Randomized numerical linear algebra: why you should care and how you can use it
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Murray, Riley John [Sandia National Laboratories (↗
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Results for “randomized numerical linear algebra”
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Gradient Coding With Iterative Block Leverage Score Sampling
Gradient coding is a method for mitigating straggling servers in a centralized computing network that uses erasure-coding techniques to distributively carry out first-order optimization methods. Randomized numerical linear algebra uses randomization to develop improved algorithms for large-scale linear algebra computations. In this study, we propose a method for distributed optimization that combines gradient coding and randomized numerical linear algebra. The proposed method uses a randomized ℓ 2 -subspace embedding and a gradient coding technique to distribute blocks of data to the computational nodes of a centralized network, and at each iteration the central server only requires a small number of computations to obtain the steepest descent update. The novelty of our approach is that the data is replicated according to importance scores, called block leverage scores, in contrast to most gradient coding approaches that uniformly replicate the data blocks. Furthermore, we do not require a decoding step at each iteration, avoiding a bottleneck in previous gradient coding schemes. We show that our approach results in a valid ℓ 2 -subspace embedding, and that our resulting approximation converges to the optimal solution.
97 MATHEMATICS AND COMPUTING↗
Yet Another NLA Library: T-LAPACK
In recent years, Randomized numerical linear algebra (RandNLA) proved to be more than a theoretical novelty: projects like RandLAPACK demonstrate its practical value across architectures, and projects like RandBLAS build trust in randomization as a tool for high-performance NLA. This BoF considers two main questions. First, what are the pressing issues in software standards and implementation that need to be resolved for RandNLA to become a core component of HPC? Second, how can we mobilize a community effort to make progress on these issues? The BoF will engage the audience to discuss the idea of growing the role of RandNLA in high-performance computing and what it would take to scale from niche prototypes to robust, production-quality software libraries.
97 MATHEMATICS AND COMPUTING↗
A Contextually-Aware Sensitivity Analysis to Guide the Design of Randomized Least Squares Solvers in Applications
Our work on the DOE-sponsored project “A Contextually-Aware Sensitivity Analysis to Guide the Design of Randomized Least Squares Solvers in Applications,” was an effort to address critical challenges in nu merical computing and its applications to optimization. The increasing demand for robust and scalable solutions to large-scale linear algebra problems has highlighted the limitations of traditional approaches, particularly in heterogeneous and extreme-scale computing environments. Randomized Numerical Linear Algebra (RandNLA) offers a promising framework to address these challenges, and this proposal builds on this foundation by introducing innovations in sensitivity analysis and computational adaptability.
97 MATHEMATICS AND COMPUTING↗
A Provably Accurate Randomized Sampling Algorithm for Logistic Regression
In statistics and machine learning, logistic regression is a widely-used supervised learning technique primarily employed for binary classification tasks. When the number of observations greatly exceeds the number of predictor variables, we present a simple, randomized sampling-based algorithm for logistic regression problem that guarantees high-quality approximations to both the estimated probabilities and the overall discrepancy of the model. Our analysis builds upon two simple structural conditions that boil down to randomized matrix multiplication, a fundamental and well-understood primitive of randomized numerical linear algebra. We analyze the properties of estimated probabilities of logistic regression when leverage scores are used to sample observations, and prove that accurate approximations can be achieved with a sample whose size is much smaller than the total number of observations. To further validate our theoretical findings, we conduct comprehensive empirical evaluations. Overall, our work sheds light on the potential of using randomized sampling approaches to efficiently approximate the estimated probabilities in logistic regression, offering a practical and computationally efficient solution for large-scale datasets.
Chowdhury, Agniva↗
Surrogate-Based Autotuning for Randomized Sketching Algorithms in Regression Problems
Algorithms from Randomized Numerical Linear Algebra (RandNLA) are known to be effective in handling high-dimensional computational problems, providing high-quality empirical performance as well as strong probabilistic guarantees. However, their practical application is complicated by the fact that the user needs to set various algorithm-specific tuning parameters which are different from those used in traditional NLA. This paper demonstrates how a surrogate-based autotuning approach can be used to address fundamental problems of parameter selection in RandNLA algorithms. In particular, we provide a detailed investigation of surrogate-based autotuning for sketch-and-precondition (SAP)-based randomized least squares methods, which have been one of the great success stories in modern RandNLA. Empirical results show that our surrogate-based autotuning approach can achieve near-optimal performance with much less tuning cost than a random search (up to about 7.6x fewer trials of different parameter configurations). Moreover, while our experiments focus on least squares, our results demonstrate a general-purpose autotuning pipeline applicable to any kind of RandNLA algorithm.
Cho, Younghyun↗
Leverage Score Sampling for Parametric PDEs (Final Technical Report)
This final technical report summarizes the accomplishments of work performed under DOE Office of Science Award DE-SC0022266, which is titled “Leverage Score Sampling for Parametric PDEs”. The goal of the project was to extend methods from Randomized Numerical Linear Algebra (RandNLA) to tackle central computational challenges in model order reduction and uncertainty quantification (UQ) for parametric partial differential equations (PDEs). In particular, we sought to use importance sampling methods originally developed for RandNLA to develop sample efficient active learning algorithms for approximating high-dimensional scalar functions, e.g. by polynomials, Gaussian process models, and simple neural networks. Such methods can be immediately applied to developing surrogate models or to approximating quantity of interest (QoI) surfaces. In the context of PDEs, each sample used for learning equates to the solution of the differential equation for a particular set of parameters, so sample efficiency translates to improved computational efficiency for a variety of downstream tasks.
97 MATHEMATICS AND COMPUTING↗
Bringing randomized algorithms to mainstream numerical linear algebra
Numerical linear algebra (NLA) underpins huge swaths of computational science and engineering. For scientists and engineers to make the most of the DOE’s computing resources, it is essential that they have access to high-performance implementations of algorithms with best-in-class scalability and reliability. Despite this, prevailing NLA libraries have little to no support for breakthrough algorithms from the field of randomized numerical linear algebra (RandNLA) that have been developed over the past twenty years. The goal of this LDRD was to break a log-jam that had prevented broad adoption of RandNLA. Our work had two thrusts. The first was to develop RandBLAS: a trustworthy and high-performance C++ library for randomized dimension reduction (an operation widely known as sketching). The second was the development of a novel randomized algorithm for computing a challenging type of matrix decomposition known as Householder QR with column pivoting (Householder QRCP). In this one-year late-start LDRD we successfully delivered RandBLAS 1.0 and new CPU and GPU codes for Householder QRCP. RandBLAS has extensive documentation at https://randblas.readthedocs.io/en/stable/. Papers on RandBLAS and and our high-performance QRCP codes are forthcoming.
97 MATHEMATICS AND COMPUTING↗
Randomized Algorithms for Linear Solvers
Recently, randomized algorithms in numerical linear algebra, specifically those centered around random sketching, have gained traction in primarily theoretical research due to their potential to significantly reduce problem dimensionality at the cost of an O(1) multiplicative distortion factor. It has been assumed that this sketching can be done efficiently, but thorough investigation into how precisely to do it has been neglected. Moreover, the theory-based community has argued for sketching’s ability to reduce computational cost via complexity analysis, but has not researched how it affects the stability of the algorithms. At Sandia, efficient linear solvers that scale well on modern HPC architectures while maintaining stability are imperative for practical applications. In this LDRD, we developed a random sketching strategy that is substantially faster than existing ones, and demonstrate its superior performance in practice on a NVIDIA H100 GPU. Moreover, we show how this can be used to significantly outperform existing linear least squares solvers while improving the solver’s stability as well. Additionally, we demonstrate how this sketching strategy can be used to make a fast, stable QR factorization that can subsequently be used in s-step and block Krylov solvers. Finally, we incorporate a sketching-based block orthogonalization scheme into s-step GMRES, which is stable and faster than existing approaches on the Perlmutter supercomputer.
97 MATHEMATICS AND COMPUTING↗
Butterfly Factorization Via Randomized Matrix-Vector Multiplications
This paper presents an adaptive randomized algorithm for computing the butterfly factorization of an m × n matrix with m ≈ n provided that both the matrix and its transpose can be rapidly applied to arbitrary vectors. The resulting factorization is composed of O(log n) sparse factors, each containing O(n) nonzero entries. The factorization can be attained using O(n 3/2 log n) computation and O(n log n) memory resources. Furthermore, the proposed algorithm can be implemented in parallel and can apply to matrices with strong or weak admissibility conditions arising from surface integral equation solvers as well as multi-frontal-based finite-difference, finite-element, or finite-volume solvers. A distributed-memory parallel implementation of the algorithm demonstrates excellent scaling behavior.
97 MATHEMATICS AND COMPUTING↗
Computing rank‐revealing factorizations of matrices stored out‐of‐core
This paper describes efficient algorithms for computing rank-revealing factorizations of matrices that are too large to fit in main memory (RAM), and must instead be stored on slow external memory devices such as disks (out-of-core or out-of-memory). Traditional algorithms for computing rank-revealing factorizations (such as the column pivoted QR factorization and the singular value decomposition) are very communication intensive as they require many vector-vector and matrix-vector operations, which become prohibitively expensive when data is not in RAM. Randomization allows to reformulate new methods so that large contiguous blocks of the matrix are processed in bulk. The paper describes two distinct methods. The first is a blocked version of column pivoted Householder QR, organized as a “left-looking” method to minimize the number of the expensive write operations. The second method results employs a UTV factorization. It is organized as an algorithm-by-blocks to overlap computations and I/O operations. As it incorporates power iterations, it is much better at revealing the numerical rank. Numerical experiments on several computers demonstrate that the new algorithms are almost as fast when processing data stored on slow memory devices as traditional algorithms are for data stored in RAM.
97 MATHEMATICS AND COMPUTING↗
Tensor Decompositions for Count Data that Leverage Stochastic and Deterministic Optimization
There is growing interest to extend low-rank matrix decompositions to multi-way arrays, or tensors. One fundamental low-rank tensor decomposition is the canonical polyadic decomposition (CPD). The challenge of fitting a low-rank, nonnegative CPD model to Poisson-distributed count data is of particular interest. Several popular algorithms use local search methods to approximate the global maximum likelihood estimator from local minima. Simultaneously, a recent trend in theoretical computer science and numerical linear algebra leverages randomization to solve very large, hard problems. The typical approach is to use randomization for a fast approximation and determinism for refinement to yield effective algorithms with theoretical guarantees. Two popular algorithms for Poisson CPD reflect that emergent dichotomy: CP Alternating Poisson Regression is a deterministic algorithm and Generalized Canonical Polyadic decomposition makes use of stochastic algorithms in several variants. This work extends recent work to develop two new methods that leverage randomized and deterministic algorithms for improved accuracy and performance.
97 MATHEMATICS AND COMPUTING↗
Randomized Algorithms for Low-Rank Matrix and Tensor Decompositions
This paper surveys randomized algorithms in numerical linear algebra for low-rank decompositions of matrices and tensors. The survey begins with a review of classical matrix algorithms that can be accelerated by randomized dimensionality reduction, such as the singular value decomposition (SVD) or interpolative (ID) and CUR decompositions. Recent advances in randomized dimensionality reduction are discussed, including new methods of fast matrix sketching and sampling techniques, which are incorporated into classical matrix algorithms for fast low-rank matrix approximations. The extension of randomized matrix algorithms to tensors is then explored for several low-rank tensor decompositions in the CP and Tucker formats, including the higher-order SVD, ID, and CUR decomposition.
Pearce, Katherine J. [The University of Texas at A↗
On unifying randomized methods for inverse problems
This work unifies the analysis of various randomized methods for solving linear and nonlinear inverse problems with Gaussian priors by framing the problem in a stochastic optimization setting. By doing so, we show that many randomized methods are variants of a sample average approximation (SAA). More importantly, we are able to prove a single theoretical result that guarantees the asymptotic convergence for a variety of randomized methods. Additionally, viewing randomized methods as an SAA enables us to prove, for the first time, a single non-asymptotic error result that holds for randomized methods under consideration. Another important consequence of our unified framework is that it allows us to discover new randomization methods. Here, we present various numerical results for linear, nonlinear, algebraic, and PDE-constrained inverse problems that verify the theoretical convergence results and provide a discussion on the apparently different convergence rates and the behavior for various randomized methods.
42 ENGINEERING↗
Fast truncated SVD of sparse and dense matrices on graphics processors
We investigate the solution of low-rank matrix approximation problems using the truncated singular value decomposition (SVD). For this purpose, we develop and optimize graphics processing unit (GPU) implementations for the randomized SVD and a blocked variant of the Lanczos approach. Our work takes advantage of the fact that the two methods are composed of very similar linear algebra building blocks, which can be assembled using numerical kernels from existing high-performance linear algebra libraries. Furthermore, the experiments with several sparse matrices arising in representative real-world applications and synthetic dense test matrices reveal a performance advantage of the block Lanczos algorithm when targeting the same approximation accuracy.
Computer Science↗
Ensemble Simulation Techniques and Fast Randomized Algorithms
The major goals of the project were to develop and analyze new ensemble simulation techniques, including trajectory stratification and preconditioned MCMC techniques, as well as develop fast numerical linear algebra techniques closely related to ensemble simulation ideas. The trajectory stratification techniques involve simulating in parallel short trajectory fragments of a Markov process confined to a specific region of space‐time and then patching together the statistics gathered to assemble estimates of very general dynamical properties. We have also developed this approach for rare event simulation and extended the techniques to applications requiring a more general framework (such as electronic structure calculations). The preconditioned MCMC techniques involve simulating multiple Markov chains in parallel and then using information from the ensemble to speed the mixing of each individual chain. The fast randomized linear algebra methods are motivated by the diffusion Monte Carlo technique, but are applicable to finding the dominant eigenvalue of (almost) general matrices. For most non‐negative matrices, the schemes result in an error (compared to the power method) that is constant in the dimension of the problem. For more general matrices, we see a very clear sublinear cost trend in computational tests.
73 NUCLEAR PHYSICS AND RADIATION PHYSICS↗
Numerical simulation of the nonlinear response of composite plates under combined thermal and acoustic loading
A time-domain study of the random response of a laminated plate subjected to combined acoustic and thermal loads is carried out. The features of this problem also include given uniform static inplane forces. The formulation takes into consideration a possible initial imperfection in the flatness of the plate. High decibel sound pressure levels along with high thermal gradients across thickness drive the plate response into nonlinear regimes. This calls for the analysis to use von Karman large deflection strain-displacement relationships. A finite element model that combines the von Karman strains with the first-order shear deformation plate theory is developed. The development of the analytical model can accommodate an anisotropic composite laminate built up of uniformly thick layers of orthotropic, linearly elastic laminae. The global system of finite element equations is then reduced to a modal system of equations. Numerical simulation using a single-step algorithm in the time-domain is then carried out to solve for the modal coordinates. Nonlinear algebraic equations within each time-step are solved by the Newton-Raphson method. The random gaussian filtered white noise load is generated using Monte Carlo simulation. The acoustic pressure distribution over the plate is capable of accounting for a grazing incidence wavefront. Numerical results are presented to study a variety of cases.
Mei, Chuh↗
Symmetric Random Butterfly Transform (SRBT) Based Preconditioner
Summary of work using Symmetric Random Butterfly Transformation (SRBT) in conjunction with Incomplete LDL T factorization as a preconditioner for FGMRES solver as a way of solving linear systems arising from interior point methods applied to power system problems. These linear systems have proven difficult to parallelize and this represents a possible route forward.
interior point optimization↗