Is repeated calculations of eigenvalues without overwriting input matrix or allocating new arrays possible?

question
linearalgebra

#1

In my simulation, I need to repeatedly update a few entries of a square matrix A and then calculate the corresponding eigenvalues \lambda. Doing \lambda = eigvals(A) will allocate new memory each time, while \lambda = eigvals!(A) overwrites A, which is not desired. Is there a way of avoiding these cases, i.e. preallocating the necessary arrays/memory once, after which the eigenvalues can be calculated in-place (something like eigvals!(A, \lambda))?


#2

eigvals!() is just calling directly into LAPACK: https://github.com/JuliaLang/julia/blob/7e35ac60b3e52436912a85d29c5dffca4fbc6ad3/base/linalg/eigen.jl#L170 , so this would only be possible if LAPACK supports an out-of-place eigvals computation (eigvals(A) just creates a copy of A and then does eigvals!() on that copy).

However, you could do:

B = similar(A)
for i in 1:100
  B .= A
  eigvals!(B)
end

which doesn’t allocate any memory inside the loop, but does spend some time copying data over from A to B.


#3

Unfortunately, this will still allocate because the eigenvalue routine allocates temporary arrays in each iteration. Some work has been initiated in order to provide non-allocating LAPACK wrappers. See https://github.com/JuliaLang/julia/pull/16274. We could make this work for one solver at a time. If we then also add workspace fields to the Eigen struct then it might be possible to reuse such a struct for repeated eigenvalue computations without allocation. E.g. we could make something like this possible

F = eigfact(A)
for i in 1:100 
    rand!(A)
    eigfact!(F, A)
end

In the current setup, this could compute the vectors as well so if we want to go this route then we might want to consider a version of eigfact that only computes values.


#4

@andreasnoack: Although I’m a bit surprised non-allocating LAPACK wrappers are not yet present in (a technical programming language like) Julia, it’s good to see that work towards that has been initiated!

However, the pull request/discussion seems to end about a year ago. Do you know the current status of this issue?


#5

I also think this would be a great thing to have, so eventually I might take it up myself. But if you don’t feel like waiting an indefinite time I suggest you try to implement it and submit a PR, I am sure people will be happy to help and answer any questions you might have!


#6

(Compared to the cost of computing eigenvalues, the cost of a copy is completely negligible. Hence, I don’t really see the need for an out-of-place eigvals computation in LAPACK.)


#7

See also the PR in BandedMatrices.jl for adding LAPACK eigfact overrides https://github.com/JuliaMatrices/BandedMatrices.jl/pull/35.


#8

@andreasnoack also has a great unregistered package providing native Julia implementations of eigendecompositions (and more):

Testing the QL algorithm for symmetric matrices on positive definite matrices of a few random sizes vs LAPACK:


On one computer the crossover point happened at about n=35, and another somewhere between n = 133 and n = 150.
I suspect the former is more representative and that there’s something wrong with the LAPACK build on >133 case. Other’s are free to try.
Both were OpenBLAS. I intend to build Julia with MKL within the next week, and will rerun it then.

So, if your matrices are small enough, andreasnoack’s implementation is likely to be faster than LAPACK. Given that, if you really want in place eigenvector updating, you could modify the code there.
For example, within EigenSelfAdjoint, full(::EigenQ) allocates for the vectors.

stevengj’s of course right that the time saved in not allocating will be fairly negligible.
For n=100, the difference between copy! and copy was around 4 microseconds on my computer, while eig(::Hermitian) took about 2,300 microseconds.

Although for algorithms like Optim’s NewtonTrustRegion, where you need to recalculate eigenvalues and eigenvectors of of fairly similar matrices…could any performance be gained by somehow using the old eigenvectors as a seed/updating them?


#9

Thanks for the feedback, everyone!

@stevengj, @Elrod: You are of course right that the cost of copying (probably) will be negligible to the actual eigenvalue calculation, hence my question is actually not as important as I first imagined. Thanks for pointing this out!

@Elrod: I’ve had the same idea of using the previous eigenvalues/vectors as seeds for the next calculation (as I suspect the eigenvalues will not change very much between each iteration step), but unfortunately I have not been able to figure out (by myself / searching the internet) how to do this efficiently.