Analysis and Design of Communication Avoiding Algorithms for Out of Memory(OOM) SVD

Many applications — including big data analytics, information retrieval, gene expression analysis, and numerical weather prediction – require the solution of large, dense singular value decomposition (SVD). The size of matrices used in many of these applications is becoming too large to fit into into a computer’s main memory at one time, and the traditional SVD algorithms that require all the matrix components to be loaded into memory before computation starts cannot be used directly. Moving data (communication) between levels of memory hierarchy and the disk exposes extra challenges to design SVD for such big matrices because of the exponential growth in the gap between floating-point arithmetic rate and bandwidth for many different storage devices on modern high performance computers. In this dissertation, we have analyzed communication overhead on hierarchical memory systems and disks for SVD algorithms and designed communication-avoiding (CA) Out of Memory (OOM) SVD algorithms. By Out of Memory we mean that the matrix is too big to fit in the main memory and therefore must reside in external or internal storage. We have studied communication overhead for classical one-stage blocked SVD and two-stage tiled SVD algorithms and proposed our OOM SVD algorithm, which reduces the communication cost. We have presented theoretical analysis and strategies to design CA OOM SVD algorithms, developed optimized implementation of CA OOM SVD for multicore architecture, and presented its performance results. When matrices are tall, performance of OOM SVD can be improved significantly by carrying out QR decomposition on the original matrix in the first place. The upper triangular matrix generated by QR decomposition may fit in the main memory, and in-core SVD can be used efficiently. Even if the upper triangular matrix does not fit in the main memory, OOM SVD will work on a smaller matrix. That is why we have analyzed communication reduction for OOM QR algorithm, implemented optimized OOM tiled QR for multicore systems and showed performance improvement of OOM SVD algorithms for tall matrices

Two-sided orthogonal reductions to condensed forms on asymmetric multicore processors

[EN] We investigate how to leverage the heterogeneous resources of an Asymmetric Multicore Processor (AMP) in order to deliver high performance in the reduction to condensed forms for the solution of dense eigenvalue and singular-value problems. The routines that realize this type of two-sided orthogonal reductions (TSOR) in LAPACK are especially challenging, since a significant fraction of their floating-point operations are cast in terms of memory-bound kernels while the remaining part corresponds to efficient compute-bound kernels. To deal with this scenario: (1) we leverage implementations of memory-bound and compute-bound kernels specifically tuned for AMPs; (2) we select the algorithmic block size for the TSOR routines via a practical model; and (3) we adjust the type and number of cores to use at each step of the reduction. Our experiments validate the model and assess the performance of our asymmetry-aware TSOR routines, using an ARMv7 big.LITTLE AMP, for three key operations: the reduction to tridiagonal form for symmetric eigenvalue problems, the reduction to Hessenberg form for non-symmetric eigenvalue problems, and the reduction to bidiagonal form for singular-value problems.The researchers from Universidad Jaume I were supported by project TIN2014-53495-R of MINECO and FEDER, and the FPU program of MECD. The researcher from Universitat Politecnica de Valencia was supported by the Generalitat Valenciana PROMETEOII/2014/003. The researcher from Universitat Politecnica de Catalunya was supported by projects TIN2015-65316-P from the Spanish Ministry of Education and 2014 SGR 1051 from the Generalitat de Catalunya, Dep. d'Innovacio, Universitats i Empresa.Alonso-Jordá, P.; Catalán, S.; Herrero, JR.; Quintana-Ortí, ES.; Rodríguez-Sánchez, R. (2018). Two-sided orthogonal reductions to condensed forms on asymmetric multicore processors. Parallel Computing. 78:85-100. https://doi.org/10.1016/j.parco.2018.03.005S851007

Look-ahead in the two-sided reduction to compact band forms for symmetric eigenvalue problems and the SVD

We address the reduction to compact band forms, via unitary similarity transformations, for the solution of symmetric eigenvalue problems and the computation of the singular value decomposition (SVD). Concretely, in the first case, we revisit the reduction to symmetric band form, while, for the second case, we propose a similar alternative, which transforms the original matrix to (unsymmetric) band form, replacing the conventional reduction method that produces a triangular– band output. In both cases, we describe algorithmic variants of the standard Level 3 Basic Linear Algebra Subroutines (BLAS)-based procedures, enhanced with lookahead, to overcome the performance bottleneck imposed by the panel factorization. Furthermore, our solutions employ an algorithmic block size that differs from the target bandwidth, illustrating the important performance benefits of this decision. Finally, we show that our alternative compact band form for the SVD is key to introduce an effective look-ahead strategy into the corresponding reduction procedure

Minimizing Communication for Eigenproblems and the Singular Value Decomposition

Algorithms have two costs: arithmetic and communication. The latter represents the cost of moving data, either between levels of a memory hierarchy, or between processors over a network. Communication often dominates arithmetic and represents a rapidly increasing proportion of the total cost, so we seek algorithms that minimize communication. In \cite{BDHS10} lower bounds were presented on the amount of communication required for essentially all $O(n^3)$-like algorithms for linear algebra, including eigenvalue problems and the SVD. Conventional algorithms, including those currently implemented in (Sca)LAPACK, perform asymptotically more communication than these lower bounds require. In this paper we present parallel and sequential eigenvalue algorithms (for pencils, nonsymmetric matrices, and symmetric matrices) and SVD algorithms that do attain these lower bounds, and analyze their convergence and communication costs.Comment: 43 pages, 11 figure