New Sequential and Scalable Parallel Algorithms for Incomplete Factor Preconditioning

The solution of large, sparse, linear systems of equations Ax = b is an important kernel, and the dominant term with regard to execution time, in many applications in scientific computing. The large size of the systems of equations being solved currently (millions of unknowns and equations) requires iterative solvers on parallel computers. Preconditioning, which is the process of translating a linear system into a related system that is easier to solve, is widely used to reduce solution time and is sometimes required to ensure convergence. Level-based preconditioning (ILU(ℓ)) has long been used in serial contexts and is widely recognized as robust and effective for a wide range of problems. However, the method has long been regarded as an inherently sequential technique. Parallelism, it has been thought, can be achieved primarily at the expense of increased iterations. We dispute these claims. The first half of this dissertation takes an in-depth look at structurally based ILU(ℓ) symbolic factorization. There are two definitions of fill level, “sum” and “max,” that have been proposed. Hitherto, these definitions have been cast in terms of matrix terminology. We develop a sequence of lemmas and theorems that provide graph theoretic characterizations of both definitions; these characterizations are based on the static graph of a matrix, G(A). Our Incomplete Fill Path Theorem characterizes fill levels per the sum definition; this is the definition that is used in most library implementations of the “classic” ILU(ℓ) factorization algorithm. Our theorem leads to several new graph-search algorithms that compute factors identical, or nearly identical, to those computed by the “classic” algorithm. Our analyses shows that the new algorithms have lower run time complexity than that of the previously existing algorithms for certain classes of matrices that are commonly encountered in scientific applications. The second half of this dissertation presents a Parallel ILU algorithmic framework (PILU). This framework enables scalable parallel ILU preconditioning by combining concepts from domain decomposition and graph ordering. The framework can accommodate ILU(ℓ) factorization as well as threshold-based ILUT methods. A model implementation of the framework, the Euclid library, was developed as part of this dissertation. This library was used to obtain experimental results for Poisson\u27s equation, the Convection-Diffusion equation, and a nonlinear Radiative Transfer problem. The experiments, which were conducted on a variety of platforms with up to 400 CPUs, demonstrate that our approach is highly scalable for arbitrary ILU(ℓ) fill levels

Linear solvers for power grid optimization problems: a review of GPU-accelerated linear solvers

The linear equations that arise in interior methods for constrained optimization are sparse symmetric indefinite and become extremely ill-conditioned as the interior method converges. These linear systems present a challenge for existing solver frameworks based on sparse LU or LDL^T decompositions. We benchmark five well known direct linear solver packages using matrices extracted from power grid optimization problems. The achieved solution accuracy varies greatly among the packages. None of the tested packages delivers significant GPU acceleration for our test cases

An Object-Oriented Algorithmic Laboratory for Ordering Sparse Matrices

We focus on two known NP-hard problems that have applications in sparse matrix computations: the envelope/wavefront reduction problem and the fill reduction problem. Envelope/wavefront reducing orderings have a wide range of applications including profile and frontal solvers, incomplete factorization preconditioning, graph reordering for cache performance, gene sequencing, and spatial databases. Fill reducing orderings are generally limited to—but an inextricable part of—sparse matrix factorization. Our major contribution to this field is the design of new and improved heuristics for these NP-hard problems and their efficient implementation in a robust, cross-platform, object-oriented software package. In this body of research, we (1) examine current ordering algorithms, analyze their asymptotic complexity, and characterize their behavior in model problems, (2) introduce new and improved algorithms that address deficiencies found in previous heuristics, (3) implement an object-oriented library of these algorithms in a robust, modular fashion without significant loss of efficiency, and (4) extend our algorithms and software to address both generalized and constrained problems. We stress that the major contribution is the algorithms and the implementation; the whole being greater than the sum of its parts. The initial motivation for implementing our algorithms in object-oriented software was to manage the inherent complexity. During our research came the realization that the object-oriented implementation enabled new possibilities for augmented algorithms that would not have been as natural to generalize from a procedural implementation. Some extensions are constructed from a family of related algorithmic components, thereby creating a poly-algorithm that can adapt its strategy to the properties of the specific problem instance dynamically. Other algorithms are tailored for special constraints by aggregating algorithmic components and having them collaboratively generate the global ordering. Our software laboratory, “Spindle,” implements state-of-the-art ordering algorithms for sparse matrices and graphs. We have used it to examine and augment the behavior of existing algorithms and test new ones. Its 40,000+ lines of C++ code includes a base library test drivers, sample applications, and interfaces to C, C++, Matlab, and PETSc. Spindle is freely available and can be built on a variety of UNIX platforms as well as WindowsNT

Algebraic, Block and Multiplicative Preconditioners based on Fast Tridiagonal Solves on GPUs

This thesis contributes to the field of sparse linear algebra, graph applications, and preconditioners for Krylov iterative solvers of sparse linear equation systems, by providing a (block) tridiagonal solver library, a generalized sparse matrix-vector implementation, a linear forest extraction, and a multiplicative preconditioner based on tridiagonal solves. The tridiagonal library, which supports (scaled) partial pivoting, outperforms cuSPARSE's tridiagonal solver by factor five while completely utilizing the available GPU memory bandwidth. For the performance optimized solving of multiple right-hand sides, the explicit factorization of the tridiagonal matrix can be computed. The extraction of a weighted linear forest (union of disjoint paths) from a general graph is used to build algebraic (block) tridiagonal preconditioners and deploys the generalized sparse-matrix vector implementation of this thesis for preconditioner construction. During linear forest extraction, a new parallel bidirectional scan pattern, which can operate on double-linked list structures, identifies the path ID and the position of a vertex. The algebraic preconditioner construction is also used to build more advanced preconditioners, which contain multiple tridiagonal factors, based on generalized ILU factorizations. Additionally, other preconditioners based on tridiagonal factors are presented and evaluated in comparison to ILU and ILU incomplete sparse approximate inverse preconditioners (ILU-ISAI) for the solution of large sparse linear equation systems from the Sparse Matrix Collection. For all presented problems of this thesis, an efficient parallel algorithm and its CUDA implementation for single GPU systems is provided

Resilience for Asynchronous Iterative Methods for Sparse Linear Systems

Large scale simulations are used in a variety of application areas in science and engineering to help forward the progress of innovation. Many spend the vast majority of their computational time attempting to solve large systems of linear equations; typically arising from discretizations of partial differential equations that are used to mathematically model various phenomena. The algorithms used to solve these problems are typically iterative in nature, and making efficient use of computational time on High Performance Computing (HPC) clusters involves constantly improving these iterative algorithms. Future HPC platforms are expected to encounter three main problem areas: scalability of code, reliability of hardware, and energy efficiency of the platform. The HPC resources that are expected to run the large programs are planned to consist of billions of processing units that come from more traditional multicore processors as well as a variety of different hardware accelerators. This growth in parallelism leads to the presence of all three problems. Previously, work on algorithm development has focused primarily on creating fault tolerance mechanisms for traditional iterative solvers. Recent work has begun to revisit using asynchronous methods for solving large scale applications, and this dissertation presents research into fault tolerance for fine-grained methods that are asynchronous in nature. Classical convergence results for asynchronous methods are revisited and modified to account for the possible occurrence of a fault, and a variety of techniques for recovery from the effects of a fault are proposed. Examples of how these techniques can be used are shown for various algorithms, including an analysis of a fine-grained algorithm for computing incomplete factorizations. Lastly, numerous modeling and simulation tools for the further construction of iterative algorithms for HPC applications are developed, including numerical models for simulating faults and a simulation framework that can be used to extrapolate the performance of algorithms towards future HPC systems

A platform for numerical computations with special application to preconditioning

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A New Method for Efficient Parallel Solution of Large Linear Systems on a SIMD Processor.

This dissertation proposes a new technique for efficient parallel solution of very large linear systems of equations on a SIMD processor. The model problem used to investigate both the efficiency and applicability of the technique was of a regular structure with semi-bandwidth $\beta,$ and resulted from approximation of a second order, two-dimensional elliptic equation on a regular domain under the Dirichlet and periodic boundary conditions. With only slight modifications, chiefly to properly account for the mathematical effects of varying bandwidths, the technique can be extended to encompass solution of any regular, banded systems. The computational model used was the MasPar MP-X (model 1208B), a massively parallel processor hostnamed hurricane and housed in the Concurrent Computing Laboratory of the Physics/Astronomy department, Louisiana State University. The maximum bandwidth which caused the problem\u27s size to fit the nyproc $\times$ nxproc machine array exactly, was determined. This as well as smaller sizes were used in four experiments to evaluate the efficiency of the new technique. Four benchmark algorithms, two direct--Gauss elimination (GE), Orthogonal factorization--and two iterative--symmetric over-relaxation (SOR) ($\omega$ = 2), the conjugate gradient method (CG)--were used to test the efficiency of the new approach based upon three evaluation metrics--deviations of results of computations, measured as average absolute errors, from the exact solution, the cpu times, and the mega flop rates of executions. All the benchmarks, except the GE, were implemented in parallel. In all evaluation categories, the new approach outperformed the benchmarks and very much so when N $\gg$ p, p being the number of processors and N the problem size. At the maximum system\u27s size, the new method was about 2.19 more accurate, and about 1.7 times faster than the benchmarks. But when the system size was a lot smaller than the machine\u27s size, the new approach\u27s performance deteriorated precipitously, and, in fact, in this circumstance, its performance was worse than that of GE, the serial code. Hence, this technique is recommended for solution of linear systems with regular structures on array processors when the problem\u27s size is large in relation to the processor\u27s size

Inference, Computation, and Games

In this thesis, we use statistical inference and competitive games to design algorithms for computational mathematics. In the first part, comprising chapters two through six, we use ideas from Gaussian process statistics to obtain fast solvers for differential and integral equations. We begin by observing the equivalence of conditional (near-)independence of Gaussian processes and the (near-)sparsity of the Cholesky factors of its precision and covariance matrices. This implies the existence of a large class of dense matrices with almost sparse Cholesky factors, thereby greatly increasing the scope of application of sparse Cholesky factorization. Using an elimination ordering and sparsity pattern motivated by the screening effect in spatial statistics, we can compute approximate Cholesky factors of the covariance matrices of Gaussian processes admitting a screening effect in near-linear computational complexity. These include many popular smoothness priors such as the Matérn class of covariance functions. In the special case of Green's matrices of elliptic boundary value problems (with possibly unknown elliptic operators of arbitrarily high order, with possibly rough coefficients), we can use tools from numerical homogenization to prove the exponential accuracy of our method. This result improves the state-of-the-art for solving general elliptic integral equations and provides the first proof of an exponential screening effect. We also derive a fast solver for elliptic partial differential equations, with accuracy-vs-complexity guarantees that improve upon the state-of-the-art. Furthermore, the resulting solver is performant in practice, frequently beating established algebraic multigrid libraries such as AMGCL and Trilinos on a series of challenging problems in two and three dimensions. Finally, for any given covariance matrix, we obtain a closed-form expression for its optimal (in terms of Kullback-Leibler divergence) approximate inverse-Cholesky factorization subject to a sparsity constraint, recovering Vecchia approximation and factorized sparse approximate inverses. Our method is highly robust, embarrassingly parallel, and further improves our asymptotic results on the solution of elliptic integral equations. We also provide a way to apply our techniques to sums of independent Gaussian processes, resolving a major limitation of existing methods based on the screening effect. As a result, we obtain fast algorithms for large-scale Gaussian process regression problems with possibly noisy measurements. In the second part of this thesis, comprising chapters seven through nine, we study continuous optimization through the lens of competitive games. In particular, we consider competitive optimization, where multiple agents attempt to minimize conflicting objectives. In the single-agent case, the updates of gradient descent are minimizers of quadratically regularized linearizations of the loss function. We propose to generalize this idea by using the Nash equilibria of quadratically regularized linearizations of the competitive game as updates (linearize the game). We provide fundamental reasons why the natural notion of linearization for competitive optimization problems is given by the multilinear (as opposed to linear) approximation of the agents' loss functions. The resulting algorithm, which we call competitive gradient descent, thus provides a natural generalization of gradient descent to competitive optimization. By using ideas from information geometry, we extend CGD to competitive mirror descent (CMD) that can be applied to a vast range of constrained competitive optimization problems. CGD and CMD resolve the cycling problem of simultaneous gradient descent and show promising results on problems arising in constrained optimization, robust control theory, and generative adversarial networks. Finally, we point out the GAN-dilemma that refutes the common interpretation of GANs as approximate minimizers of a divergence obtained in the limit of a fully trained discriminator. Instead, we argue that GAN performance relies on the implicit competitive regularization (ICR) due to the simultaneous optimization of generator and discriminator and support this hypothesis with results on low-dimensional model problems and GANs on CIFAR10.</p