U.C. Berkeley Math 221 Home Page

Matrix Computations / Numerical Linear Algebra

Fall 2020

T Th, 11-12:30, on-line

Instructor:

  • James Demmel
  • Offices:
    564 Soda Hall ("Virginia"), (510)643-5386
    831 Evans Hall
  • Office Hours: Changed (9/28): T 11-12, W 2-3, F 11-12, on-line (Zoom info on bcourses.berkeley.edu).
  • (send email)

    • Teaching Assistant:

  • Angxiu Ni
  • See his web page for contact information and office hours.

    • Administrative Assistants:

  • Ria Briggs / Tammy Chouteau
  • Email: (to Ria) / (to Tammy)

    • Announcements:

  • (8/26) Welcome to Ma221! Based on our experience offering this course on-line last semester, this semester we will use a mixture of synchronous and asynchronous instruction, aka an "on-line flipped classroom." This means that we will (1) prerecord and post two hours of lecture per week, broken into short sections, which can be watched at any time, and (2) use 1 hour of the scheduled class time per week, 11-12 Th, for live discussion, Q&A, and "breakout rooms" for small on-line groups to work on questions (using Zoom; see Announcements on bcourses.berkeley.edu for information on how to connect). I will "wander" between groups to answer questions, give hints, etc., as needed. Prerecorded lectures will appear as me writing on a virtual whiteboard, and speaking. We will also post typed Lecture Notes (see below) for each lecture. Again based on last semester's experience, we may adjust this presentation mode based on student feedback.
  • (8/26) Please fill out this on-line Class Survey.
  • (8/26) Homework 1 has been posted. It is due Sep 4 at 11:59pm, at bcourses.berkeley.edu. Answers to homework will also be posted at bcourses.berkeley.edu.

    • Handouts

  • Course Overview in pdf, including syllabus, prerequisites, pointers to other references, and grading.

    • Textbook

  • Applied Numerical Linear Algebra by J. Demmel, published by SIAM, 1997.
  • List of Errata for the Textbook (Updated 26 Apr 2020. Suggestions welcome!)

    • Homework assignments

    Matlab Programs for Homework Assignments

    Lecture Notes

    Other Online Software, Documentation, and Reference Material

  • Matlab documentation is available from several sources, most notably by typing ``help'' into the Matlab command window.
  • Netlib, a repository of numerical software and related documentation
  • Netlib Search Facility, a way to search for the software on Netlib that you need
  • GAMS - Guide to Available Math Software, another search facility to find numerical software
  • Linear Algebra Software Libraries and Collections
  • LAPACK, state-of-the-art software for dense numerical linear algebra on workstations and shared-memory parallel computers. Written in Fortran.
  • LAPACK Manual
  • LAPACKE, a C interface to LAPACK.
  • ScaLAPACK, a partial version of LAPACK for distributed-memory parallel computers.
  • ScaLAPACK manual
  • LINPACK and EISPACK are precursors of LAPACK, dealing with linear systems and eigenvalue problems, respectively.
  • SuperLU is a fast implementations of sparse Gaussian elimination for sequential and parallel computers, respectively.
  • Updated survey of sparse direct linear equation solvers, by Xiaoye Li
  • BEBOP (Berkeley Benchmarking and Optimization) is a source for automatic generation of high performance numerical codes, including OSKI, a system for producing fast implementations of sparse-matrix-vector-multiplication. (OSKI stands for Optimized Sparse Kernel Interface, and only coincidentally is also the name of the Cal Bear mascot :) ).
  • Sources of test matrices for sparse matrix algorithms
  • Matrix Market
  • University of Florida Sparse Matrix Collection
  • Templates for the solution of linear systems, a collection of iterative methods, with advice on which ones to use. The web site includes on-line versions of the book (in html and postscript) as well as software.
  • Templates for the Solution of Algebraic Eigenvalue Problems is a survey of algorithms and software for solving eigenvalue problems. The web site points to an html version of the book, as well as software.
  • MGNet is a repository for information and software for Multigrid and Domain Decomposition methods, which are widely used methods for solving linear systems arising from PDEs.
  • Resources for Parallel and High Performance Computing
  • NERSC (National Energy Research Scientific Computing Center), a DOE supercomputer center at neighboring LBL (Lawrence Berkeley National Lab), that provides supercomputer resources to problems of interest to DOE
  • XSEDE provides access to the network of high performance computing facilities operated by NSF
  • CS 267, Applications of Parallel Computers, 2019 version, including slides and videos of lectures on parallel linear algebra
  • ParLab Parallelism 3-Day Short Course (2013), including slides and videos of (shorter) lectures on parallel linear algebra
  • PETSc: Portable, Extensible, Toolkit for Scientific Computation
  • GraphBLAS: Using Linear Algebra for Graph Algorithms
  • References for Computer Arithmetic and Error Analysis
  • ``Accurate and efficient expression evaluation and linear algebra,'', by J. Demmel, I. Dumitriu, O. Holtz, P. Koev Acta Numerica, V. 17, May 2008. This paper shows how to exploit the mathematical structure of a problem to get higher accuracy.
  • Efficient software for very high precision floating point arithmetic
  • ARPREC
  • MPFR
  • GMP
  • Efficient software for high precision and reproducible Basic Linear Algebra Subroutines (BLAS)
  • XBLAS
  • ReproBLAS
  • Notes on IEEE Floating Point Arithmetic, by Prof. W. Kahan
  • Other notes on arithmetic, error analysis, etc. by Prof. W. Kahan
  • Report on arithmetic error that cause the Ariane 5 Rocket Crash
  • The IEEE floating point standard was updated in 2008. Look here for a summary.
  • The IEEE floating point standard was updated again in 2019. Look here for a summary.
  • For a variety of papers on solving linear algebra problems with guaranteed accuracy, by using interval arithmetic, see Siegfried Rump's web site
  • For a paper on using mixed precision arithmetic, doing most work in fast, low precision, and a little in slower, high precision, with the goal of getting the answer to high precision fast, see A Survey of Numerical Methods Utilizing Mixed Precision Arithmetic. There is also a recent Nvidia blog post on this.
  • For a paper that shows how one might decrease the factor d = problem size in floating point error bounds, see Stochastic Rounding and its Probabilistic Backward Error Analysis
  • Variable precision floating point
  • For a paper on posits, a recently proposed fixed length variable precision arithmetic format, see Beating Floating Point at its Own Game by John Gustavson.
  • I disagree with several claims in this paper. For a paper analyzing posits, see Posits: The good, the bad and the ugly
  • For a recorded debate between Gustavson and Kahan on the pros and cons of Gustavson's earlier proposal for the variable length format called unums, see this youtube video.
  • For a (much older) paper showing how to do error analysis with variable precision arithmetic, many versions of which have been proposed before, see On Error Analysis in Arithmetic with Varying Relative Precision
  • References for Communication-Avoiding Algorithms
  • Minimizing Communication in Numerical Linear Algebra, G. Ballard, J. Demmel, O. Holtz, O. Schwartz, SIMAX, Sep 2011 (SIAM Linear Algebra Prize 2012) presents a complete proof of the communication lower bound for O(n^3) matrix multiplication and other classical linear algebra algorithms
  • Communication-Optimal Parallel and Sequential QR and LU Factorizations, J. Demmel, L. Grigori, M. Hoemmen, J. Langou, SIAM J. Sci. Comp., Feb 2012; (SIAM Activity Group (SIAG) on Supercomputing, Best Paper Prize, 2016)
  • Graph Expansion and Communication Costs of Fast Matrix Multiplication, G. Ballard, J. Demmel, O. Holtz, O. Schwartz, JACM, Dec 2012; presents the communication lower bound for Strassen-like matrix multiplication (Best Paper Award, at SPAA'11, invited CACM Research Highlight)
  • Communication lower bounds and optimal algorithms for numerical linear algebra G. Ballard, E. Carson, J. Demmel, M. Hoemmen, N. Knight, O. Schwartz, Acta Numerica, 2014; survey of field, including both direct and iterative methods
  • For more papers on communication-avoiding algorithms, see the bebop web page.
  • References for Randomized Algorithms
  • "Randomized Numerical Linear Algebra: Foundations and Algorithms," P. G. Martinsson, J. Tropp, to appear in Acta Numerica 2020, or arxiv.org
  • "Finding Structure with Randomness: Probabilistic Algorithms for Constructing Approximate Matrix Decompositions," N. Halko, P. G. Martinsson, J. A. Tropp, SIAM Review 2011, or arxiv.org
  • "An Elementary Proof of a Theorem of Johnson and Lindenstrauss," S. Dasgupta, A. Gupta, Random Structures and Algorithms 2003, or here
  • "Randomized algorithms for matrices and data," M. Mahoney, arxiv.org
  • "Low Rank Approximation and Regression in Input Sparsity Time", K. Clarkson, D. Woodruff, STOC 2013 (co-winner, Best Paper Award), or arxiv.org
  • "Low-distortion Subspace Embeddings in Input-sparsity Time and Applications to Robust Linear Regression," X. Meng, M. Mahoney, arxiv.org
  • Stat 260/CS294 - Randomized Algorithms for Matrices and Data was taught by Michael Mahoney in Fall 2013.
  • Reading group on randomized numerical linear algebra, with archived slides and video presentations, was taught by Laura Grigori and James Demmel in Spring 2015
  • References for Symmetric Eigenproblem and SVD
  • ``Avoiding Communication in Successive Band Reduction'', G. Ballard, J. Demmel, N. Knight, UCB EECS Tech Report UCB/EECS-2013-131
  • ``New Fast and Accurate Jacobi SVD Algorithm, Part I and Part II,'', Z. Drmac, K. Veselic, SIAM J. Mat. Anal. Appl., v 29, 2008 (SIAM Linear Algebra Prize 2009)
  • ``Orthogonal Eigenvectors and Relative Gaps,'' I. Dhillon, B. Parlett, SIAM J. Mat. Anal. Appl. v. 25:3, Mar 2004 (SIAM Linear Algebra Prize 2006)
  • ``Computing the Singular Value Decomposition with High Relative Accuracy,'' J. Demmel, M. Gu, S. Eisenstat, I. Slapnicar, K. Veselic, Z. Drmac, Lin. Alg. Appl., v 299, 1999
  • ``Jacobi's Method is more accurate than QR,'' J. Demmel, K. Veselic, SIAM J. Mat. Anal. Appl., v 27, 1990
  • ``Accurate singular values of bidiagonal matrices,'' J. Demmel, W. Kahan, SIAM J. Sci. Stat. Comp., v 11, 1990 (SIAM Linear Algebra Prize 1991)
  • References for Iterative Methods
  • An Introduction to the Conjugate Gradient Method Without the Agonizing Pain by Jonathan Shewchuk, is a very easy to understand description of one of the most popular iterative methods for solving A*x=b. In contrast to the terse treatment in the course text book, you might want to see Shewchuk's answer to the question "How could fifteen lines of code take fifty pages to explain?"
  • Lectures notes on Multigrid, in powerpoint.
  • References for Autotuning (automatic performance tuning)
  • The goal of autotuning is to let the computer write code, by searching over a design space of possible implementations to find the ``best'' one. ``Best'' usually means fastest, but other goals (or constraints) are possible too, eg memory and accuracy. It is motivated by the need to make programming easier, since these design spaces can be complicated and high-dimensional, so that even an expert can take a long time to find a good implementation, and may miss out on some opportunities.
  • Tuning the BLAS (and some other linear algebra)
  • PHiPAC (Portable High Performance ANSI C) was one of the earliest projects in this area (done at Berkeley), for tuning matrix multiplication, and our 1997 conference paper recently won a Test-of-Time award.
  • ATLAS (Automatically Tuned Linear Algebra Software) is another project that started about the same time, aimed at tuning all the BLAS, and is ongoing, and also won a Test-of-Time award.
  • BLIS and OpenBLAS are two more recent and ongoing projects.
  • OSKI (Optimized Sparse Kernel Interface) autotunes SpMV (sparse matrix times dense vector multiplication), in part by choosing an optimal sparse data structure for each sparse matrix. POSKI is a parallel version.
  • FFTW (Fastest Fourier Transform in the West) is another prize-winning project for autotuning FFTs.
  • Spiral is an autotuner for DSP (digital signal processing) more generally, and targets the tuning of both software and special purpose hardware.
  • ``Black-box'' autotuners: when a large and complicated program exposes a set of tuning parameters, and one can set these parameters, run the code, and measure its performance (or accuracy, etc.), then it becomes a machine learning problem to choose the best parameter values. These parameters could be real numbers, like stopping criteria, or integers, like block sizes, or ``categoricals'', like "Algorithm A" or "Algorithm B". Since the parameter space can be high dimensional and large, one goal of the autotuner is to minimize the time spent running the program, by building a model to pick the most promising parameter values to test.
  • Opentuner provide an ensemble of search algorithms, that it runs simulataneously.
  • HPBandSter was developed to tune hyperparameters of machine learning algorithms, for example using Bayesian Optimization. It can be used more generally for other applications too.
  • GPTune is an on-going Berkeley project, that uses Gaussian Process modeling to tune programs, in particular those that are very expensive to run. Here is a recent paper.
  • HiPerBOt is another ongoing project using Bayesian Optimization for autotuning.