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[JAX] Use PocketFFT for FFTs on CPU instead of Eigen. #4697

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PocketFFT is the same FFT library used by NumPy (although we are using the C++ variant rather than the C variant.)

For the benchmark in #2952 on my workstation:

Before:

907.3490574884647
max:     4.362646594533903e-08
mean:    6.237288307614869e-09
min:     0.0
numpy fft execution time [ms]:   37.088446617126465
jax fft execution time [ms]:     74.93342399597168

After:

907.3490574884647
max:     1.9057386696477137e-12
mean:    3.9326737908882566e-13
min:     0.0
numpy fft execution time [ms]:   37.756404876708984
jax fft execution time [ms]:     28.128278255462646

@hawkinsp hawkinsp requested a review from skye October 23, 2020 17:44
@google-cla google-cla bot added the cla: yes label Oct 23, 2020
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Submitted #4699 which is a clone of this PR (for reasons to do with version control.)

@hawkinsp hawkinsp closed this Oct 23, 2020
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