1. Minimizing Communication in Numerical Linear Algebra www.cs.berkeley.edu/~demmel Optimizing Krylov Subspace Methods Jim Demmel EECS & Math Departments, UC Berkeley demmel@cs.berkeley.edu

2. Outline of Lecture 8: Optimizing Krylov Subspace Methods k-steps of typical iterative solver for Ax=b or Ax=λx –Does k SpMVs with starting vector (eg with b, if solving Ax=b) –Finds “best” solution among all linear combinations of these k+1 vectors –Many such “Krylov Subspace Methods” Conjugate Gradients, GMRES, Lanczos, Arnoldi, … Goal: minimize communication in Krylov Subspace Methods –Assume matrix “well-partitioned,” with modest surface-to-volume ratio –Parallel implementation Conventional: O(k log p) messages, because k calls to SpMV New: O(log p) messages - optimal –Serial implementation Conventional: O(k) moves of data from slow to fast memory New: O(1) moves of data – optimal Lots of speed up possible (modeled and measured) –Price: some redundant computation 2 Summer School Lecture 8

3. x Ax A2xA2x A3xA3x A4xA4x A5xA5x A6xA6x A7xA7x A8xA8x Locally Dependent Entries for [x,Ax], A tridiagonal, 2 processors Can be computed without communication Proc 1 Proc 2 3 Summer School Lecture 8

4. x Ax A2xA2x A3xA3x A4xA4x A5xA5x A6xA6x A7xA7x A8xA8x Can be computed without communication Proc 1 Proc 2 Locally Dependent Entries for [x,Ax,A 2 x], A tridiagonal, 2 processors 4 Summer School Lecture 8

5. x Ax A2xA2x A3xA3x A4xA4x A5xA5x A6xA6x A7xA7x A8xA8x Can be computed without communication Proc 1 Proc 2 Locally Dependent Entries for [x,Ax,…,A 3 x], A tridiagonal, 2 processors 5 Summer School Lecture 8

6. x Ax A2xA2x A3xA3x A4xA4x A5xA5x A6xA6x A7xA7x A8xA8x Can be computed without communication Proc 1 Proc 2 Locally Dependent Entries for [x,Ax,…,A 4 x], A tridiagonal, 2 processors 6 Summer School Lecture 8

7. x Ax A2xA2x A3xA3x A4xA4x A5xA5x A6xA6x A7xA7x A8xA8x Locally Dependent Entries for [x,Ax,…,A 8 x], A tridiagonal, 2 processors Can be computed without communication k=8 fold reuse of A Proc 1 Proc 2 7

8. Remotely Dependent Entries for [x,Ax,…,A 8 x], A tridiagonal, 2 processors x Ax A2xA2x A3xA3x A4xA4x A5xA5x A6xA6x A7xA7x A8xA8x One message to get data needed to compute remotely dependent entries, not k=8 Minimizes number of messages = latency cost Price: redundant work  “surface/volume ratio” Proc 1 Proc 2 8

9. Spyplot of A with sparsity pattern of a 5 point stencil, natural order 9

10. 10 Summer School Lecture 8

11. Spyplot of A with sparsity pattern of a 5 point stencil, natural order, assigned to p=9 processors 11 For n x n mesh assigned to p processors, each processor needs 2n data from neighbors

12. Spyplot of A with sparsity pattern of a 5 point stencil, nested dissection order 12

13. Spyplot of A with sparsity pattern of a 5 point stencil, nested dissection order 13 For n x n mesh assigned to p processors, each processor needs 4n/p 1/2 data from neighbors

14. Remotely Dependent Entries for [x,Ax,…,A 3 x], A with sparsity pattern of a 5 point stencil 14

15. Remotely Dependent Entries for [x,Ax,…,A 3 x], A with sparsity pattern of a 5 point stencil 15 Summer School Lecture 8

16. Remotely Dependent Entries for [x,Ax,A 2 x,A 3 x], A irregular, multiple processors 16

17. Remotely Dependent Entries for [x,Ax,…,A 8 x], A tridiagonal, 2 processors x Ax A2xA2x A3xA3x A4xA4x A5xA5x A6xA6x A7xA7x A8xA8x One message to get data needed to compute remotely dependent entries, not k=8 Minimizes number of messages = latency cost Price: redundant work  “surface/volume ratio” Proc 1 Proc 2 17

18. 18 Reducing redundant work for a tridiagonal matrix Summer School Lecture 8

19. Summary of Parallel Optimizations so far, for “Akx kernel”: (A,x,k)  [Ax,A 2 x,…,A k x] Possible to reduce #messages from O(k) to O(1) Depends on matrix being “well-partitioned” –Each processor only needs data from a few neighbors Price: redundant computation of some entries of A j x –Amount of redundant work depends on “surface to volume ratio” of partition: ideally each processor only needs a little data from neighbors, compared to what it owns itself Best case: tridiagonal (1D mesh): need O(1) data from nbrs, versus O(n/p) data locally; #flops grows by factor 1+O(k/(n/p)) = 1 + O(k/data_per_proc)  1 Pretty good: 2D mesh (n x n): need O(n/p 1/2 ) data from nbors, versus O(n 2 /p) locally; #flops grows by 1+O(k/(data_per_proc) 1/2 ) Less good: 3D mesh (n x n x n): need O(n 2 /p 2/3 ) data from nbors, versus O(n 3 /p) locally; #flops grows by 1+O(k/(data_per_proc) 1/3 ) 19 Summer School Lecture 8

20. Predicted speedup for model Petascale machine of [Ax,A 2 x,…,A k x] for 2D (n x n) Mesh log 2 n k 20

21. Predicted fraction of time spent doing arithmetic for model Petascale machine of [Ax,A 2 x,…,A k x] for 2D (n x n) Mesh 21 k log 2 n

22. Predicted ratio of extra arithmetic for model Petascale machine of [Ax,A 2 x,…,A k x] for 2D (n x n) Mesh 22 k log 2 n

23. Predicted speedup for model Petascale machine of [Ax,A 2 x,…,A k x] for 3D (n x n x n) Mesh log 2 n k 23

24. Predicted fraction of time spent doing arithmetic for model Petascale machine of [Ax,A 2 x,…,A k x] for 3D (n x n x n) Mesh 24 k log 2 n

25. Predicted ratio of extra arithmetic for model Petascale machine of [Ax,A 2 x,…,A k x] for 3D (n x n x n) Mesh 25 k log 2 n

26. Minimizing #messages versus #words_moved Parallel case –Can’t reduce #words needed from other processors –Required to get right answer Sequential case –Can reduce #words needed from slow memory –Assume A, x too large to fit in fast memory, –Naïve implementation of [Ax,A 2 x,…,A k x] by k calls to SpMV need to move A, x between fast and slow memory k times –We will move it  one time – clearly optimal 26 Summer School Lecture 8

27. Sequential [x,Ax,…,A 4 x], with memory hierarchy v One read of matrix from slow memory, not k=4 Minimizes words moved = bandwidth cost No redundant work 27

28. Remotely Dependent Entries for [x,Ax,…,A 3 x], A 100x100 with bandwidth 2 Only ~25% of A, vectors fits in fast memory 28

29. In what order should the sequential algorithm process a general sparse matrix? For a band matrix, we obviously want to process the matrix “from left to right”, since data we need for the next partition is already in fast memory Not obvious what best order is for a general matrix We can formulate question of finding the best order as a Traveling Salesman Problem (TSP) One vertex per matrix partition Weight of edge (j, k) is memory cost of processing partition k right after partition j TSP: find lowest cost “tour” visiting all vertices

30. What about multicore? Two kinds of communication to minimize –Between processors on the chip –Between on-chip cache and off-chip DRAM Use hybrid of both techniques described so far –Use parallel optimization so each core can work independently –Use sequential optimization to minimize off-chip DRAM traffic of each core 30 Summer School Lecture 8

31. Speedups on Intel Clovertown (8 core) Test matrices include stencils and practical matrices See SC09 paper on bebop.cs.berkeley.edu for details 31 Summer School Lecture 8

32. Minimizing Communication of GMRES to solve Ax=b GMRES: find x in span{b,Ab,…,A k b} minimizing || Ax-b || 2 Cost of k steps of standard GMRES vs new GMRES Standard GMRES for i=1 to k w = A · v(i-1) MGS(w, v(0),…,v(i-1)) update v(i), H endfor solve LSQ problem with H Sequential: #words_moved = O(k·nnz) from SpMV + O(k 2 ·n) from MGS Parallel: #messages = O(k) from SpMV + O(k 2 · log p) from MGS Communication-Avoiding GMRES … CA-GMRES W = [ v, Av, A 2 v, …, A k v ] [Q,R] = TSQR(W) … “Tall Skinny QR” Build H from R, solve LSQ problem Sequential: #words_moved = O(nnz) from SpMV + O(k·n) from TSQR Parallel: #messages = O(1) from computing W + O(log p) from TSQR Oops – W from power method, precision lost! 32

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34. How to make CA-GMRES Stable? Use a different polynomial basis for the Krylov subspace Not Monomial basis W = [v, Av, A 2 v, …], instead [v, p 1 (A)v,p 2 (A)v,…] Possible choices: Newton Basis W N = [v, (A – θ 1 I)v, (A – θ 2 I)(A – θ 1 I)v, …] where shifts θ i chosen as approximate eigenvalues from Arnoldi (using same Krylov subspace, so “free”) Chebyshev Basis W C = [v, T 1 (A)v, T 2 (A)v, …] where T 1 (z) chosen to be small in region of complex plane containing large eigenvalues Summer School Lecture 8 34

35. “Monomial” basis [Ax,…,A k x] fails to converge Newton polynomial basis does converge 35

36. Speed ups on 8-core Clovertown 36

37. Summary of what is known (1/3), open GMRES –Can independently choose k to optimize speed, restart length r to optimize convergence –Need to “co-tune” Akx kernel and TSQR –Know how to use more stable polynomial bases –Proven speedups Can similarly reorganize other Krylov methods –Arnoldi and Lanczos, for Ax = λx and for Ax = λMx –Conjugate Gradients, for Ax = b –Biconjugate Gradients, for Ax=b –BiCGStab? –Other Krylov methods? 37 Summer School Lecture 8

38. Summary of what is known (2/3), open Preconditioning: MAx = Mb –Need different communication-avoiding kernel: [x,Ax,MAx,AMAx,MAMAx,AMAMAx,…] –Can think of this as union of two of the earlier kernels [x,(MA)x,(MA) 2 x,…,(MA) k x] and [x,Ax,(AM)Ax,(AM) 2 Ax,…,(AM) k Ax] –For which preconditioners M can we minimize communication? Easy: diagonal M How about block diagonal M? 38 Summer School Lecture 8

39. Examine [x,Ax,MAx,AMAx,MAMAx,…] for A tridiagonal, M block-diagonal Summer School Lecture 8 39

40. Examine [x,Ax,MAx,AMAx,MAMAx,…] for A tridiagonal, M block-diagonal Summer School Lecture 8 40

41. Examine [x,Ax,MAx,AMAx,MAMAx,…] for A tridiagonal, M block-diagonal Summer School Lecture 8 41

42. Examine [x,Ax,MAx,AMAx,MAMAx,…] for A tridiagonal, M block-diagonal Summer School Lecture 8 42

43. Examine [x,Ax,MAx,AMAx,MAMAx,…] for A tridiagonal, M block-diagonal Summer School Lecture 8 43

44. Summary of what is known (3/3), open Preconditioning: MAx = Mb –Need different communication-avoiding kernel: [x,Ax,MAx,AMAx,MAMAx,AMAMAx,…] –For block diagonal M, matrix powers rapidly become dense, but ranks of off-diagonal block grow slowly –Can take advantage of low rank to minimize communication –y i = (AM) k ij · x j = U  V · x j = U  (V · x j ) –Works (in principle) for Hierarchically Semi-Separable M –How does it work in practice? For details (and open problems) see M. Hoemmen’s PhD thesis 44 Compute on proc j, Send to proc i Reconstruct y i on proc i Summer School Lecture 8

45. Of things not said (much about) … Other Communication-Avoiding (CA) dense factorizations –QR with column pivoting (tournament pivoting) –Cholesky with diagonal pivoting –GE with “complete pivoting” –LDL T ? Maybe with complete pivoting? CA-Sparse factorizations –Cholesky, assuming good separators –Lower bounds from Lipton/Rose/Tarjan –Matrix multiplication, anything else? Strassen, and all linear algebra with #words_moved = O(n  / M  /2-1 ) –Parallel? Extending CA-Krylov methods to “bottom solver” in multigrid with Adaptive Mesh Refinement (AMR) 45 Summer School Lecture 8

46. Summary Don’t Communic… 46 Time to redesign all dense and sparse linear algebra Summer School Lecture 8

47. EXTRA SLIDES Summer School Lecture 8 47