X-Git-Url: https://bilbo.iut-bm.univ-fcomte.fr/and/gitweb/GMRES2stage.git/blobdiff_plain/2fc464daa5a04774f5fa10bd96d36c53cc908a4a..7d6625e2b26c8e17c8cf8fafc8fbed964dda513a:/paper.tex diff --git a/paper.tex b/paper.tex index 54e35d3..ceffa3d 100644 --- a/paper.tex +++ b/paper.tex @@ -369,7 +369,7 @@ % % paper title % can use linebreaks \\ within to get better formatting as desired -\title{TSIRM: A Two-Stage Iteration with least-square Residual Minimization algorithm to solve large sparse linear systems} +\title{TSIRM: A Two-Stage Iteration with least-squares Residual Minimization algorithm to solve large sparse linear systems} @@ -425,16 +425,17 @@ Email: lilia.ziane@inria.fr} \begin{abstract} -In this article, a two-stage iterative algorithm is proposed to improve the -convergence of Krylov based iterative methods, typically those of GMRES variants. The -principle of the proposed approach is to build an external iteration over the Krylov -method, and to frequently store its current residual (at each -GMRES restart for instance). After a given number of outer iterations, a minimization -step is applied on the matrix composed by the saved residuals, in order to -compute a better solution and to make new iterations if required. It is proven that -the proposal has the same convergence properties than the inner embedded method itself. -Experiments using up to 16,394 cores also show that the proposed algorithm -runs around 5 or 7 times faster than GMRES. +In this article, a two-stage iterative algorithm is proposed to improve the +convergence of Krylov based iterative methods, typically those of GMRES +variants. The principle of the proposed approach is to build an external +iteration over the Krylov method, and to frequently store its current residual +(at each GMRES restart for instance). After a given number of outer iterations, +a least-squares minimization step is applied on the matrix composed by the saved +residuals, in order to compute a better solution and to make new iterations if +required. It is proven that the proposal has the same convergence properties +than the inner embedded method itself. Experiments using up to 16,394 cores +also show that the proposed algorithm runs around 5 or 7 times faster than +GMRES. \end{abstract} \begin{IEEEkeywords} @@ -581,7 +582,7 @@ performances. The present article is organized as follows. Related works are presented in Section~\ref{sec:02}. Section~\ref{sec:03} details the two-stage algorithm using -a least-square residual minimization, while Section~\ref{sec:04} provides +a least-squares residual minimization, while Section~\ref{sec:04} provides convergence results regarding this method. Section~\ref{sec:05} shows some experimental results obtained on large clusters using routines of PETSc toolkit. This research work ends by a conclusion section, in which the proposal @@ -604,7 +605,7 @@ is summarized while intended perspectives are provided. %%%********************************************************* %%%********************************************************* -\section{Two-stage iteration with least-square residuals minimization algorithm} +\section{Two-stage iteration with least-squares residuals minimization algorithm} \label{sec:03} A two-stage algorithm is proposed to solve large sparse linear systems of the form $Ax=b$, where $A\in\mathbb{R}^{n\times n}$ is a sparse and square @@ -615,7 +616,7 @@ inner-outer iteration solver based on iterative Krylov methods. The main key-points of the proposed solver are given in Algorithm~\ref{algo:01}. It can be summarized as follows: the inner solver is a Krylov based one. In order to accelerate its convergence, the -outer solver periodically applies a least-square minimization on the residuals computed by the inner one. %Tsolver which does not required to be changed. +outer solver periodically applies a least-squares minimization on the residuals computed by the inner one. %Tsolver which does not required to be changed. At each outer iteration, the sparse linear system $Ax=b$ is partially solved using only $m$ @@ -626,8 +627,8 @@ inner solver. The current approximation of the Krylov method is then stored insi $S$ composed by the successive solutions that are computed during inner iterations. At each $s$ iterations, the minimization step is applied in order to -compute a new solution $x$. For that, the previous residuals are computed with -$(b-AS)$. The minimization of the residuals is obtained by +compute a new solution $x$. For that, the previous residuals of $Ax=b$ are computed by +the inner iterations with $(b-AS)$. The minimization of the residuals is obtained by \begin{equation} \underset{\alpha\in\mathbb{R}^{s}}{min}\|b-R\alpha\|_2 \label{eq:01} @@ -636,7 +637,7 @@ with $R=AS$. Then the new solution $x$ is computed with $x=S\alpha$. In practice, $R$ is a dense rectangular matrix belonging in $\mathbb{R}^{n\times s}$, -with $s\ll n$. In order to minimize~\eqref{eq:01}, a least-square method such as +with $s\ll n$. In order to minimize~\eqref{eq:01}, a least-squares method such as CGLS ~\cite{Hestenes52} or LSQR~\cite{Paige82} is used. Remark that these methods are more appropriate than a single direct method in a parallel context. @@ -647,15 +648,15 @@ appropriate than a single direct method in a parallel context. \begin{algorithmic}[1] \Input $A$ (sparse matrix), $b$ (right-hand side) \Output $x$ (solution vector)\vspace{0.2cm} - \State Set the initial guess $x^0$ + \State Set the initial guess $x_0$ \For {$k=1,2,3,\ldots$ until convergence (error$<\epsilon_{tsirm}$)} \label{algo:conv} - \State $x^k=Solve(A,b,x^{k-1},max\_iter_{kryl})$ \label{algo:solve} + \State $x_k=Solve(A,b,x_{k-1},max\_iter_{kryl})$ \label{algo:solve} \State retrieve error - \State $S_{k \mod s}=x^k$ \label{algo:store} + \State $S_{k \mod s}=x_k$ \label{algo:store} \If {$k \mod s=0$ {\bf and} error$>\epsilon_{kryl}$} \State $R=AS$ \Comment{compute dense matrix} \label{algo:matrix_mul} - \State Solve least-square problem $\underset{\alpha\in\mathbb{R}^{s}}{min}\|b-R\alpha\|_2$ \label{algo:} - \State $x^k=S\alpha$ \Comment{compute new solution} + \State $\alpha=Least\_Squares(R,b,max\_iter_{ls})$ \label{algo:} + \State $x_k=S\alpha$ \Comment{compute new solution} \EndIf \EndFor \end{algorithmic} @@ -680,19 +681,19 @@ Let us summarize the most important parameters of TSIRM: \item $\epsilon_{tsirm}$: the threshold to stop the TSIRM method; \item $max\_iter_{kryl}$: the maximum number of iterations for the Krylov method; \item $s$: the number of outer iterations before applying the minimization step; -\item $max\_iter_{ls}$: the maximum number of iterations for the iterative least-square method; -\item $\epsilon_{ls}$: the threshold used to stop the least-square method. +\item $max\_iter_{ls}$: the maximum number of iterations for the iterative least-squares method; +\item $\epsilon_{ls}$: the threshold used to stop the least-squares method. \end{itemize} The parallelisation of TSIRM relies on the parallelization of all its -parts. More precisely, except the least-square step, all the other parts are +parts. More precisely, except the least-squares step, all the other parts are obvious to achieve out in parallel. In order to develop a parallel version of our code, we have chosen to use PETSc~\cite{petsc-web-page}. For line~\ref{algo:matrix_mul} the matrix-matrix multiplication is implemented and efficient since the matrix $A$ is sparse and since the matrix $S$ contains few colums in practice. As explained previously, at least two methods seem to be -interesting to solve the least-square minimization, CGLS and LSQR. +interesting to solve the least-squares minimization, CGLS and LSQR. In the following we remind the CGLS algorithm. The LSQR method follows more or less the same principle but it takes more place, so we briefly explain the parallelization of CGLS which is similar to LSQR. @@ -702,19 +703,21 @@ less the same principle but it takes more place, so we briefly explain the paral \begin{algorithmic}[1] \Input $A$ (matrix), $b$ (right-hand side) \Output $x$ (solution vector)\vspace{0.2cm} - \State $r=b-Ax$ - \State $p=A'r$ - \State $s=p$ - \State $g=||s||^2_2$ - \For {$k=1,2,3,\ldots$ until convergence (g$<\epsilon_{ls}$)} \label{algo2:conv} - \State $q=Ap$ - \State $\alpha=g/||q||^2_2$ - \State $x=x+alpha*p$ - \State $r=r-alpha*q$ - \State $s=A'*r$ - \State $g_{old}=g$ - \State $g=||s||^2_2$ - \State $\beta=g/g_{old}$ + \State Let $x_0$ be an initial approximation + \State $r_0=b-Ax_0$ + \State $p_1=A^Tr_0$ + \State $s_0=p_1$ + \State $\gamma=||s_0||^2_2$ + \For {$k=1,2,3,\ldots$ until convergence ($\gamma<\epsilon_{ls}$)} \label{algo2:conv} + \State $q_k=Ap_k$ + \State $\alpha_k=\gamma/||q_k||^2_2$ + \State $x_k=x_{k-1}+\alpha_kp_k$ + \State $r_k=r_{k-1}-\alpha_kq_k$ + \State $s_k=A^Tr_k$ + \State $\gamma_{old}=\gamma$ + \State $\gamma=||s_k||^2_2$ + \State $\beta_k=\gamma/\gamma_{old}$ + \State $p_{k+1}=s_k+\beta_kp_k$ \EndFor \end{algorithmic} \label{algo:02} @@ -743,6 +746,26 @@ the convergence of GMRES($m$) for all $m$ under that assumption regarding $A$. \end{proposition} +We can now claim that, +\begin{proposition} +If $A$ is a positive real matrix and GMRES($m$) is used as solver, then the TSIRM algorithm is convergent. +\end{proposition} + +\begin{proof} +Let $r_k = b-Ax_k$, where $x_k$ is the approximation of the solution after the +$k$-th iterate of TSIRM. +We will prove that $r_k \rightarrow 0$ when $k \rightarrow +\infty$. + +Each step of the TSIRM algorithm \\ +$\min_{\alpha \in \mathbb{R}^s} ||b-R\alpha ||_2 = \min_{\alpha \in \mathbb{R}^s} ||b-AS\alpha ||_2$ + +$\begin{array}{ll} +& = \min_{x \in Vect\left(x_0, x_1, \hdots, x_{k-1} \right)} ||b-AS\alpha ||_2\\ +& \leqslant \min_{x \in Vect\left( S_{k-1} \right)} ||b-Ax ||_2\\ +& \leqslant ||b-Ax_{k-1}|| +\end{array}$ +\end{proof} + %%%********************************************************* %%%********************************************************* @@ -754,7 +777,7 @@ In order to see the influence of our algorithm with only one processor, we first show a comparison with the standard version of GMRES and our algorithm. In Table~\ref{tab:01}, we show the matrices we have used and some of them characteristics. For all the matrices, the name, the field, the number of rows -and the number of nonzero elements is given. +and the number of nonzero elements are given. \begin{table}[htbp] \begin{center} @@ -777,7 +800,7 @@ torso3 & 2D/3D problem & 259,156 & 4,429,042 \\ The following parameters have been chosen for our experiments. As by default the restart of GMRES is performed every 30 iterations, we have chosen to stop -the GMRES every 30 iterations, $max\_iter_{kryl}=30$). $s$ is set to 8. CGLS is +the GMRES every 30 iterations (\emph{i.e.} $max\_iter_{kryl}=30$). $s$ is set to 8. CGLS is chosen to minimize the least-squares problem with the following parameters: $\epsilon_{ls}=1e-40$ and $max\_iter_{ls}=20$. The external precision is set to $\epsilon_{tsirm}=1e-10$. Those experiments have been performed on a Intel(R) @@ -789,7 +812,7 @@ systems obtained with the previous matrices with a GMRES variant and with out 2 stage algorithm are given. In the second column, it can be noticed that either gmres or fgmres is used to solve the linear system. According to the matrices, different preconditioner is used. With TSIRM, the same solver and the same -preconditionner is used. This Table shows that TSIRM can drastically reduce the +preconditionner are used. This Table shows that TSIRM can drastically reduce the number of iterations to reach the convergence when the number of iterations for the normal GMRES is more or less greater than 500. In fact this also depends on tow parameters: the number of iterations to stop GMRES and the number of @@ -823,28 +846,27 @@ torso3 & fgmres / sor & 37.70 & 565 & 34.97 & 510 \\ -In order to perform larger experiments, we have tested some example application +In order to perform larger experiments, we have tested some example applications of PETSc. Those applications are available in the ksp part which is suited for scalable linear equations solvers: \begin{itemize} \item ex15 is an example which solves in parallel an operator using a finite - difference scheme. The diagonal is equals to 4 and 4 extra-diagonals - representing the neighbors in each directions is equal to -1. This example is + difference scheme. The diagonal is equal to 4 and 4 extra-diagonals + representing the neighbors in each directions are equal to -1. This example is used in many physical phenomena, for example, heat and fluid flow, wave - propagation... + propagation, etc. \item ex54 is another example based on 2D problem discretized with quadrilateral finite elements. For this example, the user can define the scaling of material - coefficient in embedded circle, it is called $\alpha$. + coefficient in embedded circle called $\alpha$. \end{itemize} -For more technical details on these applications, interested reader are invited -to read the codes available in the PETSc sources. Those problem have been -chosen because they are scalable with many cores. We have tested other problem -but they are not scalable with many cores. +For more technical details on these applications, interested readers are invited +to read the codes available in the PETSc sources. Those problems have been +chosen because they are scalable with many cores which is not the case of other problems that we have tested. In the following larger experiments are described on two large scale architectures: Curie and Juqeen... {\bf description...}\\ -{\bf Description of preconditioners} +{\bf Description of preconditioners}\\ \begin{table*}[htbp] \begin{center} @@ -865,15 +887,15 @@ In the following larger experiments are described on two large scale architectur \hline \end{tabular} -\caption{Comparison of FGMRES and TSIRM with FGMRES for example ex15 of PETSc with two preconditioner (mg and sor) with 25,000 components per core on Juqueen (threshold 1e-3, restart=30, s=12), time is expressed in seconds.} +\caption{Comparison of FGMRES and TSIRM with FGMRES for example ex15 of PETSc with two preconditioners (mg and sor) with 25,000 components per core on Juqueen (threshold 1e-3, restart=30, s=12), time is expressed in seconds.} \label{tab:03} \end{center} \end{table*} Table~\ref{tab:03} shows the execution times and the number of iterations of -example ex15 of PETSc on the Juqueen architecture. Differents number of cores -are studied rangin from 2,048 upto 16,383. Two preconditioners have been -tested. For those experiments, the number of components (or unknown of the +example ex15 of PETSc on the Juqueen architecture. Different numbers of cores +are studied ranging from 2,048 up-to 16,383. Two preconditioners have been +tested: {\it mg} and {\it sor}. For those experiments, the number of components (or unknowns of the problems) per processor is fixed to 25,000, also called weak scaling. This number can seem relatively small. In fact, for some applications that need a lot of memory, the number of components per processor requires sometimes to be @@ -881,11 +903,11 @@ small. -In this Table, we can notice that TSIRM is always faster than FGMRES. The last +In Table~\ref{tab:03}, we can notice that TSIRM is always faster than FGMRES. The last column shows the ratio between FGMRES and the best version of TSIRM according to the minimization procedure: CGLS or LSQR. Even if we have computed the worst -case between CGLS and LSQR, it is clear that TSIRM is alsways faster than -FGMRES. For this example, the multigrid preconditionner is faster than SOR. The +case between CGLS and LSQR, it is clear that TSIRM is always faster than +FGMRES. For this example, the multigrid preconditioner is faster than SOR. The gain between TSIRM and FGMRES is more or less similar for the two preconditioners. Looking at the number of iterations to reach the convergence, it is obvious that TSIRM allows the reduction of the number of iterations. It @@ -897,16 +919,16 @@ corresponds to 30*12, there are $max\_iter_{ls}$ which corresponds to 15. \begin{figure}[htbp] \centering \includegraphics[width=0.45\textwidth]{nb_iter_sec_ex15_juqueen} -\caption{Number of iterations per second with ex15 and the same parameters than in Table~\ref{tab:03}} +\caption{Number of iterations per second with ex15 and the same parameters than in Table~\ref{tab:03} (weak scaling)} \label{fig:01} \end{figure} In Figure~\ref{fig:01}, the number of iterations per second corresponding to -Table~\ref{tab:01} is displayed. It can be noticed that the number of -iterations per second of FMGRES is constant whereas it decrease with TSIRM with -both preconditioner. This can be explained by the fact that when the number of -core increases the time for the minimization step also increases but, generally, +Table~\ref{tab:03} is displayed. It can be noticed that the number of +iterations per second of FMGRES is constant whereas it decreases with TSIRM with +both preconditioners. This can be explained by the fact that when the number of +cores increases the time for the least-squares minimization step also increases but, generally, when the number of cores increases, the number of iterations to reach the threshold also increases, and, in that case, TSIRM is more efficient to reduce the number of iterations. So, the overall benefit of using TSIRM is interesting. @@ -940,7 +962,7 @@ the number of iterations. So, the overall benefit of using TSIRM is interesting. \end{table*} -In Table~\ref{tab:04}, some experiments with example ex54 on the Curie architecture are reported +In Table~\ref{tab:04}, some experiments with example ex54 on the Curie architecture are reported. \begin{table*}[htbp] @@ -965,6 +987,13 @@ In Table~\ref{tab:04}, some experiments with example ex54 on the Curie architect \end{center} \end{table*} +\begin{figure}[htbp] +\centering + \includegraphics[width=0.45\textwidth]{nb_iter_sec_ex54_curie} +\caption{Number of iterations per second with ex54 and the same parameters than in Table~\ref{tab:05} (strong scaling)} +\label{fig:02} +\end{figure} + %%%********************************************************* %%%********************************************************* @@ -1040,4 +1069,3 @@ Curie and Juqueen respectively based in France and Germany. % that's all folks \end{document} -