.stan 1.78 1.7 1.05 4.6% faster
gp_pois_regr/gp_pois_regr.stan 2.82 2.72 1.04 3.62% faster
low_dim_gauss_mix_collapse/low_dim_gauss_mix_collapse.stan 8.65 8.34 1.04 3.66% faster
performance.compilation 182.65 181.36 1.01 0.7% faster
Mean result: 1.029312367432566

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CPU:
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CPU op-mode(s): 32-bit, 64-bit
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Address sizes: 46 bits physical, 48 bits virtual
CPU(s): 80
On-line CPU(s) list: 0-79
Thread(s) per core: 2
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Vulnerability Gather data sampling: Mitigation; Microcode
Vulnerability Itlb multihit: KVM: Mitigation: VMX disabled
Vulnerability L1tf: Mitigation; PTE Inversion; VMX conditional cache flushes, SMT vulnerable
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Vulnerability Mmio stale data: Mitigation; Clear CPU buffers; SMT vulnerable
Vulnerability Retbleed: Mitigation; IBRS
Vulnerability Spec rstack overflow: Not affected
Vulnerability Spec store bypass: Mitigation; Speculative Store Bypass disabled via prctl
Vulnerability Spectre v1: Mitigation; usercopy/swapgs barriers and __user pointer sanitization
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Vulnerability Tsx async abort: Mitigation; Clear CPU buffers; SMT vulnerable
Flags: fpu vme de pse tsc msr pae mce cx8 apic sep mtrr pge mca cmov pat pse36 clflush dts acpi mmx fxsr sse sse2 ss ht tm pbe syscall nx pdpe1gb rdtscp lm constant_tsc art arch_perfmon pebs bts rep_good nopl xtopology nonstop_tsc cpuid aperfmperf pni pclmulqdq dtes64 monitor ds_cpl vmx smx est tm2 ssse3 sdbg fma cx16 xtpr pdcm pcid dca sse4_1 sse4_2 x2apic movbe popcnt tsc_deadline_timer aes xsave avx f16c rdrand lahf_lm abm 3dnowprefetch cpuid_fault epb cat_l3 cdp_l3 invpcid_single pti intel_ppin ssbd mba ibrs ibpb stibp tpr_shadow vnmi flexpriority ept vpid ept_ad fsgsbase tsc_adjust bmi1 hle avx2 smep bmi2 erms invpcid rtm cqm mpx rdt_a avx512f avx512dq rdseed adx smap clflushopt clwb intel_pt avx512cd avx512bw avx512vl xsaveopt xsavec xgetbv1 xsaves cqm_llc cqm_occup_llc cqm_mbm_total cqm_mbm_local dtherm ida arat pln pts hwp hwp_act_window hwp_epp hwp_pkg_req pku ospke md_clear flush_l1d arch_capabilities

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Thread model: posix
InstalledDir: /usr/bin

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Hello, could somebody build a tarbal such that other people can easily install this version of Stan comprising the new wiener_cdf and wiener_ccdf function and signature?
I think last time for the PDF, @andrjohns built a tarball for me. My stanc3 signature is in this repo.

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Hey,

@andrjohns built a tarball for me. My stanc3 signature is in this repo.

@SteveBronder, which are the next steps to be done to continue this PR?

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The math here is a difficult for me to review. @andrjohns can you look at this?

Comment on lines 197 to 204
if (v > 0) {
const auto exponent = -2.0 * v * a * w;
prob_grad_w
= exp(LOG_TWO + exponent + log(fabs(v)) + log(a) - log1m_exp(exponent));
} else if (v < 0) {
const auto exponent = 2.0 * v * a * w;
prob_grad_w = exp(LOG_TWO + log(fabs(v)) + log(a) - log1m_exp(exponent));
}
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Can this just be rewritten as

Suggested change
if (v > 0) {
const auto exponent = -2.0 * v * a * w;
prob_grad_w
= exp(LOG_TWO + exponent + log(fabs(v)) + log(a) - log1m_exp(exponent));
} else if (v < 0) {
const auto exponent = 2.0 * v * a * w;
prob_grad_w = exp(LOG_TWO + log(fabs(v)) + log(a) - log1m_exp(exponent));
}
const bool exp_sign = (v > 0) ? -1 : 1;
const auto exponent = exp_sign * 2.0 * v * a * w;
prob_grad_w = exp(LOG_TWO + log(fabs(v)) + log(a) - log1m_exp(exponent));
if (exp_sign == -1) {
prob_grad_w *= exp(exponent)
}

Also for places with if statements like this can you make a comment on why this split has to happen?

Comment on lines 16 to 19
template <typename T_x>
inline auto rexp(T_x&& x) noexcept {
return (x <= 700) ? exp(x) : exp(700);
}
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Delete this. If the user is going to rollover a double they can rescale their problem

Comment on lines 29 to 31
if (x > 1.0e5) {
return -log(x);
}
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Why is this cutoff point here?

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When I delete all the rexp function calls and run the test
./runTests.py -j4 test/unit/math/prim/prob/wiener_full_lcdf_test.cpp
then an error occurs that does not occur when the function is in use:

terminate called after throwing an instance of 'std::domain_error'                                                        
what():  inv_Phi: Probability variable is -27.5065, but must be in the interval [0, 1]                                
Aborted                                                                                                                 
test/unit/math/prim/prob/wiener_full_lcdf_test --gtest_output="xml:test/unit/math/prim/prob/wiener_full_lcdf_test.xml" failed                                                                                                                   
exit now (09/27/24 11:26:08 CEST)                                                                                       
134 

Shall we really then delete this function?

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Why is this cutoff point here?

This is a safety mechanism but can be deleted when Stan handles such cases internally. I will delete it with the next commit.

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Shall we really then delete this function?

Yes we should figure out where thats happening and either fix those spots or throw errors or nans when they happen

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Yes we should figure out where thats happening and either fix those spots

Ok, I deleted this function and changed all spots to the following:

min(exp(ARGUMENT), std::numeric_limits<ret_t>::max());

The function was called 23 times. Now, we have 23 times this form.

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min(exp(ARGUMENT), std::numeric_limits<ret_t>::max());

Delete these. It should just be exp(argument). If there are parameter sets in the test that cause rollover like that we should see which. We can then try to rephrase those calculations so this doesn't happen. If the pdf is just not well defined for some ranges of parameters and we know that range then we can also throw errors (or return -inf if appropriate)

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In the cases where we use the rexp function, or now this min-construct, we want to make sure that the expression exp(x) does not become infinity for a large input x. Therefore, we chose the threshold of 700 for x as this not yet evaluates to infinity but larger numbers do.

This has nothing to do with the parameter ranges of the input parameters. We are already checking the allowed parameter ranges in the beginning of the function call. How would you rephrase the calculations?

inline auto log_probability_distribution(const T_a& a, const T_v& v,
const T_w& w) noexcept {
using ret_t = return_type_t<T_a, T_w, T_v>;
auto nearly_one = ret_t(1.0 - 1.0e-6);
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Can you just use std::numeric_limits<ret_t>::min() here instead of 1e-6?

Comment on lines 52 to 73
auto minus_two_va_one_minus_w = (-2.0 * v * a * (1.0 - w));
ret_t prob;
if (minus_two_va_one_minus_w < 0) {
const auto exp_arg = exp(minus_two_va_one_minus_w);
if (exp_arg >= nearly_one) {
return ret_t(log1p(-w));
}
auto two_vaw = 2 * v * a * w;
if (two_vaw > minus_two_va_one_minus_w) {
prob = log1p(-exp_arg) - log_diff_exp(two_vaw, minus_two_va_one_minus_w);
} else if (two_vaw < minus_two_va_one_minus_w) {
prob = log1p(-exp_arg) - log_diff_exp(minus_two_va_one_minus_w, two_vaw);
} else {
prob = log1p(-exp_arg) - NEGATIVE_INFTY;
}
} else {
const auto exp_arg = exp(-minus_two_va_one_minus_w);
if (exp_arg >= nearly_one)
return ret_t(log1p(-w));
prob = log1p(-exp_arg) - log1p(-exp(2 * v * a));
}
return prob;
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Early returns are preferred to show when a branch has finished

Suggested change
auto minus_two_va_one_minus_w = (-2.0 * v * a * (1.0 - w));
ret_t prob;
if (minus_two_va_one_minus_w < 0) {
const auto exp_arg = exp(minus_two_va_one_minus_w);
if (exp_arg >= nearly_one) {
return ret_t(log1p(-w));
}
auto two_vaw = 2 * v * a * w;
if (two_vaw > minus_two_va_one_minus_w) {
prob = log1p(-exp_arg) - log_diff_exp(two_vaw, minus_two_va_one_minus_w);
} else if (two_vaw < minus_two_va_one_minus_w) {
prob = log1p(-exp_arg) - log_diff_exp(minus_two_va_one_minus_w, two_vaw);
} else {
prob = log1p(-exp_arg) - NEGATIVE_INFTY;
}
} else {
const auto exp_arg = exp(-minus_two_va_one_minus_w);
if (exp_arg >= nearly_one)
return ret_t(log1p(-w));
prob = log1p(-exp_arg) - log1p(-exp(2 * v * a));
}
return prob;
auto minus_two_va_one_minus_w = (-2.0 * v * a * (1.0 - w));
if (minus_two_va_one_minus_w < 0) {
const auto exp_arg = exp(minus_two_va_one_minus_w);
if (two_vaw > minus_two_va_one_minus_w) {
return ret_t(log1p(-exp_arg) - log_diff_exp(two_vaw, minus_two_va_one_minus_w));
} else if (two_vaw < minus_two_va_one_minus_w) {
return ret_t(log1p(-exp_arg) - log_diff_exp(minus_two_va_one_minus_w, two_vaw));
} else {
return ret_t(log1p(-exp_arg) - NEGATIVE_INFTY);
}
} else {
const auto exp_arg = exp(-minus_two_va_one_minus_w);
return ret_t(log1p(-exp_arg) - log1p(-exp(2 * v * a)));
}

I also removed exp_arg >= nearly_one. Can you show me an example where removing that causes the wrong answer?

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Can you show me an example where removing that causes the wrong answer?

In this case, all tests run successfully when I remove nearly_one. This is not the case for the other nealry_one below.

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When I replace above in line 150 the 1e-6 with std::numeric_limits<ret_t>::min() also an error occurs:

image

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Does this function give the smallest positive number representable or does it give a negative number? std::numeric_limits<ret_t>::min()
We would need a number near to zero.
So that the function log1p(x) does not become infinity when the argument is too near to 1. Instead, if our argument is very near to 1, we want to return -w.

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https://godbolt.org/z/jnrb5Ev8z

It gives back the smallest representable number that is greater than 0

if (fabs(v) == 0.0) {
return ret_t(-w);
}
nearly_one = ret_t(1.0 - 1.1 * 1.0e-5);
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Make a test case that shows where this would fail if nearly_one was removed

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test case that shows where this would fail if nearly_one was removed

When I comment the nearly_one lines out, then the following error occurs in the test
./runTests.py -j4 test/unit/math/prim/prob/wiener_full_lcdf_test.cpp

image

So this nearly_one seems to be necessary, what do you think?

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Did commit early returns some ifs pass the tests? Or did that one fail from removing nearly_one? To debug this it would be good to start with a version that the tests pass for, make one change, then see what fails. Then we can debug which tests failed to see why and how to fix them.

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I checked out e5f5048 and added the test values from the prim wiener_lcdf tests here to the mix tests. All the mix tests that check against finite difference differentiation passed, but the prim test that checks the gradients you calculated do not pass. Where did you get the values of the true gradient values you use in the test in prim? It looks like the only code that changed in that commit were related to the gradient calculations so if they were incorrect I would expect the ad test suite to fail

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SteveBronder commented Oct 7, 2024

tbc what I made a branch to show what I did

git pull
git checkout wiener_lpdf/test-vals
## These tests pass
python3 ./runTests.py -j20 ./test/unit/math/mix/prob/ -f wiener_full_lcdf
## Some of these tests fail
python3 ./runTests.py -j20 ./test/unit/math/prim/prob/ -f wiener_full_lc

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Only your suggested changes above for wiener4_lccdf yielded errors. The changes I made in wiener4_lcdf are all fine.

I changed the lines in winer4_lccdf to the following three lines:

  const auto exponent = -sign(v) * 2.0 * v * a * w;
  auto prob_grad_w = (v != 0) ? exp(LOG_TWO + log(fabs(v)) + log(a) - log1m_exp(exponent)) : ret_t(1 / w);
  prob_grad_w = (v > 0) ? prob_grad_w * exp(exponent) : prob_grad_w;

Now, all tests should pass. Let's see. Then, you can say, what I shall change next.

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Name Old Result New Result Ratio Performance change( 1 - new / old )
arma/arma.stan 0.35 0.4 0.87 -14.3% slower
low_dim_corr_gauss/low_dim_corr_gauss.stan 0.01 0.01 0.97 -2.67% slower
gp_regr/gen_gp_data.stan 0.03 0.03 0.94 -5.84% slower
gp_regr/gp_regr.stan 0.09 0.1 0.92 -8.43% slower
sir/sir.stan 72.65 69.16 1.05 4.8% faster
irt_2pl/irt_2pl.stan 4.11 4.05 1.02 1.61% faster
eight_schools/eight_schools.stan 0.06 0.06 1.05 4.58% faster
pkpd/sim_one_comp_mm_elim_abs.stan 0.27 0.24 1.12 10.81% faster
pkpd/one_comp_mm_elim_abs.stan 19.51 18.89 1.03 3.18% faster
garch/garch.stan 0.47 0.41 1.15 12.8% faster
low_dim_gauss_mix/low_dim_gauss_mix.stan 2.78 2.57 1.08 7.67% faster
arK/arK.stan 1.8 1.72 1.05 4.59% faster
gp_pois_regr/gp_pois_regr.stan 2.79 2.74 1.02 1.94% faster
low_dim_gauss_mix_collapse/low_dim_gauss_mix_collapse.stan 8.91 8.35 1.07 6.29% faster
performance.compilation 181.11 186.66 0.97 -3.06% slower
Mean result: 1.021327112482886

Jenkins Console Log
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Commit hash: eb2b7af7527e4daaa5788c458dff4c118a19ee55


Machine information No LSB modules are available. Distributor ID: Ubuntu Description: Ubuntu 20.04.3 LTS Release: 20.04 Codename: focal

CPU:
Architecture: x86_64
CPU op-mode(s): 32-bit, 64-bit
Byte Order: Little Endian
Address sizes: 46 bits physical, 48 bits virtual
CPU(s): 80
On-line CPU(s) list: 0-79
Thread(s) per core: 2
Core(s) per socket: 20
Socket(s): 2
NUMA node(s): 2
Vendor ID: GenuineIntel
CPU family: 6
Model: 85
Model name: Intel(R) Xeon(R) Gold 6148 CPU @ 2.40GHz
Stepping: 4
CPU MHz: 2400.000
CPU max MHz: 3700.0000
CPU min MHz: 1000.0000
BogoMIPS: 4800.00
Virtualization: VT-x
L1d cache: 1.3 MiB
L1i cache: 1.3 MiB
L2 cache: 40 MiB
L3 cache: 55 MiB
NUMA node0 CPU(s): 0,2,4,6,8,10,12,14,16,18,20,22,24,26,28,30,32,34,36,38,40,42,44,46,48,50,52,54,56,58,60,62,64,66,68,70,72,74,76,78
NUMA node1 CPU(s): 1,3,5,7,9,11,13,15,17,19,21,23,25,27,29,31,33,35,37,39,41,43,45,47,49,51,53,55,57,59,61,63,65,67,69,71,73,75,77,79
Vulnerability Gather data sampling: Mitigation; Microcode
Vulnerability Itlb multihit: KVM: Mitigation: VMX disabled
Vulnerability L1tf: Mitigation; PTE Inversion; VMX conditional cache flushes, SMT vulnerable
Vulnerability Mds: Mitigation; Clear CPU buffers; SMT vulnerable
Vulnerability Meltdown: Mitigation; PTI
Vulnerability Mmio stale data: Mitigation; Clear CPU buffers; SMT vulnerable
Vulnerability Reg file data sampling: Not affected
Vulnerability Retbleed: Mitigation; IBRS
Vulnerability Spec rstack overflow: Not affected
Vulnerability Spec store bypass: Mitigation; Speculative Store Bypass disabled via prctl
Vulnerability Spectre v1: Mitigation; usercopy/swapgs barriers and __user pointer sanitization
Vulnerability Spectre v2: Mitigation; IBRS; IBPB conditional; STIBP conditional; RSB filling; PBRSB-eIBRS Not affected; BHI Not affected
Vulnerability Srbds: Not affected
Vulnerability Tsx async abort: Mitigation; Clear CPU buffers; SMT vulnerable
Flags: fpu vme de pse tsc msr pae mce cx8 apic sep mtrr pge mca cmov pat pse36 clflush dts acpi mmx fxsr sse sse2 ss ht tm pbe syscall nx pdpe1gb rdtscp lm constant_tsc art arch_perfmon pebs bts rep_good nopl xtopology nonstop_tsc cpuid aperfmperf pni pclmulqdq dtes64 monitor ds_cpl vmx smx est tm2 ssse3 sdbg fma cx16 xtpr pdcm pcid dca sse4_1 sse4_2 x2apic movbe popcnt tsc_deadline_timer aes xsave avx f16c rdrand lahf_lm abm 3dnowprefetch cpuid_fault epb cat_l3 cdp_l3 invpcid_single pti intel_ppin ssbd mba ibrs ibpb stibp tpr_shadow vnmi flexpriority ept vpid ept_ad fsgsbase tsc_adjust bmi1 hle avx2 smep bmi2 erms invpcid rtm cqm mpx rdt_a avx512f avx512dq rdseed adx smap clflushopt clwb intel_pt avx512cd avx512bw avx512vl xsaveopt xsavec xgetbv1 xsaves cqm_llc cqm_occup_llc cqm_mbm_total cqm_mbm_local dtherm ida arat pln pts hwp hwp_act_window hwp_epp hwp_pkg_req pku ospke md_clear flush_l1d arch_capabilities

G++:
g++ (Ubuntu 9.4.0-1ubuntu1~20.04) 9.4.0
Copyright (C) 2019 Free Software Foundation, Inc.
This is free software; see the source for copying conditions. There is NO
warranty; not even for MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.

Clang:
clang version 10.0.0-4ubuntu1
Target: x86_64-pc-linux-gnu
Thread model: posix
InstalledDir: /usr/bin

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4 participants