Fast Multipole Methods in Arbitrary Dimensions with Chenhan Yu - - PowerPoint PPT Presentation

fast multipole methods in arbitrary dimensions
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Fast Multipole Methods in Arbitrary Dimensions with Chenhan Yu - - PowerPoint PPT Presentation

Fast Multipole Methods in Arbitrary Dimensions with Chenhan Yu James Levitt Severin Riez Bill March Bo Xiao GEORGE BIROS padas.ices.utexas.edu Problem statement and contributions FMM for kernel matrices given points in high D


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SLIDE 1

Fast Multipole Methods in Arbitrary Dimensions

with Chenhan Yu James Levitt Severin Riez Bill March Bo Xiao

GEORGE BIROS

padas.ices.utexas.edu

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SLIDE 2

Problem statement and contributions

  • FMM for kernel matrices given points in high D
  • FMM for SPD matrices—no points given
  • Four components

  • Matrix permutations to expose low-rank structure — O(N) 

  • Compress blocks — O(N logN)

  • Fast Matvec — O(N)

  • HPC implementation (MPI async + ARM, x86/KNL, GPUs)

2

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SLIDE 3

Motivation: Kernel classification

3

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SLIDE 4
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SLIDE 5

Motivation: arbitrary SPD matrices

  • Hessian matrix for large scale optimization
  • Schur-complement operators for computing

inverse graph Laplacians

  • Factorization of dense covariance matrices

No available geometry information (i.e., points)

5

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SLIDE 6

Two algorithms

  • ASKIT: Algebraically Skeletonized Kernel

Independent Treecode

  • GOFMM: Geometry Oblivious Fast Multipole

Method

6

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SLIDE 7

Highlights ASKIT

7

CFD:12B/3D ~ 700 GB Malhotra, Gholami, & B’ SC14

March, Yu, Xiao, B. KDD’15

Kernels: 1B/128D ~ 1TB

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SLIDE 8

8

Highlights GOFMM

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SLIDE 9

Achieving O(N logaN) complexity

9

NYSTROM ENSEMBLE NYSTROM HIERARCHICAL MATRICES

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SLIDE 10

Sparse + low-rank

10

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SLIDE 11

Hierarchical matrices, basic idea

11

K11 K12 K21 K22

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= K11 K22

  • +

 0 K12 K21

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SLIDE 12

Constructing the approximation

12

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SLIDE 13

Idea I: far-field —> low rank

13

xw xj xi

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SLIDE 14

Idea II: Near/Far field split

14

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SLIDE 15

Idea III: recursion

15

1 2 3 4

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SLIDE 16

Challenges in high-dimensions

  • Constructing the far-field approximations 


polynomial in ambient-D

  • Near-far field decomposition


polynomial in ambient-D

  • No scalable algorithms (other than Nystrom)
  • Nystrom method assumes low rank


provably not the case with increasing N

16

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SLIDE 17

Randomized linear algebra — Nystrom method

  • Low-rank decomposition of G
  • Random sampling of O(s) points, s: target rank

  • Work
  • Error

17

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SLIDE 18

ASKIT

  • Randomized Linear Algebra — far field approximation
  • Parallel binary trees — permutation, partitioning
  • Nearest neighbors — pruning and sampling
  • Treecode / FMM
  • MPI / OpenMP / SIMD / GPU acceleration
  • Inspired by


Ying & B. & Zorin’03
 Haiko & Martinsson & Tropp’11
 Drineas & Kahan & Mahoney'06

18

SISC’15,16 ACHA’15 KDD’15 SC’15 IPDPS’15,16,17

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SLIDE 19

Far-field s-rank approximation

  • SVD is too expensive — use sampling
  • Sample rows 


leverage, norm, range-space

  • Interpolative decomposition
  • ASKIT: approximate norm adaptive sampling

using nearest-neighbors + adaptive rank selection

19

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SLIDE 20

Skeletonization (far field approximation)

20

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SLIDE 21

Evaluation

21

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SLIDE 22

Evaluation

22

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SLIDE 23

Complexity and error

  • Work
  • Error
  • Nystrom

23

  • ff-diagonal

diagonal

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SLIDE 24

Parallel complexity

24

Points per MPI task n = N

p

Tree depth D = log N

s

Tree construction ≤ (ts + tw) log2p log N + (tw log p) (d + k) n Skeletonization ≤ tf ⇣n s + log p ⌘ s3 Evaluation ≤ tsp + (tw + tf)d k s D n

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SLIDE 25

Summary of ASKIT features

  • Binary tree for matrix permutation
  • Approximate randomized nearest neighbors
  • Nearest neighbors for skeletonization
  • Bottom-up recursive low-rank approximation
  • Top-down pass for fast evaluation
  • Adaptive sampling and rank selection

25

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SLIDE 26

Gaussian

26

3D, 1M points 64D/20D intr, 1M points

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SLIDE 27

Kernel acceleration

27

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SLIDE 28

Nystrom vs ASKIT (8M/784D)

28

NYSTROM ASKIT

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SLIDE 29

Kernel regression scaling

29

MNIST dataset for OCR strong scaling, 8M points d=784

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SLIDE 30

Related work

  • 2D & 3D N-body 


Barnes & Hut, Greengard & Rokhlin, Darve, Hackbush / Novak / Bebendorf

  • High-D 


Griebel, Duraiswami, Vuduc / Gray, Kondor, Mahoney & Darve
 March / Bo / Biros [ASKIT]

  • Purely algebraic


Li et al / STRUMPACK
 Darve et al / HODLR

Kij = K(xi, xj) = K(xi − xj)

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SLIDE 31

Geometry oblivious FMM

  • Permute matrix to expose low-rank structure
  • Geometry-based algorithms: need distance

between indices i,j

  • Gram vectors


distance(i,j) = function(Kii, Kij, Kjj)


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SLIDE 32

Geometry oblivious FMM

  • Gram vectors (K is SPD):
  • Distances

32

Kij = φi · φj

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Euclidean kφi φjk2

2

Kii + Kjj 2Kij Angle sin ⇣

φi·φj kφik2kφjk2

⌘ 1

Kij2 KiiKjj

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SLIDE 33

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SLIDE 34

GOFMM vs Others

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SLIDE 35

GOFMM vs Others

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SLIDE 36

Summary

  • ASKIT for arbitrary dimension FMM using

geometry

  • Geometry Oblivious Fast Multipole Method for

sketching dense SPD matrices; Gram distances

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