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Journal Articles IMA Journal of Numerical Analysis Year : 2022

Mixed Precision Low Rank Approximations and their Application to Block Low Rank LU Factorization

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Abstract

We introduce a novel approach to exploit mixed precision arithmetic for low-rank approximations. Our approach is based on the observation that singular vectors associated with small singular values can be stored in lower precisions while preserving high accuracy overall. We provide an explicit criterion to determine which level of precision is needed for each singular vector. We apply this approach to block low-rank (BLR) matrices, most of whose off-diagonal blocks have low rank. We propose a new BLR LU factorization algorithm that exploits the mixed precision representation of the blocks. We carry out the rounding error analysis of this algorithm and prove that the use of mixed precision arithmetic does not compromise the numerical stability of BLR LU factorization. Moreover our analysis determines which level of precision is needed for each floating-point operation (flop), and therefore guides us towards an implementation that is both robust and efficient. We evaluate the potential of this new algorithm on a range of matrices coming from real-life problems in industrial and academic applications. We show that a large fraction of the entries in the LU factors and flops to perform the BLR LU factorization can be safely switched to lower precisions, leading to significant reductions of the storage and flop costs, of up to a factor three using fp64, fp32, and bfloat16 arithmetics.
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Dates and versions

hal-03251738 , version 1 (07-06-2021)
hal-03251738 , version 2 (08-06-2021)
hal-03251738 , version 3 (16-09-2022)

Identifiers

Cite

Patrick Amestoy, Olivier Boiteau, Alfredo Buttari, Matthieu Gerest, Fabienne Jézéquel, et al.. Mixed Precision Low Rank Approximations and their Application to Block Low Rank LU Factorization. IMA Journal of Numerical Analysis, 2022, ⟨10.1093/imanum/drac037⟩. ⟨hal-03251738v3⟩
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