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The profile merging is necessary in case you want to use a pure clang compiler or you use GCC in OSX. For example, a general profiling action using clang will result in at least one binary profile. For our case, when using regrtest, we will have multiple profiles as the test is a multi-process one. The application llvm-profdata has the ability to merge the information collected from multiple processes, thus having a more precise map of what is executed from the profiled application. 
This step is mandatory even if we train on a single threaded or single process workload and have just one profile. More information about the entire process can be found here: http://clang.llvm.org/docs/UsersManual.html#profiling-with-instrumentation