Solution of Sparse Linear Systems

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Numerical Simulation CSE245 Spring 2010
Solution of Sparse Linear Systems
Thanks to Kin Sou, Deepak Ramaswamy, Michal
Rewienski, Jacob White, Shihhsien Kuo and Karen
Veroy and especially Luca Daniel
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Outline of todays lecture

• Solution of Sparse Linear Systems
• Examples of Problems with Sparse Matrices
• Struts and joints, resistor grids, 3-D heat flow
  
• Tridiagonal Matrix Factorization
• General Sparse Factorization
• Fill-in and Reordering
• Graph Based Approach
• Sparse Matrix Data Structures
• Scattering

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Applications
Sparse Matrices
Space Frame
Nodal Matrix
Space Frame
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
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X
X
X
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X
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X
Unknowns Joint positions Equations
forces 0
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Applications
Sparse Matrices
Resistor Grid
Unknowns Node Voltages Equations
currents 0
5
Applications
Sparse Matrices
Nodal Formulation
Resistor Grid
Matrix non-zero locations for 100 x 10 Resistor
Grid
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Applications
Sparse Matrices
Nodal Formulation
Temperature in a cube
Temperature known on surface, determine interior
temperature
Circuit Model
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Outline

• Solution of Dense Linear Systems
• Solution of Sparse Linear Systems
• LU Factorization Reminder.
• Example of Problems with Sparse Matrices
• Struts and joints, resistor grids, 3-d heat flow
  
• Tridiagonal Matrix Factorization
• General Sparse Factorization
• Fill-in and Reordering
• Graph Based Approach
• Sparse Matrix Data Structures
• Scattering

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Tridiagonal Example
Sparse Matrices
Nodal Formulation
Matrix Form
How many operations to do LU factorization?
m
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Tridiagonal Example
Sparse Matrices
GE Algorithm
For i 1 to n-1 For each Row For
j i1 to n For each target Row below
the source For k i1 to n
For each Row element beyond Pivot

Order n Operations!
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Outline

• Solution of Dense Linear Systems
• Solution of Sparse Linear Systems
• LU Factorization Reminder.
• Example of Problems with Sparse Matrices
• Struts and joints, resistor grids, 3-d heat flow
  
• Tridiagonal Matrix Factorization
• General Sparse Factorization
• Fill-in and Reordering
• Graph Based Approach
• Sparse Matrix Data Structures
• Scattering

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Sparse Matrix Fill-In
Sparse Matrices
Example
Resistor Example
Nodal Matrix
0
Symmetric Diagonally Dominant
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Fill-In
Sparse Matrices
Example
Matrix Non zero structure
Fill Ins
X
X
X
X
X Non zero
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Fill-In
Sparse Matrices
Second Example
Fill-ins Propagate
X
X
X
X
X
Fill-ins from Step 1 result in Fill-ins in step 2
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Fill-In
Sparse Matrices
Reordering
Fill-ins
0
No Fill-ins
Node Reordering - Can reduce fill-in
- Preserves properties (Symmetry, Diagonal
Dominance) - Equivalent to swapping rows
and columns
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Fill-In
Sparse Matrices
Reordering
Where can fill-in occur ?
Already Factored
Multipliers
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Fill-In
Sparse Matrices
Reordering
Markowitz Reordering
Greedy Algorithm !
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Fill-In
Sparse Matrices
Reordering
Why only try diagonals ?

• Corresponds to node reordering in Nodal
  formulation

• Reduces search cost

• Preserves Matrix Properties -
  Diagonal Dominance - Symmetry

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Fill-In
Sparse Matrices
Pattern of a Filled-in Matrix
Very Sparse
Very Sparse
Dense
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Fill-In
Sparse Matrices
Unfactored Random Matrix
Symmetric
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Fill-In
Sparse Matrices
Factored Random Matrix
Symmetric
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Outline

• Solution of Dense Linear Systems
• Solution of Sparse Linear Systems
• LU Factorization Reminder.
• Example of Problems with Sparse Matrices
• Struts and joints, resistor grids, 3-d heat flow
  
• Tridiagonal Matrix Factorization
• General Sparse Factorization
• Fill-in and Reordering
• Graph Based Approach
• Sparse Matrix Data Structures
• Scattering

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Matrix Graphs
Sparse Matrices
Construction
Structurally Symmetric Matrices and Graphs
1
X
X
X
X
X
X
X
2
X
X
X
X
3
X
X
X
4
X
X
X
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• One Node Per Matrix Row
• One Edge Per Off-diagonal Pair

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Matrix Graphs
Sparse Matrices
Markowitz Products
Markowitz Products
(Node Degree)2
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Matrix Graphs
Sparse Matrices
Factorization
One Step of LU Factorization
1
X
X
X
X
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X
X
X
2
X
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3
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• Delete the node associated with pivot row
• Tie together the graph edges

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Matrix Graphs
Sparse Matrices
Example
Graph
Markowitz products ( Node degree)
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Matrix Graphs
Sparse Matrices
Example
Swap 2 with 1
X
2
1
1
2
X
Eliminate 1
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Graphs
Sparse Matrices
Resistor Grid Example
Unknowns Node Voltages Equations
currents 0
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Matrix Graphs
Sparse Matrices
Grid Example
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What should you pivot for?
Sparse Matrices
For growth control? Or to avoid fill-ins?
A) LU factorization applied to a strictly
diagonally dominant matrix will never produce a
zero pivot
B) The matrix entries produced by LU
factorization applied to a strictly diagonally
dominant matrix will never increase by more than
a factor 2(n-1) which is anyway the best you can
do by pivoting for growth control
Bottom line if your matrix is strictly
diagonally dominant no need for numerical pivot
for growth control!
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Sparse Factorization Approach

• Assume matrix requires NO numerical pivoting.
• Diagonally dominant or symmetric positive
  definite.
• Pre-Process
• Use Graphs to Determine Matrix Ordering
• Many graph manipulation tricks used.
• Form Data Structure for Storing Filled-in Matrix
• Lots of additional non-zero added
• Put numerical values in Data Structure and factor
• Computation must be organized carefully!

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Summary of Sparse Systems

• LU Factorization and Diagonal Dominance.
• Factor without numerical pivoting
• Sparse Matrices
• Struts, resistor grids, 3-d heat flow -gt O(N)
  non-zeros
• Tridiagonal Matrix Factorization
• Factor in O(N) operations
• General Sparse Factorization
• Markowitz Reordering to minimize fill
• Graph Based Approach
• Factorization and Fill-in
• Useful for estimating Sparse GE complexity

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Outline

• Solution of Sparse Linear Systems
• Example of Problems with Sparse Matrices
• Tridiagonal Matrix Factorization
• General Sparse Factorization
• Fill-in and Reordering
• Graph Based Approach
• Summary of the Algorithm
• Sparse Matrix Data Structures
• Scattering and symbolic fill in

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Sparse Data Structure
Sparse Matrices
Vector of row pointers
Arrays of Data in a Row
Matrix entries
Val 11
Val 12
Val 1K
1
Column index
Col 11
Col 12
Col 1K
Val 21
Val 22
Val 2L
Col 21
Col 22
Col 2L
Row pointers Column Indices
Goal Never store a 0 Never multiply by 0
Val N1
Val N2
Val Nj
N
Col N1
Col N2
Col Nj
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Sparse Data Structure
Sparse Matrices
Problem of Misses
Eliminating Source Row i from Target row j
Row i
Row j
Must read all the row j entries to find the 3
that match row i
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Sparse Data Structure
Sparse Matrices
Data on Misses
More misses than ops!
Every Miss is an unneeded Memory Reference!
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Sparse Data Structure
Sparse Matrices
Scattering for Miss Avoidance
Row j
Use target row approach Row j is the target. 1)
Read all the elements in Row j, and scatter them
in an n-length vector 2) Access only the needed
elements using array indexing!
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Sparse Matrices Another Data Structure
Orthogonal linked list
But if fill in occurs, pointer structures change.
What do we do?
Pre-compute pivoting order and sparse fill in
structure symbolically
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Summary of Sparse Systems

• LU Factorization and Diagonal Dominance.
• Factor without numerical pivoting
• hard problems (ill-conditioned)
• Sparse Matrices
• Struts, resistor grids, 3-d heat flow -gt O(N)
  nonzeros
• Tridiagonal Matrix Factorization
• Factor in O(N) operations
• General Sparse Factorization
• Markowitz Reordering to minimize fill
• Graph Based Approach
• Factorization and Fill-in
• Useful for estimating Sparse GE complexity
• Sparse Data Structures
• Scattering and symbolic fill in