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Low synchronization Gram–Schmidt and generalized minimal residual algorithms
Numerical Linear Algebra with Applications ( IF 1.8 ) Pub Date : 2020-10-22 , DOI: 10.1002/nla.2343
Katarzyna Świrydowicz 1 , Julien Langou 2 , Shreyas Ananthan 1 , Ulrike Yang 3 , Stephen Thomas 1
Affiliation  

The Gram–Schmidt process uses orthogonal projection to construct the A = QR factorization of a matrix. When Q has linearly independent columns, the operator P = I − Q(QTQ)−1QT defines an orthogonal projection onto Q. In finite precision, Q loses orthogonality as the factorization progresses. A family of approximate projections is derived with the form P = I − QTQT, with correction matrix T. When T = (QTQ)−1, and T is triangular, it is postulated that the best achievable orthogonality is 𝒪 ( ε ) κ ( A ) . We present new variants of modified (MGS) and classical Gram–Schmidt algorithms that require one global reduction step. An interesting form of the projector leads to a compact WY representation for MGS. In particular, the inverse compact WY MGS algorithm is equivalent to a lower triangular solve. Our main contribution is to introduce a backward normalization lag into the compact WY representation, resulting in a 𝒪 ( ε ) κ ( [ r 0 , A V m ] ) stable Generalized Minimal Residual Method (GMRES) algorithm that requires only one global reduce per iteration. Further improvements in performance are achieved by accelerating GMRES on GPUs.

中文翻译:

低同步Gram–Schmidt和广义最小残差算法

Gram–Schmidt过程使用正交投影来构造矩阵的A  =  QR分解。当Q具有线性独立的列中,操作者P  =  -  QQ Ť Q-1 Q Ť限定正交投影Q 。以有限的精度,随着分解的进行,Q失去正交性。近似突起的家庭是衍生自具有形式P  =  -  QTQ Ť,用校正矩阵Ť。什么时候T  =(Q T Q-1,并且T为三角形,假设最佳可实现正交性为 𝒪 ε κ 一个 。我们提出了改进的(MGS)和经典的Gram–Schmidt算法的新变体,它们需要一个全局归约步骤。投影机的一种有趣形式导致了MGS的紧凑WY表示。特别地,逆紧凑WY MGS算法等效于下三角解。我们的主要贡献是在压缩WY表示中引入了反向标准化滞后, 𝒪 ε κ [ [R 0 一个 V ] 稳定的通用最小残差方法(GMRES)算法,每次迭代仅需要全局减少一次。通过加速GPU上的GMRES,可以进一步提高性能。
更新日期:2020-10-22
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