The increasing number of applications requiring the solution of large scale singular value problems have rekindled interest in iterative methods for the SVD. Some promising recent ad- vances in large scale iterative methods are still plagued by slow convergence and accuracy limitations for computing smallest singular triplets. Furthermore, their current implementations in MATLAB cannot address the required large problems. Recently, we presented a preconditioned, two-stage method to effectively and accurately compute a small number of extreme singular triplets. In this research, we present a high-performance software, PRIMME SVDS, that implements our hybrid method based on the state-of-the-art eigensolver package PRIMME for both largest and smallest singular values. PRIMME SVDS fills a gap in production level software for computing the partial SVD, especially with preconditioning. The numerical experiments demonstrate its superior performance compared to other state-of-the-art software and its good parallel performance under strong and weak scaling.
Despite accuracy limitations, eigenvalue iterative methods based on @math are widely used for computing the largest eigenpairs where the loss of accuracy is limited (see )) and even for low accuracy computations of the smallest singular values. For example, two popular packages in machine learning, scikit-learn http: scikit-learn.org stable modules generated sklearn.decomposition.TruncatedSVD.html and Spark's library MLib https: spark.apache.org docs 1.2.1 mllib-dimensionality-reduction.html , use a wrapper for the popular package ARPACK (implicit restarting Arnoldi method) @cite_13 . Other solvers for standard Hermitian eigenvalue problems can also be used. Table lists the most widely used eigensolver libraries with high-performance computing implementations.
@cite_13
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The computation of a few singular triplets of large, sparse matrices is a challenging task, especially when the smallest magnitude singular values are needed in high accuracy. Most recent efforts try to address this problem through variations of the Lanczos bidiagonalization method, but they are still challenged even for medium matrix sizes due to the difficulty of the problem. We propose a novel SVD approach that can take advantage of preconditioning and of any well-designed eigensolver to compute both largest and smallest singular triplets. Accuracy and efficiency is achieved through a hybrid, two-stage meta-method, PHSVDS. In the first stage, PHSVDS solves the normal equations up to the best achievable accuracy. If further accuracy is required, the method switches automatically to an eigenvalue problem with the augmented matrix. Thus it combines the advantages of the two stages, faster convergence and accuracy, respectively. For the augmented matrix, solving the interior eigenvalue is facilitated by pr... An efficient power flow solution is highly important for power system analyses. Traditionally, LU decomposition-based direct method is dominant in solving linear systems in the power flow analysis. However, with the increasing scale and complexity, direct methods may suffer scalability issues, especially under parallel implementation. Therefore, iterative methods such as Conjugate Gradient (CG) are gaining more attention for their scalability and feasibility for parallelisation. To efficiently apply an iterative solver like CG, a preconditioner is usually required. A polynomial-based Chebyshev preconditioner is discussed in this work. An essential parameter in Chebyshev preconditioning is the maximum eigenvalue of the linear system. However, direct calculation of the eigenvalues is too time-consuming to be practical. Therefore, this work proposes a method to estimate the largest eigenvalue to save the time spent on eigenvalue calculation. Thus, Chebyshev preconditioning will be practical to use in power system analyses. This work first proves that the eigenvalues of power system applications range within (0, 2] after a normalisation step, then demonstrates the eigenvalue estimation accuracy, and finally presents the performance improvement. The test shows an average 98.92 runtime saving for the Chebyshev preconditioner, and a 40.99 runtime saving for precondition and iterative solving process. We present a comparative study of the application of modern eigenvalue algorithms to an eigenvalue problem arising in quantum physics, namely, the computation of a few interior eigenvalues and their associated eigenvectors for the large, sparse, real, symmetric, and indefinite matrices of the Anderson model of localization. We compare the Lanczos algorithm in the 1987 implementation of Cullum and Willoughby with the implicitly restarted Arnoldi method coupled with polynomial and several shift-and-invert convergence accelerators as well as with a sparse hybrid tridiagonalization method. We demonstrate that for our problem the Lanczos implementation is faster and more memory efficient than the other approaches. This seemingly innocuous problem presents a major challenge for all modern eigenvalue algorithms. This paper concerns accurate computation of the singular value decomposition (SVD) of an (m n ) matrix (A ). As is well known, cross-product matrix based SVD algorithms compute large singular values accurately but generally deliver poor small singular values. A new novel cross-product matrix based SVD method is proposed: (a) Use a backward stable algorithm to compute the eigenpairs of (A^ T A ) and take the square roots of the large eigenvalues of it as the large singular values of (A ) ; (b) form the Rayleigh quotient of (A^ T A ) with respect to the matrix consisting of the computed eigenvectors associated with the computed small eigenvalues of (A^ T A ) ; (c) compute the eigenvalues of the Rayleigh quotient and take the square roots of them as the small singular values of (A ). A detailed quantitative error analysis is conducted on the method. It is proved that if small singular values are well separated from the large ones then the method can compute the small ones accurately up to the order of the unit roundoff ( ). An algorithm is developed that is not only cheaper than the standard Golub–Reinsch and Chan SVD algorithms but also can update or downdate a new SVD by adding or deleting a row and compute certain refined Ritz vectors for large matrix eigenproblems at very low cost. Several variants of the algorithm are proposed that compute some or all parts of the SVD. Typical numerical examples confirm the high accuracy of our algorithm.