The paper is concerned with methods for computing the best low multilinear rank approximation of large and sparse tensors. Krylov-type methods have been used for this problem; here block versions are introduced. For the computation of partial eigenvalue and singular value decompositions of matrices the Krylov-Schur (restarted Arnoldi) method is used. We describe a generalization of this method to tensors, for computing the best low multilinear rank approximation of large and sparse tensors. In analogy to the matrix case, the large tensor is only accessed in multiplications between the tensor and blocks of vectors, thus avoiding excessive memory usage. It is proved that, if the starting approximation is good enough, then the tensor Krylov-Schur method is convergent. Numerical examples are given for synthetic tensors and sparse tensors from applications, which demonstrate that for most large problems the Krylov-Schur method converges faster and more robustly than higher order orthogonal iteration.
The parallel strong-scaling of Krylov iterative methods is largely determined by the number of global reductions required at each iteration. The GMRES and Krylov-Schur algorithms employ the Arnoldi algorithm for nonsymmetric matrices. The underlying orthogonalization scheme is left-looking and processes one column at a time. Thus, at least one global reduction is required per iteration. The traditional algorithm for generating the orthogonal Krylov basis vectors for the Krylov-Schur algorithm is classical Gram Schmidt applied twice with reorthogonalization (CGS2), requiring three global reduct…
We evaluate the performance of the Krylov subspace method by using highly efficient multiple precision sparse matrix-vector multiplication (SpMV). BNCpack is our multiple precision numerical computation library based on MPFR/GMP, which is one of the most efficient arbitrary precision floating-point arithmetic libraries. However, it does not include functions that can manipulate multiple precision sparse matrices. Therefore, by using benchmark tests, we show that SpMV implemented in these functions can be more efficient. Finally, we also show that product-type Krylov subspace methods such as Bi…
Hierarchical Schur complement preconditioner for the stochastic Galerkin finite element methods
University of Southern California（南加州大学）；Institute of Thermomechanics, Academy of Sciences of the Czech Republic（捷克科学院热力学研究所）；Sandia National Laboratories（桑迪亚国家实验室）
An effective power based parallel preconditioner is proposed for general large sparse linear systems. The preconditioner combines a power series expansion method with some low-rank correction techniques, where the Sherman-Morrison-Woodbury formula is utilized. A matrix splitting of the Schur complement is proposed to expand the power series. The number of terms used in the power series expansion can control the approximation accuracy of the preconditioner to the inverse of the Schur complement. To construct the preconditioner, graph partitioning is invoked to reorder the original coefficient m…
Randomized methods are becoming increasingly popular in numerical linear algebra. However, few attempts have been made to use them in developing preconditioners. Our interest lies in solving large-scale sparse symmetric positive definite linear systems of equations where the system matrix is preordered to doubly bordered block diagonal form (for example, using a nested dissection ordering). We investigate the use of randomized methods to construct high quality preconditioners. In particular, we propose a new and efficient approach that employs Nyström's method for computing low rank approximat…
The computation of f(A)b, the action of a matrix function on a vector, is a task arising in many areas of scientific computing. In many applications, the matrix A is sparse but so large that only a rather small number of Krylov basis vectors can be stored. Here we discuss a new approach to overcome these limitations by randomized sketching combined with an integral representation of f(A)b. Two different approximations are introduced, one based on sketched FOM and another based on sketched GMRES approximation. The convergence of the latter method is analyzed for Stieltjes functions of positive …
One of the most computationally expensive steps of the low-rank ADI method for large-scale Lyapunov equations is the solution of a shifted linear system at each iteration. We propose the use of the extended Krylov subspace method for this task. In particular, we illustrate how a single approximation space can be constructed to solve all the shifted linear systems needed to achieve a prescribed accuracy in terms of Lyapunov residual norm. Moreover, we show how to fully merge the two iterative procedures in order to obtain a novel, efficient implementation of the low-rank ADI method, for an impo…
The computation of matrix functions $f(A)$, or related quantities like their trace, is an important but challenging task, in particular for large and sparse matrices $A$. In recent years, probing methods have become an often considered tool in this context, as they allow to replace the computation of $f(A)$ or $\text{tr}(f(A))$ by the evaluation of (a small number of) quantities of the form $f(A)v$ or $v^Tf(A)v$, respectively. These tasks can then efficiently be solved by standard techniques like, e.g., Krylov subspace methods. It is well-known that probing methods are particularly efficient w…
This paper discusses parGeMSLR, a C++/MPI software library for the solution of sparse systems of linear algebraic equations via preconditioned Krylov subspace methods in distributed-memory computing environments. The preconditioner implemented in parGeMSLR is based on algebraic domain decomposition and partitions the symmetrized adjacency graph recursively into several non-overlapping partitions via a p-way vertex separator, where p is an integer multiple of the total number of MPI processes. From a numerical perspective, parGeMSLR builds a Schur complement approximate inverse preconditioner a…
New algorithms are proposed for the Tucker approximation of a 3-tensor, that access it using only the tensor-by-vector-by-vector multiplication subroutine. In the matrix case, Krylov methods are methods of choice to approximate the dominant column and row subspaces of a sparse or structured matrix given through the matrix-by-vector multiplication subroutine. Using the Wedderburn rank reduction formula, we propose an algorithm of matrix approximation that computes Krylov subspaces and allows generalization to the tensor case. Several variants of proposed tensor algorithms differ by pivoting str…
Information is extracted from large and sparse data sets organized as 3-mode tensors. Two methods are described, based on best rank-(2,2,2) and rank-(2,2,1) approximation of the tensor. The first method can be considered as a generalization of spectral graph partitioning to tensors, and it gives a reordering of the tensor that clusters the information. The second method gives an expansion of the tensor in sparse rank-(2,2,1) terms, where the terms correspond to graphs. The low-rank approximations are computed using an efficient Krylov-Schur type algorithm that avoids filling in the sparse data…
In this paper we present an active-set method for the solution of $\ell_1$-regularized convex quadratic optimization problems. It is derived by combining a proximal method of multipliers (PMM) strategy with a standard semismooth Newton method (SSN). The resulting linear systems are solved using a Krylov-subspace method, accelerated by certain general-purpose preconditioners which are shown to be optimal with respect to the proximal parameters. Practical efficiency is further improved by warm-starting the algorithm using a proximal alternating direction method of multipliers. We show that the o…
We are interested in solving linear systems arising from three applications: (1) kernel methods in machine learning, (2) discretization of boundary integral equations from mathematical physics, and (3) Schur complements formed in the factorization of many large sparse matrices. The coefficient matrices are often data-sparse in the sense that their off-diagonal blocks have low numerical ranks; specifically, we focus on "hierarchically off-diagonal low-rank (HODLR)" matrices. We introduce algorithms for factorizing HODLR matrices and for applying the factorizations on a GPU. The algorithms lever…
We improve the current best running time value to invert sparse matrices over finite fields, lowering it to an expected $O\big(n^{2.2131}\big)$ time for the current values of fast rectangular matrix multiplication. We achieve the same running time for the computation of the rank and nullspace of a sparse matrix over a finite field. This improvement relies on two key techniques. First, we adopt the decomposition of an arbitrary matrix into block Krylov and Hankel matrices from Eberly et al. (ISSAC 2007). Second, we show how to recover the explicit inverse of a block Hankel matrix using low disp…
