RAL eigensolver for real symmetric and Hermitian problems
Project description
RALEIGH: RAL EIGensolver for real symmetric and Hermitian problems
RALEIGH is a Python implementation of the block Jacobiconjugated gradients algorithm for computing several eigenpairs (eigenvalues and corresponding eigenvectors) of large scale real symmetric and Hermitian problems.
Key features

Can be applied to both standard eigenvalue problem for a real symmetric or Hermitian matrix A and generalized eigenvalue problems for matrix pencils A  λ B or A B  λ I with positive definite real symmetric or Hermitian B.

Can employ either of the two known convergence improvement techniques for large sparse problems: shiftandinvert and preconditioning.

Can also compute singular values and vectors, and is actually an efficient tool for Principal Component Analysis (PCA) of dense data of large size, owing to the high efficiency of matrix multiplications on modern multicore and GPU architectures.

PCA capabilities include quick update of principal components after arrival of new data and incremental computation of principal components, dealing with one chunk of data at a time.

For sparse matrices of large size (~100K or larger), RALEIGH's
partial_hevp
eigensolver is much faster thaneigsh
from SciPy. The table below shows the computation times in seconds for computing the smallest eigenvalue of 3 matrices from DNVS group of Suitesparse Matrix Collection and the smallest buckling load factor of 4 buckling problems on Intel(R) Xeon(R) CPU E31220 v3 @ 3.10GHz (the links to matrices' repositories can be found insparse_evp.py
andbuckling_evp.py
in subfolderraleigh/examples
).matrix size eigsh partial_hevp shipsec1 140874 240 6.9 shipsec5 179860 318 5.3 x104 108384 225 5.2 panel_buckle_d 74383 26 1.4 panel_buckle_e 144823 85 2.5 panel_buckle_f 224522 135 3.8 panel_buckle_g 394962 321 7.2 
Similarly, for large data (~10K samples with ~10K features or larger) that has large amount of redundancy, RALEIGH's
pca
function is considerably faster thanfit_ransform
method of scikitlearn and uses less memory. The next table shows the computation times for PCA of images obtained by processing images from Labeled Faces in the Wild (background outside face area erased, mirror images added etc.  seeraleigh/examples/eigenimages/convert_lfw.py
for the link to Labeled Faces in the Wild images and to Dropbox folder containing the filelfwdf_wmi_175x225_fa_12K.npy
with 12K processed images used in the reported comparison).components scikitlearn raleigh (CPU) raleigh (GPU) 800 59 23 10 900 65 25 11 1000 68 27 12 1100 76 29 13 
If the number of eigenvalues needed is not known in advance (as is normally the case with PCA), the computation will continue until userspecified stopping criteria are satisfied (e.g. PCA approximation to the data is satisfactory).

The core solver allows user to specify the number of wanted eigenvalues
 on either margin of the spectrum (e.g. 5 on the left, 10 on the right)
 of largest magnitude
 on either side of a given real value
 nearest to a given real value

The core solver is written in terms of abstract vectors, owing to which it will work on any architecture verbatim, as long as basic linear algebra operations on vectors are implemented. Currently, MKL and CUBLAS implementations are provided with the package, in the absence of these libraries NumPy algebra being used.
Dependencies
For best performance, install MKL 10.3 or later. On Linux, the latest MKL can be installed by pip install user mkl
. On Windows, one can alternatively install numpy+mkl. If MKL is installed in any other way, make sure that, on Linux, the folder containing libmkl_rt.so
is listed in LD_LIBRARY_PATH
, and, on Windows, the one containing mkl_rt.dll
is listed in PATH
. If you do not know how to do it, then put from raleigh.algebra import env
in your script and set env.mkl_path
to that folder. Large sparse problems can only be solved if MKL is available, PCA and other dense problems can be tackled without it.
To use GPU (which must be CUDAenabled), NVIDIA GPU Computing Toolkit needs to be installed. On Linux, the folder containing libcudart.so
must be listed in LD_LIBRARY_PATH
. At present, GPU can only be used for dense (SVDrelated) problems.
Package structure
Basic use subpackages
Subpackage interfaces
contains userfriendly SciPylike interfaces to core solver working in terms of NumPy and SciPy data objects. Subpackage examples
contains scripts illustrating their use, as well as a script illustrating basic capabilities of the core solver.
Advanced use subpackages
Subpackage algebra
contains NumPy, MKL and CUBLAS implementations of abstract vectors algebra. These can be used as templates for user's own implementations. Subpackage core
contains the core solver implementation and related data objects definitions.
Basic usage
To compute 10 eigenvalues closest to 0.25 of a sparse real symmetric or Hermitian matrix A
in SciPy format:
from raleigh.interfaces.partial_hevp import partial_hevp
lmd, x, status = partial_hevp(A, which=10, sigma=0.25)
# lmd : eigenvalues
# x : eigenvectors
# status : execution status
To compute 10 smallest eigenvalues of a sparse positive definite real symmetric or Hermitian matrix A
using its incomplete LUfactorization as the preconditioner:
from raleigh.interfaces.partial_hevp import partial_hevp
from raleigh.algebra.sparse_mkl import IncompleteLU as ILU
T = ILU(A)
T.factorize()
lmd, x, status = partial_hevp(A, which=10, T=T)
To compute 10 lowest buckling load factors α of the buckling problem (K + α Ks)v = 0 with stiffness matrix K and stress stiffness matrix Ks using load factor shift 1.0:
from raleigh.interfaces.partial_hevp import partial_hevp
alpha, v, status = partial_hevp(K, Ks, buckling=True, sigma=1.0, which=10)
To compute 100 principal components for the dataset represented by the 2D matrix A
with data samples as rows:
from raleigh.interfaces.pca import pca
mean, trans, comps = pca(A, npc=100)
# mean : the average of data samples
# trans : transformed (reduced features) data set
# comps : the matrix with principal components as rows
To compute a number of principal components sufficient to approximate A
with 5% tolerance to the relative PCA error (the ratio of the Frobenius norm of trans*comps  A_s
to that of A_s
, where the rows of A_s
are the original data samples shifted by mean
):
mean, trans, comps = pca(A, tol=0.05)
To quickly update mean
, trans
and comps
taking into account new data A_new
:
mean, trans, comps = pca(A_new, have=(mean, trans, comps))
To compute 5% accuracy PCA approximation incrementally by processing 1000 data samples at a time:
mean, trans, comps = pca(A, tol=0.05, batch_size=1000)
Documentation
Documenting RALEIGH is still work in progress at the moment due to the large size of the package and other commitments of the author. Basic usage of the package is briefly described in the docstrings of modules in interfaces
and examples
. Advanced users will find the description of basic principles of RALEIGH's design in core
module solver
.
The mathematical and numerical aspects of the algorithm implemented by RALEIGH are described in the papers by E. E. Ovtchinnikov in J. Comput. Phys. 227:94779497 and SIAM Numer. Anal. 46:25672619. A Fortran90 implementation of this algorithm was used in a paper on Topology Optimization by P.D. Dunning, E. Ovtchinnikov, J. Scott and H.A. Kim in International Journal for Numerical Methods in Engineering 107 (12), 10291053 (the four buckling problems mentioned above were used for the performance testing and comparisons with ARPACK). A prerelease version of RALEIGH was used in a paper by A. Liptak, G. Burca, J. Kelleher, E. Ovtchinnikov, J. Maresca and A. Horner in Journal of Physics Communications 3 (11), 113002.
Feedback
Please use GitHub issue tracker or send an email to Evgueni to report bugs and request features.
License
RALEIGH is released under 3clause BSD licence.
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