Parallel Incomplete-LU and Cholesky Factorization

June 13th, 2012

Abstract:

A novel algorithm for computing the incomplete-LU and Cholesky factorization with 0 fill-in on a graphics processing unit (GPU) is proposed. It implements the incomplete factorization of the given matrix in two phases. First, the symbolic analysis phase builds a dependency graph based on the matrix sparsity pattern and groups the independent rows into levels. Second, the numerical factorization phase obtains the resulting lower and upper sparse triangular factors by iterating sequentially across the constructed levels. The Gaussian elimination of the elements below the main diagonal in the rows corresponding to each single level is performed in parallel. The numerical experiments are also presented and it is shown that the numerical factorization phase can achieve on average more than 2.8x speedup over MKL, while the incomplete-LU and Cholesky preconditioned iterative methods can achieve an average of 2x speedup on GPU over their CPU implementation.

(Maxim Naumov. Parallel Incomplete-LU and Cholesky Factorization in the Preconditioned Iterative Methods on the GPU, NVIDIA Technical Report NVR-2012-003. May 2012.)