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Matrix Book

Matrix Book

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Published by: api-3832791 on Oct 18, 2008
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03/18/2014

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The Science of Programming Matrix Computations
Robert A. van de Geijn
Enrique S. Quintana-Ort\u00b4\u0131
Draft
September 7, 2006

Copyright 2004, 2005, 2006
Robert A. van de Geijn
Enrique S. Quintana-Ort\u00b4\u0131

Contents
1. Motivation
1
1.1. A Motivating Example: the LU Factorization. . . . . . . . . . . . . . . . . . . . . . . . . . .
1
1.2. Notation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
1
1.3. Algorithmic Variants. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
2
1.4. Presenting Algorithms in Code. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
4
1.5. High Performance and Blocked Algorithms. . . . . . . . . . . . . . . . . . . . . . . . . . . .
5
1.6. Numerical Stability. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
6
2. Derivation of Linear Algebra Algorithms
9
2.1. A Farewell to Indices. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
9

2.2. Predicates as Assertions about the State. . . . . . . . . . . . . . . . . . . . . . . . . . . . . .12 2.3. Verifying Loops. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .12 2.4. Goal-Oriented Development of Algorithms. . . . . . . . . . . . . . . . . . . . . . . . . . . . .15 2.5. Cost Analysis. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .19 2.6. Summary. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .20 2.7. Further Exercises. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .21

3. Matrix-Vector Operations
23

3.1. Notation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .23 3.2. Linear Transformations and Matrices. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .25 3.3. Algorithms for the Matrix-Vector Product. . . . . . . . . . . . . . . . . . . . . . . . . . . .29

3.3.1. Derivation. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .29

3.3.2. Cost Analysis ofgemv. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .32 3.4. Rank-1Update. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .35 3.5. Solving Triangular Linear Systems of Equations. . . . . . . . . . . . . . . . . . . . . . . . . .37 3.6. Blocked Algorithms. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .44

3.6.1. Cost analysis. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .49 3.7. Summary. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .49 3.8. Further Exercises. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .49

4. High Performance
51

4.1. Architectural Considerations. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .51 4.1.1. A simple model. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .51 4.1.2. Inherent limitations. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .52

4.2. Matrix-Matrix Product: Background. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .52
4.2.1. De\ufb01nition. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .53
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