Approximation de rang faible pour les matrices creuses

In this paper we present an algorithm for computing a low rank approximation of a sparse matrix based on a truncated LU factorization with column and row permutations. We present various approaches for determining the column and row permutations that show a trade-off between speed versus deterministic/probabilistic accuracy. We show that if the permutations are chosen by using tournament pivoting based on QR factorization, then the obtained truncated LU factorization with column/row tournament pivoting, LU\_CRTP, satisfies bounds on the singular values which have similarities with the ones obtained by a communication avoiding rank revealing QR factorization. Experiments on challenging matrices show that LU_CRTP provides a good low rank approximation of the input matrix and it is less expensive than the rank revealing QR factorization in terms of computational and memory usage costs, while also minimizing the communication cost. We also compare the computational complexity of our algorithm with randomizedalgorithms and show that for sparse matrices and high enough but still modest accuracies, our approach is faster.Ce papier introduit un algorithme pour calculer une approximation de rang faible d’une matrice creuse. Cet algorithme est basé sur une factorisation LU avec des permutations de lignes et de colonnes

LU factorization with panel rank revealing pivoting and its communication avoiding version

We present the LU decomposition with panel rank revealing pivoting (LU_PRRP), an LU factorization algorithm based on strong rank revealing QR panel factorization. LU_PRRP is more stable than Gaussian elimination with partial pivoting (GEPP). Our extensive numerical experiments show that the new factorization scheme is as numerically stable as GEPP in practice, but it is more resistant to pathological cases and easily solves the Wilkinson matrix and the Foster matrix. We also present CALU_PRRP, a communication avoiding version of LU_PRRP that minimizes communication. CALU_PRRP is based on tournament pivoting, with the selection of the pivots at each step of the tournament being performed via strong rank revealing QR factorization. CALU_PRRP is more stable than CALU, the communication avoiding version of GEPP. CALU_PRRP is also more stable in practice and is resistant to pathological cases on which GEPP and CALU fail.Comment: No. RR-7867 (2012

Fast Parallel Randomized QR with Column Pivoting Algorithms for Reliable Low-rank Matrix Approximations

Factorizing large matrices by QR with column pivoting (QRCP) is substantially more expensive than QR without pivoting, owing to communication costs required for pivoting decisions. In contrast, randomized QRCP (RQRCP) algorithms have proven themselves empirically to be highly competitive with high-performance implementations of QR in processing time, on uniprocessor and shared memory machines, and as reliable as QRCP in pivot quality. We show that RQRCP algorithms can be as reliable as QRCP with failure probabilities exponentially decaying in oversampling size. We also analyze efficiency differences among different RQRCP algorithms. More importantly, we develop distributed memory implementations of RQRCP that are significantly better than QRCP implementations in ScaLAPACK. As a further development, we introduce the concept of and develop algorithms for computing spectrum-revealing QR factorizations for low-rank matrix approximations, and demonstrate their effectiveness against leading low-rank approximation methods in both theoretical and numerical reliability and efficiency.Comment: 11 pages, 14 figures, accepted by 2017 IEEE 24th International Conference on High Performance Computing (HiPC), awarded the best paper priz

Hybrid static/dynamic scheduling for already optimized dense matrix factorization

We present the use of a hybrid static/dynamic scheduling strategy of the task dependency graph for direct methods used in dense numerical linear algebra. This strategy provides a balance of data locality, load balance, and low dequeue overhead. We show that the usage of this scheduling in communication avoiding dense factorization leads to significant performance gains. On a 48 core AMD Opteron NUMA machine, our experiments show that we can achieve up to 64% improvement over a version of CALU that uses fully dynamic scheduling, and up to 30% improvement over the version of CALU that uses fully static scheduling. On a 16-core Intel Xeon machine, our hybrid static/dynamic scheduling approach is up to 8% faster than the version of CALU that uses a fully static scheduling or fully dynamic scheduling. Our algorithm leads to speedups over the corresponding routines for computing LU factorization in well known libraries. On the 48 core AMD NUMA machine, our best implementation is up to 110% faster than MKL, while on the 16 core Intel Xeon machine, it is up to 82% faster than MKL. Our approach also shows significant speedups compared with PLASMA on both of these systems