An Efficient Parallel Solver for SDD Linear Systems

We present the first parallel algorithm for solving systems of linear equations in symmetric, diagonally dominant (SDD) matrices that runs in polylogarithmic time and nearly-linear work. The heart of our algorithm is a construction of a sparse approximate inverse chain for the input matrix: a sequence of sparse matrices whose product approximates its inverse. Whereas other fast algorithms for solving systems of equations in SDD matrices exploit low-stretch spanning trees, our algorithm only requires spectral graph sparsifiers

Estimating the inverse trace using random forests on graphs

Some data analysis problems require the computation of (regularised) inverse traces, i.e. quantities of the form \Tr (q \bI + \bL)^{-1}. For large matrices, direct methods are unfeasible and one must resort to approximations, for example using a conjugate gradient solver combined with Girard's trace estimator (also known as Hutchinson's trace estimator). Here we describe an unbiased estimator of the regularized inverse trace, based on Wilson's algorithm, an algorithm that was initially designed to draw uniform spanning trees in graphs. Our method is fast, easy to implement, and scales to very large matrices. Its main drawback is that it is limited to diagonally dominant matrices \bL.Comment: Submitted to GRETSI conferenc

Computing and deflating eigenvalues while solving multiple right hand side linear systems in Quantum Chromodynamics

We present a new algorithm that computes eigenvalues and eigenvectors of a Hermitian positive definite matrix while solving a linear system of equations with Conjugate Gradient (CG). Traditionally, all the CG iteration vectors could be saved and recombined through the eigenvectors of the tridiagonal projection matrix, which is equivalent theoretically to unrestarted Lanczos. Our algorithm capitalizes on the iteration vectors produced by CG to update only a small window of vectors that approximate the eigenvectors. While this window is restarted in a locally optimal way, the CG algorithm for the linear system is unaffected. Yet, in all our experiments, this small window converges to the required eigenvectors at a rate identical to unrestarted Lanczos. After the solution of the linear system, eigenvectors that have not accurately converged can be improved in an incremental fashion by solving additional linear systems. In this case, eigenvectors identified in earlier systems can be used to deflate, and thus accelerate, the convergence of subsequent systems. We have used this algorithm with excellent results in lattice QCD applications, where hundreds of right hand sides may be needed. Specifically, about 70 eigenvectors are obtained to full accuracy after solving 24 right hand sides. Deflating these from the large number of subsequent right hand sides removes the dreaded critical slowdown, where the conditioning of the matrix increases as the quark mass reaches a critical value. Our experiments show almost a constant number of iterations for our method, regardless of quark mass, and speedups of 8 over original CG for light quark masses.Comment: 22 pages, 26 eps figure