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cs240a-sparse - CS 240A Solving Ax = b in parallel CS Dense...

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CS 240A: Solving Ax = b in parallel CS 240A: Solving Ax = b in parallel Dense A: Gaussian elimination with partial pivoting (LU) Same flavor as matrix * matrix, but more complicated Sparse A: Gaussian elimination – Cholesky, LU, etc. Graph algorithms Sparse A: Iterative methods – Conjugate gradient, etc. Sparse matrix times dense vector Sparse A: Preconditioned iterative methods and multigrid Mixture of lots of things
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Matrix and Graph Matrix and Graph Edge from row i to column j for nonzero A(i,j) No edges for diagonal nonzeros If A is symmetric, G(A) is an undirected graph Symmetric permutation PAP T renumbers the vertices 1 2 3 4 7 6 5 A G(A)
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Compressed Sparse Matrix Storage Compressed Sparse Matrix Storage Full storage: 2-dimensional array. (nrows*ncols) memory. 31 0 53 0 59 0 41 26 0 31 41 59 26 53 1 3 2 3 1 Sparse storage: Compressed storage by columns (CSC). Three 1-dimensional arrays. (2*nzs + ncols + 1) memory. Similarly, CSR. 1 3 5 6 value: row: colstart:
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The Landscape of Ax=b Solvers The Landscape of Ax=b Solvers Pivoting LU GMRES, BiCGSTAB, Cholesky Conjugate gradient Direct A = LU Iterative y’ = Ay Non- symmetric Symmetric positive definite More Robust Less Storage (if sparse) More Robust More General
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CS 240A: Solving Ax = b in parallel CS 240A: Solving Ax = b in parallel Dense A: Gaussian elimination with partial pivoting (LU) See April 15 slides Same flavor as matrix * matrix, but more complicated Sparse A: Gaussian elimination – Cholesky, LU, etc. Graph algorithms Sparse A: Iterative methods – Conjugate gradient, etc. Sparse matrix times dense vector Sparse A: Preconditioned iterative methods and multigrid Mixture of lots of things
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For a symmetric, positive definite matrix: 1. Matrix factorization: A = LL T ( Cholesky factorization ) 1. Forward triangular solve: Ly = b 2. Backward triangular solve: L T x = y For a nonsymmetric matrix: 1. Matrix factorization: PA = LU ( Partial pivoting ) 2. . . . Gaussian elimination to solve Gaussian elimination to solve Ax = b Ax = b
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Sparse Column Cholesky Factorization Sparse Column Cholesky Factorization for j = 1 : n L(j:n, j) = A(j:n, j); for k < j with L(j, k) nonzero % sparse cmod(j,k) L(j:n, j) = L(j:n, j) – L(j, k) * L(j:n, k); end ; % sparse cdiv(j) L(j, j) = sqrt(L(j, j)); L(j+1:n, j) = L(j+1:n, j) / L(j, j); end ; Column j of A becomes column j of L L L L T A j
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8 Irregular mesh: NASA Airfoil in 2D Irregular mesh: NASA Airfoil in 2D
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Graphs and Sparse Matrices Graphs and Sparse Matrices : Cholesky factorization : Cholesky factorization 10 1 3 2 4 5 6 7 8 9 10 1 3 2 4 5 6 7 8 9 G(A) G + (A) [chordal] Symmetric Gaussian elimination: for j = 1 to n add edges between j’s higher-numbered neighbors Fill : new nonzeros in factor
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Permutations of the 2-D model problem Permutations of the 2-D model problem Theorem: With the natural permutation, the n-vertex model problem has Θ (n 3/2 ) fill. (“order exactly”) Theorem: With any permutation, the n-vertex model problem has (n log n) fill. (“order at least”) Theorem: With a nested dissection permutation, the n-vertex model problem has O(n log n) fill. (“order at most”)
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