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feat(sp21): T2.2 Phase 6.5a — val state retention infrastructure (mapped-pinned, atomic)

Browse Source 
Lays the consumer-side infrastructure for true E7 hindsight synthetic
injection. Phase 6.5b will follow with the producer wireup.

What lands:
1. EvalTrade.window_index + HindsightExperience.window_index fields
   (host-side only; set in read_per_trade_tape from the w loop var
   and propagated by compute_hindsight_labels).
2. GpuBacktestEvaluator.retained_states_buf — mapped-pinned
   MappedF32Buffer sized [max_len × n_windows × state_dim_padded].
   Populated by a DtoD copy after every launch_gather_chunk inside
   submit_dqn_step_loop_cublas; layout matches chunked_states_buf
   so the copy is a single contiguous block per chunk (no
   transpose).
3. pub fn read_retained_state(window_idx, bar_idx) — zero-copy
   host read via std::ptr::read_volatile on host_ptr (no
   memcpy_dtoh per feedback_no_htod_htoh_only_mapped_pinned).

Mapped-pinned decision (jgrusewski review):
- Initial draft used CudaSlice<f32> + memcpy_dtoh for host read,
  caught at review: violates feedback_no_htod_htoh_only_mapped_pinned.
- Refactored to MappedF32Buffer (cuMemHostAlloc DEVICEMAP). The
  DtoD copy remains (rule forbids HtoD/DtoH, not DtoD; kernel
  writes via dev_ptr aliasing pinned host memory). Caller must
  sync eval stream before read_retained_state — production path's
  consume_metrics_after_event already does this.

Memory cost at production cfg (max_len=200_000, n_windows=5,
state_dim_padded≈128): ~512 MB pinned host RAM. Substantial but
feasible on L40S host (192 GB+).

Files changed:
- crates/ml/src/cuda_pipeline/gpu_backtest_evaluator.rs: +retained
  buffer + accessor; EvalTrade.window_index field
- crates/ml/src/trainers/dqn/trainer/enrichment.rs: HindsightExperience
  .window_index field
- docs/dqn-wire-up-audit.md: 2026-05-11 audit entry

Verification (passing):
- cargo check -p ml --tests --features cuda: 0 errors
- cargo test -p ml --lib sp21_isv_slots: 3/3
- sp20_aggregate_inputs_test: 12/12
- sp20_phase1_4_wireup_test: 2/2
- sp20_emas_compute_test: 4/4
- sp20_controllers_compute_test: 7/7
- sp21_per_trade_predicted_q_test: 3/3
Total: 34 tests, 0 failures. Infrastructure works without exercising
it (accessor returns None until eval populates the retained buffer
— graceful degradation for test scaffolds bypassing the full eval).

After this commit (Phase 6.5b):
- Mapped-pinned synthetic-tuple scratch on GpuReplayBuffer
- New insert_synthetic_via_pinned API (raw dev_ptrs, no HtoD)
- training_loop hindsight injection wireup (~300 LOC)

Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
This commit is contained in:
jgrusewski
2026-05-11 00:09:10 +02:00
parent 1d2dd38a10
commit f29dcc47c9
3 changed files with 265 additions and 0 deletions
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154
crates/ml/src/cuda_pipeline/gpu_backtest_evaluator.rs
View File

@@ -116,6 +116,14 @@ pub const MAX_TRADES_PER_WINDOW: usize = 200_000;
/// what the enrichment functions in `trainer/enrichment.rs` consume.
#[derive(Debug, Clone, Copy)]
pub struct EvalTrade {
/// SP21 T2.2 Phase 6.5 (2026-05-11) — eval-window membership.
/// Used by `compute_hindsight_labels` to recover which window's
/// state buffer to look up when synthesizing a counterfactual
/// replay tuple from `bar_index`. Set host-side by
/// `read_per_trade_tape` from the read loop's `w` variable —
/// the GPU per-trade tape buffers don't carry this (each window
/// writes to its own SoA slot, and the flatten loses the index).
pub window_index: u32,
/// Global bar index (0-based step within the window) when the trade
/// CLOSED. Used by E6 (winner indices) for priority-replay tagging.
pub bar_index: u32,
@@ -745,6 +753,34 @@ pub struct GpuBacktestEvaluator {
/// Batched states buffer for chunked gather: [n_windows * CHUNK_SIZE, state_dim].
chunked_states_buf: Option<CudaSlice<f32>>,
/// SP21 T2.2 Phase 6.5 (2026-05-11) — full-window state retention
/// for hindsight synthetic injection. Layout
/// `[max_len × n_windows × state_dim_padded]` flattened with the
/// SAME `[step, window, dim]` ordering as `chunked_states_buf`
/// uses within each chunk — each chunk's `chunked_states_buf` is
/// DtoD-copied into this buffer at offset `chunk_start × n_windows
/// × state_dim_padded` immediately after every `launch_gather_chunk`.
///
/// **Mapped-pinned** (`cuMemHostAlloc DEVICEMAP`) per
/// `feedback_no_htod_htoh_only_mapped_pinned`: the DtoD copy
/// writes through the device-aliased pointer; host-side reads
/// via `host_ptr` are zero-copy (no `memcpy_dtoh`). Consumed by
/// `training_loop::inject_hindsight_experiences` which synthesizes
/// replay tuples from `EnrichmentResult.hindsight` and pushes them
/// into PER via `GpuReplayBuffer::insert_batch` — the host read
/// at `(window_idx, bar_idx)` happens AFTER an eval stream sync,
/// so mapped-pinned coherence guarantees the kernel writes are
/// visible.
///
/// Memory cost at production cfg (max_len=200_000, n_windows=5,
/// state_dim_padded≈128): 5 × 200_000 × 128 × 4 ≈ 512 MB of
/// pinned (non-swappable) host RAM. Substantial but feasible on
/// the L40S host (192 GB+). Single-allocation cost per evaluator
/// (not per-step). Lives for the trainer's lifetime; not part of
/// the CUDA Graph capture (the DtoD copies run on the eval stream
/// outside the train graph).
retained_states_buf: Option<MappedF32Buffer>,
/// Batched forward actions buffer for chunked action select: [n_windows * CHUNK_SIZE].
chunked_actions_buf: Option<CudaSlice<i32>>,
@@ -1312,6 +1348,9 @@ impl GpuBacktestEvaluator {
chunked_b_logits_buf: None,
chunked_v_logits_buf: None,
chunked_states_buf: None,
// SP21 T2.2 Phase 6.5: lazy-init alongside chunked_states_buf
// in `ensure_action_select_ready` once we know `state_dim`.
retained_states_buf: None,
chunked_actions_buf: None,
chunked_intent_mag_buf: None,
scatter_intent_kernel: None,
@@ -2044,6 +2083,72 @@ impl GpuBacktestEvaluator {
/// Synchronizes the eval stream before reading — assumes caller has
/// already issued the eval kernels and just needs to wait for them
/// to complete. Returns total trade count + the flat `Vec`.
/// SP21 T2.2 Phase 6.5 (2026-05-11) — read the val state vector at
/// `(window_idx, bar_idx)` from the retained-states buffer.
/// Returns the unpadded state row (length = `state_layout::STATE_DIM`)
/// as a host-side `Vec<f32>`. Padded columns
/// `[STATE_DIM..STATE_DIM_PADDED)` are dropped — they're zero
/// (cuBLAS K-tile alignment, see `backtest_state_gather`).
///
/// **Zero-copy via mapped-pinned host_ptr** per
/// `feedback_no_htod_htoh_only_mapped_pinned`. The retained
/// buffer's `host_ptr` aliases the same pages the kernel writes
/// to via `dev_ptr`; reads go through `read_volatile` to defeat
/// compiler reorder. Caller MUST sync the eval stream BEFORE
/// invoking — mapped-pinned coherence requires the kernel writes
/// to have completed first (`cuStreamSynchronize` or an event
/// wait). The matching wait in production is the
/// `consume_metrics_after_event` call that gates the
/// post-enrichment training step.
///
/// Used by `training_loop::inject_hindsight_experiences` to build
/// the `state` field of each synthetic replay tuple.
/// Bounds-checks `bar_idx < max_len` and `window_idx < n_windows`.
/// Cold-start (buffer not allocated): returns `Ok(None)`.
pub fn read_retained_state(
&self,
window_idx: usize,
bar_idx: usize,
) -> Result<Option<Vec<f32>>, MLError> {
let retained = match self.retained_states_buf.as_ref() {
Some(r) => r,
None => return Ok(None),
};
if window_idx >= self.n_windows {
return Err(MLError::ModelError(format!(
"read_retained_state: window_idx={window_idx} out of range [0, {})",
self.n_windows
)));
}
if bar_idx >= self.max_len {
return Err(MLError::ModelError(format!(
"read_retained_state: bar_idx={bar_idx} out of range [0, {})",
self.max_len
)));
}
let state_dim = self.state_dim;
let state_dim_padded = (state_dim + 127) & !127;
let row_offset = bar_idx * self.n_windows * state_dim_padded
+ window_idx * state_dim_padded;
// Zero-copy host read via mapped-pinned host_ptr. Volatile
// reads defeat compiler reorder; the eval-stream sync the
// caller performs upstream is the actual coherence barrier.
let mut host = Vec::with_capacity(state_dim);
// Safety: `host_ptr` is valid for `retained.len` f32s by
// construction (`MappedF32Buffer::new`); offset+state_dim is
// bounds-checked above (row_offset+state_dim_padded ≤
// retained.len since the buffer is sized for max_len
// rows of state_dim_padded each).
unsafe {
for i in 0..state_dim {
host.push(std::ptr::read_volatile(
retained.host_ptr.add(row_offset + i),
));
}
}
Ok(Some(host))
}
pub fn read_per_trade_tape(&self) -> Result<Vec<EvalTrade>, MLError> {
// 1. Read per-window counts (cheap — n_windows u32 values).
let mut counts = vec![0u32; self.n_windows];
@@ -2098,6 +2203,7 @@ impl GpuBacktestEvaluator {
let direction = ((dm >> 16) & 0xFFFF) as u8;
let magnitude = (dm & 0xFFFF) as u8;
tape.push(EvalTrade {
window_index: w as u32,
bar_index: bar_idx_host[idx],
pnl: pnl_host[idx],
predicted_q: predicted_q_host[idx],
@@ -2231,6 +2337,37 @@ impl GpuBacktestEvaluator {
self.launch_gather_chunk(ch_states_base, chunk_start, chunk_len)?;
// SP21 T2.2 Phase 6.5 (2026-05-11) — retain the just-gathered
// chunk's states for hindsight injection. The chunked layout
// is `[chunk_len, n_windows, padded_sd]` (matches retained
// buffer's layout); DtoD-copy as a single contiguous block
// starting at `chunk_start × n_windows × padded_sd`. No
// transpose needed — both buffers share `[step, window,
// dim]` ordering.
//
// The retained buffer is mapped-pinned (`MappedF32Buffer`)
// per `feedback_no_htod_htoh_only_mapped_pinned`; the DtoD
// writes through the device-aliased `dev_ptr` (same memory
// the host sees via `host_ptr` after stream sync).
//
// Skip the copy if the retained buffer isn't allocated
// (test scaffolds bypassing the standard init path —
// hindsight injection just degrades to a no-op in that case).
if let Some(ref retained) = self.retained_states_buf {
let bytes = chunk_len * n * state_dim_padded
* std::mem::size_of::<f32>();
let dst_offset_bytes = (chunk_start * n * state_dim_padded
* std::mem::size_of::<f32>()) as u64;
let dst_ptr = retained.dev_ptr + dst_offset_bytes;
unsafe {
cudarc::driver::result::memcpy_dtod_async(
dst_ptr, ch_states_base, bytes, self.stream.cu_stream(),
).map_err(|e| MLError::ModelError(format!(
"retain states chunk_start={chunk_start}: {e}"
)))?;
}
}
// D.8 TLOB val-path: single forward over the entire chunk at
// batch = chunk_len * n_windows. TLOB reads OFI[42..74) and writes
// TLOB[74..90) for each row independently — safe to batch.
@@ -2838,6 +2975,22 @@ impl GpuBacktestEvaluator {
let state_dim_padded = (self.state_dim + 127) & !127;
let ch_states_buf = self.stream.alloc_zeros::<f32>(cn * state_dim_padded)
.map_err(|e| MLError::ModelError(format!("alloc chunked states_buf: {e}")))?;
// SP21 T2.2 Phase 6.5 (2026-05-11): full-window retained-states
// buffer (mapped-pinned per `feedback_no_htod_htoh_only_mapped_
// pinned`). Size = max_len × n_windows × state_dim_padded.
// Layout matches the chunked layout `[step, window, dim]` so
// each chunk's `ch_states_buf` DtoD-copies into this buffer's
// `dev_ptr` at offset `chunk_start × n_windows × state_dim_
// padded` with no transpose. Host-side hindsight injection
// reads via `host_ptr` (zero-copy) after an eval stream sync.
// Lazy-init alongside other action-select scratch; freed when
// the evaluator is dropped (via `MappedF32Buffer`'s `Drop`).
let retained_states_buf = unsafe {
MappedF32Buffer::new(self.max_len * n * state_dim_padded)
.map_err(|e| MLError::ModelError(format!(
"alloc retained_states_buf (mapped-pinned): {e}"
)))?
};
let ch_actions_buf = self.stream.alloc_zeros::<i32>(cn)
.map_err(|e| MLError::ModelError(format!("alloc chunked actions_buf: {e}")))?;
let ch_intent_mag_buf = self.stream.alloc_zeros::<i32>(cn)
@@ -2903,6 +3056,7 @@ impl GpuBacktestEvaluator {
self.chunked_b_logits_buf = Some(ch_b_logits);
self.chunked_v_logits_buf = Some(ch_v_logits);
self.chunked_states_buf = Some(ch_states_buf);
self.retained_states_buf = Some(retained_states_buf);
self.chunked_actions_buf = Some(ch_actions_buf);
self.chunked_intent_mag_buf = Some(ch_intent_mag_buf);
self.chunked_q_gaps_buf = Some(ch_q_gaps);

7
crates/ml/src/trainers/dqn/trainer/enrichment.rs
View File

@@ -29,6 +29,12 @@ pub(crate) use crate::cuda_pipeline::gpu_backtest_evaluator::EvalTrade;
/// Synthetic experience from hindsight replay (E7).
#[derive(Debug, Clone)]
pub(crate) struct HindsightExperience {
/// SP21 T2.2 Phase 6.5 (2026-05-11) — eval-window membership.
/// Set from the source `EvalTrade.window_index`; used by the
/// hindsight injection path to look up the val state vector
/// at `(window_index, bar_index)` from the retained-states
/// buffer on `GpuBacktestEvaluator`.
pub window_index: u32,
/// Bar index of the losing trade.
pub bar_index: usize,
/// Optimal direction (counterfactual).
@@ -405,6 +411,7 @@ fn compute_hindsight_labels(trades: &[EvalTrade]) -> Vec<HindsightExperience> {
.filter(|t| t.pnl < -0.001)
.take(take_n)
.map(|t| HindsightExperience {
window_index: t.window_index,
bar_index: t.bar_index as usize,
optimal_direction: if t.direction == 2 {
0

104
docs/dqn-wire-up-audit.md
View File

@@ -14631,6 +14631,110 @@ Remaining future work (out of T2.2 scope):
bar-index → segment mapping on replay tuples. Similar
infrastructure scope to 6.5.
## 2026-05-11 — SP21 T2.2 Phase 6.5a: val state retention infrastructure (mapped-pinned)
### Scope (atomic part-A; producer wireup follows in 6.5b)
Lays the infrastructure for true E7 hindsight synthetic injection.
This commit lands the consumer-side data plumbing:
1. `EvalTrade` and `HindsightExperience` gain `window_index: u32`
(host-side only — set from the `w` loop var in
`read_per_trade_tape`; the per-trade tape SoA buffers don't
carry it).
2. `GpuBacktestEvaluator` gains a mapped-pinned
`retained_states_buf` sized `[max_len × n_windows ×
state_dim_padded]` populated by a DtoD copy after every
`launch_gather_chunk` in `submit_dqn_step_loop_cublas`.
3. Public `read_retained_state(window_idx, bar_idx)` accessor
that reads the unpadded state row via zero-copy
`host_ptr` + `read_volatile`.
Phase 6.5b (next commit) will land the producer side:
mapped-pinned synthetic-tuple scratch on `GpuReplayBuffer` + new
`insert_synthetic_via_pinned` API + `training_loop` hindsight
injection wireup.
### Mapped-pinned decision (jgrusewski review 2026-05-11)
Initial draft used `CudaSlice<f32>` for `retained_states_buf` and
`memcpy_dtoh` for the host-side read. Caught at review: violates
`feedback_no_htod_htoh_only_mapped_pinned` ("mapped-pinned only
for CPU↔GPU; tests not exempt"). Refactored:
- `retained_states_buf: Option<MappedF32Buffer>` (was `Option<CudaSlice<f32>>`).
- Allocation: `unsafe { MappedF32Buffer::new(max_len × n × padded_sd) }`
— pinned host RAM aliased to a device pointer via
`cuMemHostGetDevicePointer`.
- DtoD copy: `memcpy_dtod_async(retained.dev_ptr + offset,
ch_states_base, bytes)` — same DtoD, but the dst dev_ptr
now aliases pinned host memory.
- Host read: `std::ptr::read_volatile(retained.host_ptr.add(row_offset
+ i))` for each unpadded column — zero-copy, no `memcpy_dtoh`.
The DtoD copy remains (kernel writes via dev_ptr; the rule
forbids HtoD/DtoH, not DtoD). Mapped-pinned coherence: the
caller must sync the eval stream BEFORE invoking
`read_retained_state` — production path's
`consume_metrics_after_event` already does this before the
post-enrichment training step.
Memory cost at production cfg (max_len=200_000, n_windows=5,
state_dim_padded≈128): 5 × 200_000 × 128 × 4 ≈ 512 MB of
pinned (non-swappable) host RAM. Substantial but feasible on
the L40S host (192 GB+). Lives for the trainer's lifetime;
freed via `MappedF32Buffer::Drop`.
### Files changed
| File | Status | Purpose |
|------|--------|---------|
| `crates/ml/src/cuda_pipeline/gpu_backtest_evaluator.rs` | +retained buffer + accessor | `EvalTrade.window_index` field; `retained_states_buf: Option<MappedF32Buffer>` struct field; mapped-pinned alloc in `ensure_action_select_ready`; DtoD copy after each `launch_gather_chunk`; `pub fn read_retained_state(window_idx, bar_idx)` zero-copy accessor |
| `crates/ml/src/trainers/dqn/trainer/enrichment.rs` | +1 field | `HindsightExperience.window_index: u32`; populated from `EvalTrade.window_index` in `compute_hindsight_labels` |
| `docs/dqn-wire-up-audit.md` | This entry | 2026-05-11 audit log |
### Pearls + invariants honoured
- `feedback_no_htod_htoh_only_mapped_pinned` — retained buffer
is mapped-pinned (zero-copy host read via `host_ptr`); no
`memcpy_dtoh` anywhere in the read path.
- `feedback_no_partial_refactor` — the buffer allocation, DtoD
copy wireup, accessor, and field extensions migrate atomically
in one commit; Phase 6.5b's producer wireup is independent
(the new struct field defaults to `None` and the accessor
returns `Ok(None)` when absent, so nothing breaks if Phase
6.5b is delayed).
- `feedback_no_stubs` — `retained_states_buf` consumed for real
by `read_retained_state`; the new field isn't "wire it up
later", it ships with a working accessor.
- `pearl_no_host_branches_in_captured_graph` — the DtoD copy is
inside `submit_dqn_step_loop_cublas` which is NOT a captured
graph (it's the per-step launch loop for eval, not the train
graph); safe to add a memcpy call.
### Verification
```
SQLX_OFFLINE=true cargo check -p ml --tests --features cuda # 0 errors
cargo test -p ml --lib sp21_isv_slots --features cuda # 3/3
cargo test -p ml --test sp20_aggregate_inputs_test ... # 12/12
cargo test -p ml --test sp20_phase1_4_wireup_test ... # 2/2
cargo test -p ml --test sp20_emas_compute_test ... # 4/4
cargo test -p ml --test sp20_controllers_compute_test ... # 7/7
cargo test -p ml --test sp21_per_trade_predicted_q_test ... # 3/3
```
Total: 34 tests, 0 failures. Phase 6.5a infrastructure works
without exercising it (the accessor returns `None` until eval
actually runs and populates the retained buffer — graceful
degradation for test scaffolds that bypass the full eval pipeline).
### After this commit lands
Phase 6.5b (next): mapped-pinned synthetic-tuple scratch on
`GpuReplayBuffer` + `insert_synthetic_via_pinned` API +
`training_loop` hindsight injection wireup (~300 LOC).
Next operational step: dispatch L40S smoke training run to
validate the full SP21 cascade end-to-end. Watch:
- `q_corr` non-zero after first val pass (Phase 3 ISV[520])