An O(N squared) method for computing the eigensystem of N by N symmetric tridiagonal matrices by the divide and conquer approach

An efficient method is proposed to solve the eigenproblem of N by N Symmetric Tridiagonal (ST) matrices. Unlike the standard eigensolvers which necessitate O(N cubed) operations to compute the eigenvectors of such ST matrices, the proposed method computes both the eigenvalues and eigenvectors with only O(N squared) operations. The method is based on serial implementation of the recently introduced Divide and Conquer (DC) algorithm. It exploits the fact that by O(N squared) of DC operations, one can compute the eigenvalues of N by N ST matrix and a finite number of pairs of successive rows of its eigenvector matrix. The rest of the eigenvectors--all of them or one at a time--are computed by linear three-term recurrence relations. Numerical examples are presented which demonstrate the superiority of the proposed method by saving an order of magnitude in execution time at the expense of sacrificing a few orders of accuracy

Jacobians and rank 1 perturbations relating to unitary Hessenberg matrices

In a recent work Killip and Nenciu gave random recurrences for the characteristic polynomials of certain unitary and real orthogonal upper Hessenberg matrices. The corresponding eigenvalue p.d.f.'s are beta-generalizations of the classical groups. Left open was the direct calculation of certain Jacobians. We provide the sought direct calculation. Furthermore, we show how a multiplicative rank 1 perturbation of the unitary Hessenberg matrices provides a joint eigenvalue p.d.f generalizing the circular beta-ensemble, and we show how this joint density is related to known inter-relations between circular ensembles. Projecting the joint density onto the real line leads to the derivation of a random three-term recurrence for polynomials with zeros distributed according to the circular Jacobi beta-ensemble.Comment: 23 page

A fast and stable parallel QR algorithm for symmetric tridiagonal matrices

AbstractWe present a new, fast, and practical parallel algorithm for computing a few eigenvalues of a symmetric tridiagonal matrix by the explicitQR method. We present a new divide and conquer parallel algorithm which is fast and numerically stable. The algorithm is work efficient and of low communication overhead, and it can be used to solve very large problems infeasible by sequential methods

A Parallel Structured Divide-and-Conquer Algorithm for Symmetric Tridiagonal Eigenvalue Problems

© 2021 IEEE. Personal use of this material is permitted. Permissíon from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertisíng or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works.[EN] In this article, a parallel structured divide-and-conquer (PSDC) eigensolver is proposed for symmetric tridiagonal matrices based on ScaLAPACK and a parallel structured matrix multiplication algorithm, called PSMMA. Computing the eigenvectors via matrix-matrix multiplications is the most computationally expensive part of the divide-and-conquer algorithm, and one of the matrices involved in such multiplications is a rank-structured Cauchy-like matrix. By exploiting this particular property, PSMMA constructs the local matrices by using generators of Cauchy-like matrices without any communication, and further reduces the computation costs by using a structured low-rank approximation algorithm. Thus, both the communication and computation costs are reduced. Experimental results show that both PSMMA and PSDC are highly scalable and scale to 4096 processes at least. PSDC has better scalability than PHDC that was proposed in [16] and only scaled to 300 processes for the same matrices. Comparing with PDSTEDC in ScaLAPACK, PSDC is always faster and achieves 1.4x-1.6x speedup for some matrices with few deflations. PSDC is also comparable with ELPA, with PSDC being faster than ELPA when using few processes and a little slower when using many processes.The authors would like to thank the referees for their valuable comments which greatly improve the presentation of this article. This work was supported by National Natural Science Foundation of China (No. NNW2019ZT6-B20, NNW2019ZT6B21, NNW2019ZT5-A10, U1611261, 61872392, and U1811461), National Key RD Program of China (2018YFB0204303), NSF of Hunan (No. 2019JJ40339), NSF of NUDT (No. ZK18-03-01), Guangdong Natural Science Foundation (2018B030312002), and the Program for Guangdong Introducing Innovative and Entrepreneurial Teams under Grant 2016ZT06D211. The work of Jose E. Roman was supported by the Spanish Agencia Estatal de Investigacion (AEI) under project SLEPc-DA (PID2019-107379RB-I00).Liao, X.; Li, S.; Lu, Y.; Román Moltó, JE. (2021). A Parallel Structured Divide-and-Conquer Algorithm for Symmetric Tridiagonal Eigenvalue Problems. IEEE Transactions on Parallel and Distributed Systems. 32(2):367-378. https://doi.org/10.1109/TPDS.2020.3019471S36737832

Factorizing the Stochastic Galerkin System

Recent work has explored solver strategies for the linear system of equations arising from a spectral Galerkin approximation of the solution of PDEs with parameterized (or stochastic) inputs. We consider the related problem of a matrix equation whose matrix and right hand side depend on a set of parameters (e.g. a PDE with stochastic inputs semidiscretized in space) and examine the linear system arising from a similar Galerkin approximation of the solution. We derive a useful factorization of this system of equations, which yields bounds on the eigenvalues, clues to preconditioning, and a flexible implementation method for a wide array of problems. We complement this analysis with (i) a numerical study of preconditioners on a standard elliptic PDE test problem and (ii) a fluids application using existing CFD codes; the MATLAB codes used in the numerical studies are available online.Comment: 13 pages, 4 figures, 2 table