Numerical algorithms have two kinds of costs: arithmetic and communication,
by which we mean either moving data between levels of a memory hierarchy (in
the sequential case) or over a network connecting processors (in the parallel
case). Communication costs often dominate arithmetic costs, so it is of
interest to design algorithms minimizing communication. In this paper we first
extend known lower bounds on the communication cost (both for bandwidth and for
latency) of conventional (O(n^3)) matrix multiplication to Cholesky
factorization, which is used for solving dense symmetric positive definite
linear systems. Second, we compare the costs of various Cholesky decomposition
implementations to these lower bounds and identify the algorithms and data
structures that attain them. In the sequential case, we consider both the
two-level and hierarchical memory models. Combined with prior results in [13,
14, 15], this gives a set of communication-optimal algorithms for O(n^3)
implementations of the three basic factorizations of dense linear algebra: LU
with pivoting, QR and Cholesky. But it goes beyond this prior work on
sequential LU by optimizing communication for any number of levels of memory
hierarchy.Comment: 29 pages, 2 tables, 6 figure
