PRIMME

This package is an R interface to PRIMME, a high-performance C library for computing a few eigenvalues/eigenvectors, and singular values/vectors. PRIMME is especially optimized for large, difficult problems. Real symmetric and complex Hermitian problems, standard Ax = λx and generalized *Ax = λB**x*, are supported. It can find largest, smallest, or interior singular/eigenvalues, and can use preconditioning to accelerate convergence.

The main contributors to PRIMME are James R. McCombs, Eloy Romero Alcalde, Andreas Stathopoulos and Lingfei Wu.

Use the following two references to cite this package:

• A. Stathopoulos and J. R. McCombs PRIMME: PReconditioned Iterative MultiMethod Eigensolver: Methods and software description, ACM Transaction on Mathematical Software Vol. 37, No. 2, (2010), 21:1-21:30.

• L. Wu, E. Romero and A. Stathopoulos, PRIMME_SVDS: A High-Performance Preconditioned SVD Solver for Accurate Large-Scale Computations, J. Sci. Comput., Vol. 39, No. 5, (2017), S248–S271.

Installation Instructions

The latest release of PRIMME is available on CRAN:

install.packages("PRIMME")

To install the developer version:

library(devtools)
install_github("primme/primme", subdir="R")

Usage

Load the package as usual:

library(PRIMME)

Eigenvalue problems

The next example computes the three largest eigenvalues of the matrix A, which in this case is a dense diagonal matrix. It shows all the eigenvalues values, the eigenvectors vectors, the residual norms rnorms and some stats, such as the time stats$elapsedTime and the number of matrix vector multiplications performed stats$numMatvecs:

A <- diag(1:10) 
r <- eigs_sym(A, 3);
r
#> $values
#> [1] 10  9  8
#> 
#> $vectors
#>                [,1]          [,2]          [,3]
#>  [1,] -1.371868e-16  2.381771e-16 -2.252380e-16
#>  [2,]  6.980780e-17  2.866614e-17  1.292433e-16
#>  [3,] -2.299606e-16  1.269985e-16 -5.609795e-17
#>  [4,] -1.960802e-16  2.701925e-17 -2.503660e-17
#>  [5,] -4.857749e-17  2.462784e-16 -1.267024e-16
#>  [6,] -2.577747e-16 -2.079437e-16 -1.676989e-16
#>  [7,] -8.486805e-17 -7.529381e-16 -2.007853e-15
#>  [8,] -1.120694e-15 -2.065498e-15 -1.000000e+00
#>  [9,] -6.414024e-16 -1.000000e+00  1.560476e-15
#> [10,]  1.000000e+00 -2.987345e-16 -1.484140e-15
#> 
#> $rnorms
#> [1] 5.155287e-15 4.440892e-15 4.740049e-15
#> 
#> $stats
#> $stats$numMatvecs
#> [1] 10
#> 
#> $stats$numPreconds
#> [1] 0
#> 
#> $stats$elapsedTime
#> [1] 0.0006821156
#> 
#> $stats$estimateMinEval
#> [1] 1
#> 
#> $stats$estimateMaxEval
#> [1] 10
#> 
#> $stats$estimateANorm
#> [1] 10
#> 
#> $stats$timeMatvec
#> [1] 0.0003759861
#> 
#> $stats$timePrecond
#> [1] 0

The next examples show how to compute eigenvalues in other parts of the spectrum:

A <- diag(1:10)

r <- eigs_sym(A, 3, 'SA'); # compute the three smallest values
r$values
#> [1] 1 2 3

r <- eigs_sym(A, 3, 5.1); # compute the three closest values to 5.1
r$values
#> [1] 5 6 4

In some cases, a larger convergence tolerance may suffice:

A <- diag(1:5000)

r <- eigs_sym(A, 10, 'SA');
r$stats$numMatvecs
#> [1] 1201

r <- eigs_sym(A, 10, 'SA', tol=1e-3); 
r$stats$numMatvecs
#> [1] 414

Preconditioners, if available can reduce the time/matrix-vector multiplications significantly (see TODO):

# A is a tridiagonal
A <- diag(1:5000)
for(i in 1:4999) {A[i,i+1]<-1; A[i+1,i]<-1}

r <- eigs_sym(A, 10, 'SA');
r$stats$numMatvecs
#> [1] 1323
r$stats$elapsedTime
#> [1] 6.180366

# Jacobi preconditioner
P = diag(A);
r <- eigs_sym(A, 10, 'SA', prec=function(x)x/P);
r$stats$numMatvecs
#> [1] 51
r$stats$elapsedTime
#> [1] 0.2492089

Dense matrices, sparse matrices, and functions that return the matrix-vector product can be passed as the matrix problem A:

r <- eigs_sym(diag(1:10), 1); # dense matrix
library(Matrix)
r <- eigs_sym(Matrix(diag(1:10), sparse=TRUE), 1); # sparse matrix
Afun = function(x) matrix(1:10)*x;  # function that does diag(1:10) %*% x
r <- eigs_sym(Afun, 1, n=10); # n is the matrix dimension corresponding to Afun

The next benchmark function extends rbenchmark to return besides the time, the number of matrix-vector multiplications and the maximum residual norm among all returned eigenpairs.

library(knitr)

bench_eigs <- function(..., A, environment=parent.frame()) {
   arguments = match.call()[-1]
   if (!is.null(names(arguments)))
      arguments = arguments[!names(arguments) %in% c("A", "environment")]
   testRes <- function(s,v)
      sapply(1:ncol(v), function(i)
         base::norm(A%*%v[,i]-v[,i]*s[i],"2"));
   labels <- (if (!is.null(names(arguments))) names else as.character)(arguments) 
   data.frame(row.names=NULL, test=labels, t(mapply(function(test) {
      r_t <- system.time(r <- eval(test, environment));
      if (!"values" %in% names(r)) r$values <- r$d;
      if (!"vectors" %in% names(r)) r$vectors <- r$u;
      resNorm <- max(testRes(r$values, r$vectors))
      matvecs <- if ("mprod" %in% names(r)) r$mprod
                 else if ("nops" %in% names(r)) r$nops
                 else if ("stats" %in% names(r)) r$stats$numMatvecs
                 else "--";
      list(time=r_t[3], matvecs=matvecs, rnorm=resNorm)
   }, arguments)))
}

PRIMME eigs_sym is based on Davidson-type methods and they may be faster than Lanczos/Arnoldi based method (e.g., svd, RSpectra and irlba) in difficult problems that eigenpairs take many iterations to convergence or an efficient preconditioner is available.

library(RSpectra, warn.conflicts=FALSE, pos=5)
library(irlba, pos=5)
library(svd, pos=5)

Ad <- diag(1:12000);
for(i in 1:11999) {Ad[i,i+1]<-1; Ad[i+1,i]<-1}
set.seed(1)
r <- bench_eigs(
   PRIMME=PRIMME::eigs_sym(Ad,2,tol=1e-5),
   irlba=partial_eigen(Ad,2,tol=1e-5),
   RSpectra=RSpectra::eigs_sym(Ad,2,tol=1e-5),
   trlan=svd::trlan.eigen(Ad,2,opts=list(tol=1e-5)),
   A=Ad
)
kable(r, digits=2, caption="2 largest eigenvalues on dense matrix")

Ad <- diag(1:6000);
for(i in 1:5999) {Ad[i,i+1]<-1; Ad[i+1,i]<-1}
P <- diag(Ad);
set.seed(1)
r <- bench_eigs(
   PRIMME=PRIMME::eigs_sym(Ad,5,'SM',tol=1e-7),
   "PRIMME Prec"=PRIMME::eigs_sym(Ad,5,'SM',tol=1e-7,prec=function(x)x/P),
   RSpectra=RSpectra::eigs_sym(Ad,5,'SM',tol=1e-7),
   A=Ad
)
kable(r, digits=2, caption="5 eigenvalues closest to zero on dense matrix")

By default PRIMME tries to guess the best configuration, but a little hint can help sometimes. The next example sets the preset method 'PRIMME_DEFAULT_MIN_TIME' that takes advantage of very light matrix-vector products.

As <- as(sparseMatrix(i=1:50000,j=1:50000,x=1:50000),"dgCMatrix");
for(i in 1:49999) {As[i,i+1]<-1; As[i+1,i]<-1}
P = 1:50000; # Jacobi preconditioner of As
set.seed(1)
r <- bench_eigs(
   "PRIMME defaults"=PRIMME::eigs_sym(As,40,'SM',tol=1e-10),
   "PRIMME min time"=PRIMME::eigs_sym(As,40,'SM',tol=1e-10,method='PRIMME_DEFAULT_MIN_TIME'),
   "PRIMME Prec"=PRIMME::eigs_sym(As,40,'SM',tol=1e-10,prec=function(x)x/P),
   RSpectra=RSpectra::eigs_sym(As,40,'SM',tol=1e-10,opts=list(maxitr=9999)),
   A=As
)
kable(r, digits=2, caption="40 eigenvalues closest to zero on dense matrix")

Singular value problems

For SVD problems, the package provides a similar interface:

A <- diag(1:10, 20,10) # rectangular matrix of dimension 20x10
r <- svds(A, 3); # compute the three largest singular values
r
#> $d
#> [1] 10  9  8
#> 
#> $u
#>                [,1]          [,2]          [,3]
#>  [1,] -1.005532e-17 -2.363039e-17 -2.054460e-18
#>  [2,] -1.258396e-17 -8.675434e-18  3.439066e-17
#>  [3,] -7.359263e-18 -3.292225e-17 -8.656467e-18
#>  [4,]  3.835071e-17  4.091713e-17  6.938004e-18
#>  [5,] -1.440351e-17 -2.958001e-17  4.547859e-19
#>  [6,]  7.167005e-17  1.429539e-16  8.137773e-20
#>  [7,] -5.629758e-17  1.196127e-17  3.508478e-16
#>  [8,] -2.642821e-17 -1.260746e-16 -1.000000e+00
#>  [9,]  5.819616e-16 -1.000000e+00  1.740527e-16
#> [10,]  1.000000e+00  1.131234e-15 -4.132377e-17
#> [11,]  0.000000e+00  0.000000e+00  0.000000e+00
#> [12,]  0.000000e+00  0.000000e+00  0.000000e+00
#> [13,]  0.000000e+00  0.000000e+00  0.000000e+00
#> [14,]  0.000000e+00  0.000000e+00  0.000000e+00
#> [15,]  0.000000e+00  0.000000e+00  0.000000e+00
#> [16,]  0.000000e+00  0.000000e+00  0.000000e+00
#> [17,]  0.000000e+00  0.000000e+00  0.000000e+00
#> [18,]  0.000000e+00  0.000000e+00  0.000000e+00
#> [19,]  0.000000e+00  0.000000e+00  0.000000e+00
#> [20,]  0.000000e+00  0.000000e+00  0.000000e+00
#> 
#> $v
#>                [,1]          [,2]          [,3]
#>  [1,] -1.005532e-16 -2.126735e-16 -1.643568e-17
#>  [2,] -6.291981e-17 -3.903946e-17  1.375627e-16
#>  [3,] -2.453088e-17 -9.876675e-17 -2.308391e-17
#>  [4,]  9.587679e-17  9.206354e-17  1.387601e-17
#>  [5,] -2.880701e-17 -5.324401e-17  7.276574e-19
#>  [6,]  1.194501e-16  2.144308e-16  1.085036e-19
#>  [7,] -8.042512e-17  1.537878e-17  4.009689e-16
#>  [8,] -3.303526e-17 -1.418340e-16 -1.000000e+00
#>  [9,]  6.466240e-16 -1.000000e+00  1.547135e-16
#> [10,]  1.000000e+00  1.018111e-15 -3.305902e-17
#> 
#> $rnorms
#> [1] 6.280370e-15 6.978189e-15 7.850462e-15
#> 
#> $stats
#> $stats$numMatvecs
#> [1] 20
#> 
#> $stats$numPreconds
#> [1] 0
#> 
#> $stats$elapsedTime
#> [1] 0.0001609325
#> 
#> $stats$estimateANorm
#> [1] 10
#> 
#> $stats$timeMatvec
#> [1] 5.960464e-06
#> 
#> $stats$timePrecond
#> [1] 9.536743e-07

The next examples show how to compute the smallest singular values and how to specify some tolerance:

A <- diag(1:100, 500,100)

r <- svds(A, 3, 'S'); # compute the three smallest values
r$d
#> [1] 1 2 3

r <- svds(A, 3, 'S', tol=1e-5);
r$rnorms # this is should be smaller than ||A||*tol
#> [1] 0.0007164257 0.0014383196 0.0012264714

The next example shows the use of a diagonal preconditioner based on A^*A (see TODO):

A <- rbind(rep(1,n=100), diag(1:100, 500,100))
r <- svds(A, 3, 'S');
r$stats$numMatvecs
#> [1] 662

P <- colSums(A^2);  # Jacobi preconditioner of Conj(t(A))%*%A
r <- svds(A, 3, 'S', prec=list(AHA=function(x)x/P));
r$stats$numMatvecs
#> [1] 44

The next benchmark function extends rbenchmark to return besides the time, the number of matrix-vector multiplications and the maximum residual norm of the returned triplets.

bench_svds <- function(..., A, environment=parent.frame()) {
   arguments = match.call()[-1]
   if (!is.null(names(arguments)))
      arguments = arguments[!names(arguments) %in% c("A", "environment")]
   testRes <- function(u,s,v)
      sapply(1:ncol(u), function(i)
         base::norm(rbind(A%*%v[,i]-u[,i]*s[i], Conj(t(as.matrix(Conj(t(u[,i]))%*%A)))-v[,i]*s[i]),"2"));
   labels <- (if (!is.null(names(arguments))) names else as.character)(arguments) 
   data.frame(row.names=NULL, test=labels, t(mapply(function(test) {
      r_t <- system.time(r <- eval(test, environment));
      if (is.null(r$v)) r$v <- sapply(1:ncol(r$u), function(i) crossprod(A,r$u[,i])/base::norm(crossprod(A,r$u[,i]),"2"));
      resNorm <- max(testRes(r$u, r$d, r$v))
      matvecs <- if ("mprod" %in% names(r)) r$mprod
                 else if ("nops" %in% names(r)) r$nops
                 else if ("stats" %in% names(r)) r$stats$numMatvecs
                 else "--";
      list(time=r_t[3], matvecs=matvecs, rnorm=resNorm)
   }, arguments)))
}

PRIMME svds may perform as good as similar methods in the packages svd, RSpectra and irlba in solving few singular values.

Ad <- matrix(rnorm(6000*6000),6000)
set.seed(1)
r <- bench_svds(
   PRIMME=PRIMME::svds(Ad,2,tol=1e-5),
   irlba=irlba(Ad,2,tol=1e-5),
   RSpectra=RSpectra::svds(Ad,2,tol=1e-5),
   trlan=trlan.svd(Ad,2,opts=list(tol=1e-5)),
   propack=propack.svd(Ad,2,opts=list(tol=1e-5,maxiter=99999)),
   A=Ad
)
kable(r, digits=2, caption="2 largest singular values on dense matrix")

PRIMME can take advantage of a light matrix-vector product:

As <- as(sparseMatrix(i=1:50000,j=1:50000,x=1:50000),"dgCMatrix");
r <- bench_svds(
   PRIMME=PRIMME::svds(As,40,tol=1e-5),
   irlba=irlba(As,40,tol=1e-5,maxit=5000,work=100),
   RSpectra=RSpectra::svds(As,40,tol=1e-5),
   A=As
)
kable(r, digits=2, caption="40 largest singular values on sparse matrix")

And for now it is the only package that supports computing the smallest singular values:

# Get LargeReFile from UF matrix collection
tf <- tempfile();
download.file('https://sparse.tamu.edu/MM/Stevenson/LargeRegFile.tar.gz',tf);
td <- tempdir();
untar(tf, exdir=td);
As <- as(readMM(paste(td,'LargeRegFile/LargeRegFile.mtx',sep='/')), "dgCMatrix");
unlink(tf)
unlink(td, recursive=TRUE)

P <- colSums(As^2);  # Jacobi preconditioner of Conj(t(A))%*%A
r <- bench_svds(
   PRIMME=PRIMME::svds(As,5,'S',tol=1e-10),
   "PRIMME Prec"=PRIMME::svds(As,5,'S',tol=1e-10,prec=list(AHA=function(x)x/P)),
   A=As
)
kable(r, digits=2, caption="5 smallest singular values on sparse matrix")

TODO

• Optimize the application of preconditioner when it is passed as a dense or sparse matrix. When solving small problems the overhead of calling the R function that applies the preconditioner can dominate over the reduction of iterations:

# A is a tridiagonal
A <- diag(1:1000)
for(i in 1:999) {A[i,i+1]<-1; A[i+1,i]<-1}

r <- eigs_sym(A, 10, 'SA');
r$stats$numMatvecs
#> [1] 698
r$stats$elapsedTime
#> [1] 0.067518

# Jacobi preconditioner
P = diag(diag(A));
r <- eigs_sym(A, 10, 'SA', prec=P);
r$stats$numMatvecs
#> [1] 58
r$stats$elapsedTime
#> [1] 1.062686

• Add support for matrices distributed among processes.