Loading...
Methods for Estimating The Diagonal of Matrix Functions
Laeuchli, Jesse Harrison
Laeuchli, Jesse Harrison
Abstract
Many applications such as path integral evaluation in Lattice Quantum Chromodynamics (LQCD), variance estimation of least square solutions and spline ts, and centrality measures in network analysis, require computing the diagonal of a function of a matrix, Diag(f(A)) where A is sparse matrix, and f is some function. Unfortunately, when A is large, this can be computationally prohibitive. Because of this, many applications resort to Monte Carlo methods. However, Monte Carlo methods tend to converge slowly. One method for dealing with this shortcoming is probing. Probing assumes that nodes that have a large distance between them in the graph of A, have only a small weight connection in f(A). to determine the distances between nodes, probing forms Ak. Coloring the graph of this matrix will group nodes that have a high distance between them together, and thus a small connection in f(A). This enables the construction of certain vectors, called probing vectors, that can capture the diagonals of f(A). One drawback of probing is in many cases it is too expensive to compute and store A^k for the k that adequately determines which nodes have a strong connection in f(A). Additionally, it is unlikely that the set of probing vectors required for A^k is a subset of the probing vectors needed for Ak+1. This means that if more accuracy in the estimation is required, all previously computed work must be discarded. In the case where the underlying problem arises from a discretization of a partial dierential equation (PDE) onto a lattice, we can make use of our knowledge of the geometry of the lattice to quickly create hierarchical colorings for the graph of A^k. A hierarchical coloring is one in which colors for A^{k+1} are created by splitting groups of nodes sharing a color in A^k. The hierarchical property ensures that the probing vectors used to estimate Diag(f(A)) are nested subsets, so if the results are inaccurate the estimate can be improved without discarding the previous work. If we do not have knowledge of the intrinsic geometry of the matrix, we propose two new classes of methods that improve on the results of probing. One method seeks to determine structural properties of the matrix f(A) by obtaining random samples of the columns of f(A). The other method leverages ideas arising from similar problems in graph partitioning, and makes use of the eigenvectors of f(A) to form effective hierarchical colorings. Our methods have thus far seen successful use in computational physics, where they have been applied to compute observables arising in LQCD. We hope that the renements presented in this work will enable interesting applications in many other elds.
Description
Date
2016-10-01
Journal Title
Journal ISSN
Volume Title
Publisher
Collections
Download Dataset
Files
Rights Holder
Usage License
Embargo
Research Projects
Organizational Units
Journal Issue
Keywords
Citation
Department
Computer Science
DOI
http://doi.org/10.21220/S2CC7X