Related papers: Optimization of the Sparse Multi-Threaded Cholesky…
A key technique for controlling numerical stability in sparse direct solvers is threshold partial pivoting. When selecting a pivot, the entire candidate pivot column below the diagonal must be up-to-date and must be scanned. If the…
We propose a penalized likelihood framework for estimating multiple precision matrices from different classes. Most existing methods either incorporate no information on relationships between the precision matrices, or require this…
We present a matrix-factorization algorithm that scales to input matrices with both huge number of rows and columns. Learned factors may be sparse or dense and/or non-negative, which makes our algorithm suitable for dictionary learning,…
In this article, we consider fast direct solvers for nonlocal operators. The pivotal idea is to combine a wavelet representation of the system matrix, yielding a quasi-sparse matrix, with the nested dissection ordering scheme. The latter…
This article proposes and analyzes several variants of the randomized Cholesky QR factorization of a matrix $X$. Instead of computing the R factor from $X^T X$, as is done by standard methods, we obtain it from a small, efficiently…
This paper is concerned with developing an efficient numerical algorithm for fast implementation of the sparse grid method for computing the $d$-dimensional integral of a given function. The new algorithm, called the MDI-SG ({\em multilevel…
This paper proposes an improved quasi-Newton penalty decomposition algorithm for the minimization of continuously differentiable functions, possibly nonconvex, over sparse symmetric sets. The method solves a sequence of penalty subproblems…
Deep representation learning has become one of the most widely adopted approaches for visual search, recommendation, and identification. Retrieval of such representations from a large database is however computationally challenging.…
Boundary value problems involving elliptic PDEs such as the Laplace and the Helmholtz equations are ubiquitous in mathematical physics and engineering. Many such problems can be alternatively formulated as integral equations that are…
Solving semidefinite programs (SDP) in a short time is the key to managing various mathematical optimization problems. The matrix-completion primal-dual interior-point method (MC-PDIPM) extracts a sparse structure of input SDP by…
We introduce a new algorithm and software for solving linear equations in symmetric diagonally dominant matrices with non-positive off-diagonal entries (SDDM matrices), including Laplacian matrices. We use pre-conditioned conjugate gradient…
Scalable sparse LU factorization is critical for efficient numerical simulation of circuits and electrical power grids. In this work, we present a new scalable sparse direct solver called Basker. Basker introduces a new algorithm to…
Symmetric linear solves are fundamental to a wide range of scientific and engineering applications, from climate modeling and structural analysis to machine learning and optimization. These workloads often rely on Cholesky (POTRF)…
Generalized sparse matrix-matrix multiplication is a key primitive for many high performance graph algorithms as well as some linear solvers such as multigrid. We present the first parallel algorithms that achieve increasing speedups for an…
We consider the problem of sparse matrix multiplication by the column row method in a distributed setting where the matrix product is not necessarily sparse. We present a surprisingly simple method for "consistent" parallel processing of…
We give two algorithms for output-sparse matrix multiplication (OSMM), the problem of multiplying two $n \times n$ matrices $A, B$ when their product $AB$ is promised to have at most $O(n^{\delta})$ many non-zero entries for a given value…
This paper studies the estimation of large precision matrices and Cholesky factors obtained by observing a Gaussian process at many locations. Under general assumptions on the precision and the observations, we show that the sample…
Multilevel/multigrid methods is one of the most popular approaches for solving a large sparse linear system of equations, typically, arising from the discretization of partial differential equations. One critical step in the…
The paper proposes a new covariance estimator for large covariance matrices when the variables have a natural ordering. Using the Cholesky decomposition of the inverse, we impose a banded structure on the Cholesky factor, and select the…
We present a new variant of serial right-looking supernodal sparse Cholesky factorization (RL). Our comparison of RL with the multifrontal method confirms that RL is simpler, slightly faster, and requires slightly less storage. The key to…