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NASA NTRS2002

An Efficient Scheme for Updating Sparse Cholesky Factors

Raghavan had earlier developed the software package DCSPACK which can be used for solving sparse linear systems where the coefficient matrix is symmetric and positive definite (this project was not funded by NASA but by agencies such as NSF). DSCPACK-S is the serial code and DSCPACK-P is a parallel implementation suitable for multiprocessors or networks-of-workstations with message passing using MCI. The main algorithm used is the Cholesky factorization of a sparse symmetric positive positive definite matrix A = LL(T). The code can also compute the factorization A = LDL(T). The complexity of the software arises from several factors relating to the sparsity of the matrix A. A sparse N x N matrix A has typically less that cN nonzeroes where c is a small constant. If the matrix were dense, it would have O(N2) nonzeroes. The most complicated part of such sparse Cholesky factorization relates to fill-in, i.e., zeroes in the original matrix that become nonzeroes in the factor L. An efficient implementation depends to a large extent on complex data structures and on techniques from graph theory to reduce, identify, and manage fill. DSCPACK is based on an efficient multifrontal implementation with fill-managing algorithms and implementation arising from earlier research by Raghavan and others. Sparse Cholesky factorization is typically a four step process: (1) ordering to compute a fill-reducing numbering, (2) symbolic factorization to determine the nonzero structure of L, (3) numeric factorization to compute L, and, (4) triangular solution to solve L(T)x = y and Ly = b. The first two steps are symbolic and are performed using the graph of the matrix. The numeric factorization step is of dominant cost and there are several schemes for improving performance by exploiting the nested and dense structure of groups of columns in the factor. The latter are aimed at better utilization of the cache-memory hierarchy on modem processors to prevent cache-misses and provide execution rates (operations/second) that are close to the peak rates for dense matrix computations. Currently, EPISCOPACY is being used in an application at NASA directed by J. Newman and M. James. We propose the implementation of efficient schemes for updating the LL(T) or LDL(T) factors computed in DSCPACK-S to meet the computational requirements of their project. A brief description is provided in the next section.

Raghavan, Padma↗
NASA NTRS2007

Efficient Implementation of an Optimal Interpolator for Large Spatial Data Sets

Scattered data interpolation is a problem of interest in numerous areas such as electronic imaging, smooth surface modeling, and computational geometry. Our motivation arises from applications in geology and mining, which often involve large scattered data sets and a demand for high accuracy. The method of choice is ordinary kriging. This is because it is a best unbiased estimator. Unfortunately, this interpolant is computationally very expensive to compute exactly. For n scattered data points, computing the value of a single interpolant involves solving a dense linear system of size roughly n x n. This is infeasible for large n. In practice, kriging is solved approximately by local approaches that are based on considering only a relatively small'number of points that lie close to the query point. There are many problems with this local approach, however. The first is that determining the proper neighborhood size is tricky, and is usually solved by ad hoc methods such as selecting a fixed number of nearest neighbors or all the points lying within a fixed radius. Such fixed neighborhood sizes may not work well for all query points, depending on local density of the point distribution. Local methods also suffer from the problem that the resulting interpolant is not continuous. Meyer showed that while kriging produces smooth continues surfaces, it has zero order continuity along its borders. Thus, at interface boundaries where the neighborhood changes, the interpolant behaves discontinuously. Therefore, it is important to consider and solve the global system for each interpolant. However, solving such large dense systems for each query point is impractical. Recently a more principled approach to approximating kriging has been proposed based on a technique called covariance tapering. The problems arise from the fact that the covariance functions that are used in kriging have global support. Our implementations combine, utilize, and enhance a number of different approaches that have been introduced in literature for solving large linear systems for interpolation of scattered data points. For very large systems, exact methods such as Gaussian elimination are impractical since they require 0(n(exp 3)) time and 0(n(exp 2)) storage. As Billings et al. suggested, we use an iterative approach. In particular, we use the SYMMLQ method, for solving the large but sparse ordinary kriging systems that result from tapering. The main technical issue that need to be overcome in our algorithmic solution is that the points' covariance matrix for kriging should be symmetric positive definite. The goal of tapering is to obtain a sparse approximate representation of the covariance matrix while maintaining its positive definiteness. Furrer et al. used tapering to obtain a sparse linear system of the form Ax = b, where A is the tapered symmetric positive definite covariance matrix. Thus, Cholesky factorization could be used to solve their linear systems. They implemented an efficient sparse Cholesky decomposition method. They also showed if these tapers are used for a limited class of covariance models, the solution of the system converges to the solution of the original system. Matrix A in the ordinary kriging system, while symmetric, is not positive definite. Thus, their approach is not applicable to the ordinary kriging system. Therefore, we use tapering only to obtain a sparse linear system. Then, we use SYMMLQ to solve the ordinary kriging system. We show that solving large kriging systems becomes practical via tapering and iterative methods, and results in lower estimation errors compared to traditional local approaches, and significant memory savings compared to the original global system. We also developed a more efficient variant of the sparse SYMMLQ method for large ordinary kriging systems. This approach adaptively finds the correct local neighborhood for each query point in the interpolation process.

Memarsadeghi, Nargess↗
NASA NTRS1989

Communication requirements of sparse Cholesky factorization with nested dissection ordering

Load distribution schemes for minimizing the communication requirements of the Cholesky factorization of dense and sparse, symmetric, positive definite matrices on multiprocessor systems are presented. The total data traffic in factoring an n x n sparse symmetric positive definite matrix representing an n-vertex regular two-dimensional grid graph using n exp alpha, alpha not greater than 1, processors are shown to be O(n exp 1 + alpha/2). It is O(n), when n exp alpha, alpha not smaller than 1, processors are used. Under the conditions of uniform load distribution, these results are shown to be asymptotically optimal.

Naik, Vijay K.↗
NASA NTRS1988

Data traffic reduction schemes for sparse Cholesky factorizations

Load distribution schemes are presented which minimize the total data traffic in the Cholesky factorization of dense and sparse, symmetric, positive definite matrices on multiprocessor systems with local and shared memory. The total data traffic in factoring an n x n sparse, symmetric, positive definite matrix representing an n-vertex regular 2-D grid graph using n (sup alpha), alpha is equal to or less than 1, processors are shown to be O(n(sup 1 + alpha/2)). It is O(n(sup 3/2)), when n (sup alpha), alpha is equal to or greater than 1, processors are used. Under the conditions of uniform load distribution, these results are shown to be asymptotically optimal. The schemes allow efficient use of up to O(n) processors before the total data traffic reaches the maximum value of O(n(sup 3/2)). The partitioning employed within the scheme, allows a better utilization of the data accessed from shared memory than those of previously published methods.

Naik, Vijay K.↗
NASA NTRS1996

Preserving Symmetry in Preconditioned Krylov Subspace Methods

We consider the problem of solving a linear system Ax = b when A is nearly symmetric and when the system is preconditioned by a symmetric positive definite matrix M. In the symmetric case, one can recover symmetry by using M-inner products in the conjugate gradient (CG) algorithm. This idea can also be used in the nonsymmetric case, and near symmetry can be preserved similarly. Like CG, the new algorithms are mathematically equivalent to split preconditioning, but do not require M to be factored. Better robustness in a specific sense can also be observed. When combined with truncated versions of iterative methods, tests show that this is more effective than the common practice of forfeiting near-symmetry altogether.

Chan, Tony F.↗
NASA NTRS1990

A parallel-vector algorithm for rapid structural analysis on high-performance computers

A fast, accurate Choleski method for the solution of symmetric systems of linear equations is presented. This direct method is based on a variable-band storage scheme and takes advantage of column heights to reduce the number of operations in the Choleski factorization. The method employs parallel computation in the outermost DO-loop and vector computation via the 'loop unrolling' technique in the innermost DO-loop. The method avoids computations with zeros outside the column heights, and as an option, zeros inside the band. The close relationship between Choleski and Gauss elimination methods is examined. The minor changes required to convert the Choleski code to a Gauss code to solve non-positive-definite symmetric systems of equations are identified. The results for two large-scale structural analyses performed on supercomputers, demonstrate the accuracy and speed of the method.

Storaasli, Olaf O.↗
NASA NTRS1990

A parallel-vector algorithm for rapid structural analysis on high-performance computers

A fast, accurate Choleski method for the solution of symmetric systems of linear equations is presented. This direct method is based on a variable-band storage scheme and takes advantage of column heights to reduce the number of operations in the Choleski factorization. The method employs parallel computation in the outermost DO-loop and vector computation via the loop unrolling technique in the innermost DO-loop. The method avoids computations with zeros outside the column heights, and as an option, zeros inside the band. The close relationship between Choleski and Gauss elimination methods is examined. The minor changes required to convert the Choleski code to a Gauss code to solve non-positive-definite symmetric systems of equations are identified. The results for two large scale structural analyses performed on supercomputers, demonstrate the accuracy and speed of the method.

Storaasli, Olaf O.↗
NASA NTRS1970

Sorting and ordering sparse linear systems

Transformations of sparse linear systems by row-column permutations are considered and various algorithms are constructed to transform arbitrary symmetric positive definite sparse matrices, as well as matrices in band form, doubly bordered band form, and doubly bordered block diagonal form.

Tewarson, R. P.↗
NASA NTRS1976

Multivariate normal integration

Monte Carlo program evaluates integrals over rectangular regions for dimensions less than six and over elliptical regions in bivariate case. Program gives positive definite symmetric variance/covariance matrix factorization and calculates reciprocal of lower triangular matrix and product of diagonal elements of triangular matrix.

Falls, L. W.↗
NASA NTRS1976

Recursive partitioned inversion of large (1500 x 1500) symmetric matrices

A recursive algorithm was designed to invert large, dense, symmetric, positive definite matrices using small amounts of computer core, i.e., a small fraction of the core needed to store the complete matrix. The described algorithm is a generalized Gaussian elimination technique. Other algorithms are also discussed for the Cholesky decomposition and step inversion techniques. The purpose of the inversion algorithm is to solve large linear systems of normal equations generated by working geodetic problems. The algorithm was incorporated into a computer program called SOLVE. In the past the SOLVE program has been used in obtaining solutions published as the Goddard earth models.

Putney, B. H.↗
NASA NTRS1976

Computation and sensitivity considerations of the Ricatti equation in spacecraft CMG steering laws

The steady-state matrix Ricatti equation is studied with respect to sensitivity and computational burden for a linear regulator controller in spacecraft. The class of systems studied use control moment gyros (CMGs) as the torque driver, assuming that the CMGs are free of gimbal stops. Different solution techniques are evaluated relative to computation time and accuracy to determine which solution method is most acceptable with respect to the prescribed requirements. It is shown that it is not feasible to eliminate off-diagonal Ricatti equation terms in the relevent updata equation due to their high sensitivity, that Potter's algebraic technique requires the least computation time of the methods studied, and that the simple Euler method yields the best results when accuracy and computation time are equally weighted. If an optimal linear regulator formulation is employed, a full Ricatti equation solution of n(n + 1)2 elements of the symmetric positive definite gain matrix which is the solution to the matrix Ricatti equation must be computed at each update cycle.

Colburn, B. K.↗
NASA NTRS1978

A split band-Cholesky equation solving strategy for finite element analysis of transient field problems

The paper describes the split-Cholesky strategy for banded matrices arising from the large systems of equations in certain fluid mechanics problems. The basic idea is that for a banded matrix the computation can be carried out in pieces, with only a small portion of the matrix residing in core. Mesh considerations are discussed by demonstrating the manner in which the assembly of finite element equations proceeds for linear trial functions on a triangular mesh. The FORTRAN code which implements the out-of-core decomposition strategy for banded symmetric positive definite matrices (mass matrices) of a coupled initial value problem is given.

Cooke, C. H.↗
NASA NTRS1982

Quadratic integer programming for large scale banded matrices

This paper is concerned with the integer quadratic program where the variables are constrained to belong to a given set of discrete values. This quadratic integer program is shown to be equivalent to a problem of finding the shortest path in a particular directed graph called a trellis when the matrix is a positive-definite symmetric banded matrix. An efficient procedure for solving this shortest path problem is presented which allows the solution of the integer quadratic program. This method is particularly effective when the half-bandwidth of the matrix is significantly smaller than its dimension.

Yan, T. Y.↗
NASA NTRS1984

Parallel triangularization of substructured finite element problems

Much of the computational effort of the finite element process involves the solution of a system of linear equations. The coefficient matrix of this system, known as the global stiffness matrix, is symmetric, positive definite, and generally sparse. An important technique for reducing the time required to solve this system is substructuring or matrix partitioning. Substructuring is based on the idea of dividing a structure into pieces, each of which can then be analyzed relatively indepenently. As a result of this division, each point in the finite element discretization is either interior to a substructure or on a boundary between substructures. Contributions to the global stiffness matrix from connections between boundary points from the K(bb) matrix are reported. The triangularization of a general K(bb) matrix on a parallel machine is specifically discussed.

Leuze, M. R.↗
NASA NTRS1986

Multi-color incomplete Cholesky conjugate gradient methods for vector computers

In this research, we are concerned with the solution on vector computers of linear systems of equations, Ax = b, where A is a larger, sparse symmetric positive definite matrix. We solve the system using an iterative method, the incomplete Cholesky conjugate gradient method (ICCG). We apply a multi-color strategy to obtain p-color matrices for which a block-oriented ICCG method is implemented on the CYBER 205. (A p-colored matrix is a matrix which can be partitioned into a pXp block matrix where the diagonal blocks are diagonal matrices). This algorithm, which is based on a no-fill strategy, achieves O(N/p) length vector operations in both the decomposition of A and in the forward and back solves necessary at each iteration of the method. We discuss the natural ordering of the unknowns as an ordering that minimizes the number of diagonals in the matrix and define multi-color orderings in terms of disjoint sets of the unknowns. We give necessary and sufficient conditions to determine which multi-color orderings of the unknowns correpond to p-color matrices. A performance model is given which is used both to predict execution time for ICCG methods and also to compare an ICCG method to conjugate gradient without preconditioning or another ICCG method. Results are given from runs on the CYBER 205 at NASA's Langley Research Center for four model problems.

Poole, E. L.↗
NASA NTRS1989

A language comparison for scientific computing on MIMD architectures

Choleski's method for solving banded symmetric, positive definite systems is implemented on a multiprocessor computer using three FORTRAN based parallel programming languages, the Force, PISCES and Concurrent FORTRAN. The capabilities of the language for expressing parallelism and their user friendliness are discussed, including readability of the code, debugging assistance offered, and expressiveness of the languages. The performance of the different implementations is compared. It is argued that PISCES, using the Force for medium-grained parallelism, is the appropriate choice for programming Choleski's method on the multiprocessor computer, Flex/32.

Jones, Mark T.↗
NASA NTRS1989

Data traffic reduction schemes for Cholesky factorization on asynchronous multiprocessor systems

Communication requirements of Cholesky factorization of dense and sparse symmetric, positive definite matrices are analyzed. The communication requirement is characterized by the data traffic generated on multiprocessor systems with local and shared memory. Lower bound proofs are given to show that when the load is uniformly distributed the data traffic associated with factoring an n x n dense matrix using n to the alpha power (alpha less than or equal 2) processors is omega(n to the 2 + alpha/2 power). For n x n sparse matrices representing a square root of n x square root of n regular grid graph the data traffic is shown to be omega(n to the 1 + alpha/2 power), alpha less than or equal 1. Partitioning schemes that are variations of block assignment scheme are described and it is shown that the data traffic generated by these schemes are asymptotically optimal. The schemes allow efficient use of up to O(n to the 2nd power) processors in the dense case and up to O(n) processors in the sparse case before the total data traffic reaches the maximum value of O(n to the 3rd power) and O(n to the 3/2 power), respectively. It is shown that the block based partitioning schemes allow a better utilization of the data accessed from shared memory and thus reduce the data traffic than those based on column-wise wrap around assignment schemes.

Naik, Vijay K.↗