Low synchronization Gram–Schmidt and generalized minimal residual algorithms

• Published in: Numerical linear algebra with applications Vol. 28; no. 2
• Main Authors: Świrydowicz, Katarzyna, Langou, Julien, Ananthan, Shreyas, Yang, Ulrike, Thomas, Stephen
• Format: Journal Article
• Language: English
• Published: Oxford Wiley Subscription Services, Inc 01.03.2021
• Subjects: Algorithms; Factorization; Gram–Schmidt process; Graphics processing unit; Krylov methods; massively parallel; Orthogonality; Representations; scalable GMRES; Synchronism; WY factorization
• ISSN: 1070-5325; 1099-1506
• DOI: 10.1002/nla.2343

Summary The Gram–Schmidt process uses orthogonal projection to construct the A = QR factorization of a matrix. When Q has linearly independent columns, the operator P = I − Q(QTQ)−1QT defines an orthogonal projection onto Q⊥. In finite precision, Q loses orthogonality as the factorization progresses. A family of approximate projections is derived with the form P = I − QTQT, with correction matrix T. When T = (QTQ)−1, and T is triangular, it is postulated that the best achievable orthogonality is 𝒪(ε)κ(A). We present new variants of modified (MGS) and classical Gram–Schmidt algorithms that require one global reduction step. An interesting form of the projector leads to a compact WY representation for MGS. In particular, the inverse compact WY MGS algorithm is equivalent to a lower triangular solve. Our main contribution is to introduce a backward normalization lag into the compact WY representation, resulting in a 𝒪(ε)κ([r0,AVm]) stable Generalized Minimal Residual Method (GMRES) algorithm that requires only one global reduce per iteration. Further improvements in performance are achieved by accelerating GMRES on GPUs.