Accelerating large partial EVD/SVD calculations by filtered block Davidson methods  

作　　者：ZHOU Yunkai WANG Zheng ZHOU Aihui 

机构地区：[1]Department of Mathematics, Southern Methodist University [2]LSEC, Institute of Computational Mathematics and Scientific/Engineering Computing,Academy of Mathematics and Systems Science, Chinese Academy of Sciences

出　　处：《Science China Mathematics》2016年第8期1635-1662,共28页中国科学：数学（英文版）

基　　金：supported by National Science Foundation of USA (Grant Nos. DMS1228271 and DMS-1522587);National Natural Science Foundation of China for Creative Research Groups (Grant No. 11321061);the National Basic Research Program of China (Grant No. 2011CB309703);the National Center for Mathematics and Interdisciplinary Sciences, Chinese Academy of Sciences

摘　　要：Partial eigenvalue decomposition(PEVD) and partial singular value decomposition(PSVD) of large sparse matrices are of fundamental importance in a wide range of applications, including latent semantic indexing, spectral clustering, and kernel methods for machine learning. The more challenging problems are when a large number of eigenpairs or singular triplets need to be computed. We develop practical and efficient algorithms for these challenging problems. Our algorithms are based on a filter-accelerated block Davidson method.Two types of filters are utilized, one is Chebyshev polynomial filtering, the other is rational-function filtering by solving linear equations. The former utilizes the fastest growth of the Chebyshev polynomial among same degree polynomials; the latter employs the traditional idea of shift-invert, for which we address the important issue of automatic choice of shifts and propose a practical method for solving the shifted linear equations inside the block Davidson method. Our two filters can efficiently generate high-quality basis vectors to augment the projection subspace at each Davidson iteration step, which allows a restart scheme using an active projection subspace of small dimension. This makes our algorithms memory-economical, thus practical for large PEVD/PSVD calculations. We compare our algorithms with representative methods, including ARPACK, PROPACK, the randomized SVD method, and the limited memory SVD method. Extensive numerical tests on representative datasets demonstrate that, in general, our methods have similar or faster convergence speed in terms of CPU time, while requiring much lower memory comparing with other methods. The much lower memory requirement makes our methods more practical for large-scale PEVD/PSVD computations.Partial eigenvalue decomposition （PEVD） and partial singular value decomposition （PSVD） of large sparse matrices are of fundamental importance in a wide range of applications, including latent semantic index- ing, spectral clustering, and kernel methods for machine learning. The more challenging problems are when a large number of eigenpairs or singular triplets need to be computed. We develop practical and efficient algo- rithms for these challenging problems. Our algorithms are based on a filter-accelerated block Davidson method. Two types of filters are utilized, one is Chebyshev polynomial filtering, the other is rational-function filtering by solving linear equations. The former utilizes the fastest growth of the Chebyshev polynomial among same degree polynomials; the latter employs the traditional idea of shift-invert, for which we address the important issue of automatic choice of shifts and propose a practical method for solving the shifted linear equations inside the block Davidson method. Our two filters can efficiently generate high-quality basis vectors to augment the projection subspace at each Davidson iteration step, which allows a restart scheme using an active projection subspace of small dimension. This makes our algorithms memory-economical, thus practical for large PEVD/PSVD calculations. We compare our algorithms with representative methods, including ARPACK, PROPACK, the randomized SVD method, and the limited memory SVD method. Extensive numerical tests on representative datasets demonstrate that, in general, our methods have similar or faster convergence speed in terms of CPU time, while requiring much lower memory comparing with other methods. The much lower memory requirement makes our methods more practical for large-scale PEVD/PSVD computations.

关 键 词：partial EVD/SVD polynomial filter rational filter kernel graph 

分 类 号：TN713[电子电信—电路与系统]