Batched OMP: Fast Orthogonal Matching Pursuit for CPU and GPU

Paper: Efficient Batched CPU/GPU Implementation of Orthogonal Matching Pursuit for Python

Batched implementation of Orthogonal Matching Pursuit (OMP) using BLAS (CPU) and PyTorch (GPU). The fastest GPU implementation of OMP — up to 26x faster than SPAMS (C++) while being pure Python/PyTorch. Up to 310x faster than scikit-learn on GPU.

Speedup vs scikit-learn

† v0_blas (inverse Cholesky + Cython BLAS) wins on CPU for face recognition due to large n_features (8064).

Hardware: Intel Xeon 8559C, NVIDIA RTX PRO 6000 Blackwell 102 GB (AWS g7e.8xlarge)

There is no other production-ready GPU implementation of OMP. Existing alternatives either crash on overcomplete dictionaries (cr-sparse) or are CPU-only (sklearn, SPAMS). Batched OMP is the fastest OMP implementation available when you have a GPU.

When to use orthogonal-matching-pursuit-gpu

• Have a GPU? Use orthogonal-matching-pursuit-gpu — there is nothing faster. 12-26x faster than SPAMS (C++) across all realistic configs
• CPU only, want a sklearn drop-in? 4-5x faster, same API, no C dependencies
• CPU only, maximum speed? SPAMS is faster (C++ with OpenMP) but harder to install and requires Python ≤3.11 (depends on deprecated numpy.distutils)
• Few signals or small problems? sklearn is fine — batching helps most with hundreds+ of signals

Installation

pip install orthogonal-matching-pursuit-gpu

Requires Python 3.10+ and a C compiler (for Cython BLAS extensions). Installs PyTorch automatically.

For GPU support, install PyTorch with CUDA before installing orthogonal-matching-pursuit-gpu, or it will default to CPU-only PyTorch.

For development:

pip install -e ".[dev]"

Quick Start

from orthogonal_matching_pursuit_gpu import run_omp
import torch

# Dictionary X: (n_features, n_components), signals y: (n_samples, n_features)
X = torch.randn(256, 1024, dtype=torch.float64)
X /= X.norm(dim=0)  # normalize columns
y = torch.randn(5000, 256, dtype=torch.float64)

# Solve: find 32-sparse representations of y in dictionary X
coefs = run_omp(X, y, n_nonzero_coefs=32, normalize=False, fit_intercept=False)
# coefs: (5000, 1024) — sparse coefficient matrix

GPU — just move tensors to CUDA:

coefs_gpu = run_omp(X.cuda(), y.cuda(), n_nonzero_coefs=32,
                    normalize=False, fit_intercept=False)

NumPy arrays work too — they're converted to tensors internally:

coefs = run_omp(X_numpy, y_numpy, n_nonzero_coefs=32)

Drop-in sklearn Replacement

Swap one import and get automatic GPU acceleration — works with Pipeline, GridSearchCV, cross_val_score:

# Before (sklearn, CPU only):
from sklearn.linear_model import OrthogonalMatchingPursuit
omp = OrthogonalMatchingPursuit(n_nonzero_coefs=10)

# After (orthogonal-matching-pursuit-gpu, automatic GPU):
from orthogonal_matching_pursuit_gpu import BatchedOrthogonalMatchingPursuit
omp = BatchedOrthogonalMatchingPursuit(n_nonzero_coefs=10)

# Same API
omp.fit(X_train, y_train)
predictions = omp.predict(X_test)
coef = omp.coef_          # (n_features,) or (n_targets, n_features)
intercept = omp.intercept_ # float or (n_targets,)

Extra parameters beyond sklearn's API: device ("auto", "cpu", "cuda"), algorithm ("v0", "v0_blas"), normalize (default True).

API

run_omp(X, y, n_nonzero_coefs, precompute=True, tol=0.0,
        normalize=True, fit_intercept=True, alg='v0')

Returns a (n_samples, n_components) tensor of sparse coefficients.

Algorithms

All algorithms are batched — they solve B sparse coding problems in parallel using matrix operations instead of looping over samples.

Project Structure

src/orthogonal_matching_pursuit_gpu/           — the library (torch + numpy + scipy, no sklearn)
    omp.py                 — run_omp, omp_naive, omp_v0, omp_v0_blas
    utils.py               — batch_mm, innerp, cholesky_solve, elapsed_timer
    blas_kernels/           — Cython BLAS wrappers (daxpy, dgemv, dppsv, idamax)
benchmarks/
    benchmarks.py          — benchmarking harness with sklearn baseline
    plot_results.py        — generates the 3-panel figure above
    results/               — benchmark outputs and plots

Running Benchmarks

# Realistic configs (image patches, face recognition, audio)
python benchmarks/benchmarks.py all

# Parameter sweep: N x B x S heatmaps (takes ~20 min)
python benchmarks/benchmarks.py sweep
python benchmarks/plot_sweep.py

# Ablation study: isolates contribution of batching, Gram precomputation, inverse Cholesky
python benchmarks/benchmarks.py ablation
python benchmarks/plot_ablation.py

# CPU only
python benchmarks/benchmarks.py image_patches --no-gpu

Ablation results show that batching is the dominant optimization — processing all signals simultaneously provides 4-750x speedup over single-sample loops. Gram precomputation and inverse Cholesky contribute 1-2x each.

Citation

@article{lubonja2024efficient,
  title={Efficient batched CPU/GPU implementation of orthogonal matching pursuit for Python},
  author={Lubonja, Ariel and Pr{\"a}sius, Sebastian Kazmarek and Tran, Trac Duy},
  journal={arXiv preprint arXiv:2407.06434},
  year={2024}
}