Technical Report 2012-001

Numerical Evaluation of the Communication-Avoiding Lanczos Algorithm

Magnus Gustafsson, James Demmel, and Sverker Holmgren

January 2012

The Lanczos algorithm is widely used for solving large sparse symmetric eigenvalue problems when only a few eigenvalues from the spectrum are needed. Due to sparse matrix-vector multiplications and frequent synchronization, the algorithm is communication intensive leading to poor performance on parallel computers and modern cache-based processors. The Communication-Avoiding Lanczos algorithm [Hoemmen; 2010] attempts to improve performance by taking the equivalence of s steps of the original algorithm at a time. The scheme is equivalent to the original algorithm in exact arithmetic but as the value of s grows larger, numerical roundoff errors are expected to have a greater impact. In this paper, we investigate the numerical properties of the Communication-Avoiding Lanczos (CA-Lanczos) algorithm and how well it works in practical computations. Apart from the algorithm itself, we have implemented techniques that are commonly used with the Lanczos algorithm to improve its numerical performance, such as semi-orthogonal schemes and restarting. We present results that show that CA-Lanczos is often as accurate as the original algorithm. In many cases, if the parameters of the s-step basis are chosen appropriately, the numerical behaviour of CA-Lanczos is close to the standard algorithm even though it is somewhat more sensitive to loosing mutual orthogonality among the basis vectors.

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