Symmetric Matrix-Vector Multiplication with only lower triangular stored
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Jan Marxen
el 24 de Abr. de 2021
Comentada: Jan Marxen
el 27 de Abr. de 2021
I have a very big (n>1000000) sparse symmetric positive definite matrix A and I want to multiply it efficiently by a vector x. Only the lower triangular of matrix A is stored with function "sparse". Is there any function inbuilt or external that anyone knows of that takes as input only the lower triangular and performs the complete operation Ax without having to recover whole A (adding the strict upper triangular again)?
Thank you very much,
Jan
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Jan
el 24 de Abr. de 2021
Editada: Jan
el 24 de Abr. de 2021
Plese check if this is efficient in your case:
A = rand(5, 5);
A = A + A'; % Symmetric example matrix
B = tril(A); % Left triangular part
x = rand(5, 1);
y1 = A * x;
y2 = B * x + B.' * x - diag(B) .* x;
y1 - y2
I assume that Matlab's JIT can handle B.' * x without computing B.' explicitly. Alternative:
y2 = B * x + B.' * x - diag(diag(B)) * x;
6 comentarios
Clayton Gotberg
el 25 de Abr. de 2021
You may try taking advantage of the reshape command as @Bruno Luong suggested below, to see if it's any faster than the transpose for row and column vectors.
When you say that the difference between A*x and B*x+B'x-diag(B).*x gets larger, do you mean that the time cost is larger or that the numbers actually change? Mathematically, that shouldn't be happening, but computers+numbers == funny things.
If the time cost just becomes too high, I can take another pass at it with an eye to exploiting the symmetry of the problem. My gut reaction was this handy identity, but there have to be a few dozen more ways to skin this cat.
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Clayton Gotberg
el 24 de Abr. de 2021
If is a symmetric matrix and is the lower triangular part of the matrix and is the upper triangular part of the matrix:
where the diagonal function only finds the diagonal elements of . This is because of a few relations:
To save time and space on MATLAB (because the upper triangular matrix will take up much more space), take advantage of the relations:
To get:
Now, the MATLAB calculation is
A_times_x = A_LT*x+(x.'*A_LT).'+ diag(A_LT).*x;
This should only perform transposes on the smaller resultant matrices.
7 comentarios
Bruno Luong
el 24 de Abr. de 2021
Editada: Bruno Luong
el 24 de Abr. de 2021
Might be you can experiment with this as well
reshape((x.'*A),[],1)
Clayton Gotberg
el 24 de Abr. de 2021
I begin to understand why engineers are specifically trained and hired to test software. It's deeply interesting to get this peek into what MATLAB does to ensure I can keep writing ill-considered code.
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