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Grid/lib/algorithms/iterative/BlockConjugateGradient.h

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/*************************************************************************************
Grid physics library, www.github.com/paboyle/Grid
Source file: ./lib/algorithms/iterative/BlockConjugateGradient.h
Copyright (C) 2017
Author: Azusa Yamaguchi <ayamaguc@staffmail.ed.ac.uk>
Author: Peter Boyle <paboyle@ph.ed.ac.uk>
This program is free software; you can redistribute it and/or modify
it under the terms of the GNU General Public License as published by
the Free Software Foundation; either version 2 of the License, or
(at your option) any later version.
This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
GNU General Public License for more details.
You should have received a copy of the GNU General Public License along
with this program; if not, write to the Free Software Foundation, Inc.,
51 Franklin Street, Fifth Floor, Boston, MA 02110-1301 USA.
See the full license in the file "LICENSE" in the top level distribution
directory
*************************************************************************************/
/* END LEGAL */
#ifndef GRID_BLOCK_CONJUGATE_GRADIENT_H
#define GRID_BLOCK_CONJUGATE_GRADIENT_H
namespace Grid {
enum BlockCGtype { BlockCG, BlockCGrQ, CGmultiRHS };
//////////////////////////////////////////////////////////////////////////
// Block conjugate gradient. Dimension zero should be the block direction
//////////////////////////////////////////////////////////////////////////
template <class Field>
class BlockConjugateGradient : public OperatorFunction<Field> {
public:
typedef typename Field::scalar_type scomplex;
int blockDim ;
int Nblock;
BlockCGtype CGtype;
bool ErrorOnNoConverge; // throw an assert when the CG fails to converge.
// Defaults true.
RealD Tolerance;
Integer MaxIterations;
Integer IterationsToComplete; //Number of iterations the CG took to finish. Filled in upon completion
BlockConjugateGradient(BlockCGtype cgtype,int _Orthog,RealD tol, Integer maxit, bool err_on_no_conv = true)
: Tolerance(tol), CGtype(cgtype), blockDim(_Orthog), MaxIterations(maxit), ErrorOnNoConverge(err_on_no_conv)
{};
////////////////////////////////////////////////////////////////////////////////////////////////////
// Thin QR factorisation (google it)
////////////////////////////////////////////////////////////////////////////////////////////////////
void ThinQRfact (Eigen::MatrixXcd &m_rr,
Eigen::MatrixXcd &C,
Eigen::MatrixXcd &Cinv,
Field & Q,
const Field & R)
{
int Orthog = blockDim; // First dimension is block dim; this is an assumption
////////////////////////////////////////////////////////////////////////////////////////////////////
//Dimensions
// R_{ferm x Nblock} = Q_{ferm x Nblock} x C_{Nblock x Nblock} -> ferm x Nblock
//
// Rdag R = m_rr = Herm = L L^dag <-- Cholesky decomposition (LLT routine in Eigen)
//
// Q C = R => Q = R C^{-1}
//
// Want Ident = Q^dag Q = C^{-dag} R^dag R C^{-1} = C^{-dag} L L^dag C^{-1} = 1_{Nblock x Nblock}
//
// Set C = L^{dag}, and then Q^dag Q = ident
//
// Checks:
// Cdag C = Rdag R ; passes.
// QdagQ = 1 ; passes
////////////////////////////////////////////////////////////////////////////////////////////////////
sliceInnerProductMatrix(m_rr,R,R,Orthog);
// Force manifest hermitian to avoid rounding related
m_rr = 0.5*(m_rr+m_rr.adjoint());
#if 0
std::cout << " Calling Cholesky ldlt on m_rr " << m_rr <<std::endl;
Eigen::MatrixXcd L_ldlt = m_rr.ldlt().matrixL();
std::cout << " Called Cholesky ldlt on m_rr " << L_ldlt <<std::endl;
auto D_ldlt = m_rr.ldlt().vectorD();
std::cout << " Called Cholesky ldlt on m_rr " << D_ldlt <<std::endl;
#endif
// std::cout << " Calling Cholesky llt on m_rr " <<std::endl;
Eigen::MatrixXcd L = m_rr.llt().matrixL();
// std::cout << " Called Cholesky llt on m_rr " << L <<std::endl;
C = L.adjoint();
Cinv = C.inverse();
////////////////////////////////////////////////////////////////////////////////////////////////////
// Q = R C^{-1}
//
// Q_j = R_i Cinv(i,j)
//
// NB maddMatrix conventions are Right multiplication X[j] a[j,i] already
////////////////////////////////////////////////////////////////////////////////////////////////////
sliceMulMatrix(Q,Cinv,R,Orthog);
}
////////////////////////////////////////////////////////////////////////////////////////////////////
// Call one of several implementations
////////////////////////////////////////////////////////////////////////////////////////////////////
void operator()(LinearOperatorBase<Field> &Linop, const Field &Src, Field &Psi)
{
if ( CGtype == BlockCGrQ ) {
BlockCGrQsolve(Linop,Src,Psi);
} else if (CGtype == BlockCG ) {
BlockCGsolve(Linop,Src,Psi);
} else if (CGtype == CGmultiRHS ) {
CGmultiRHSsolve(Linop,Src,Psi);
} else {
assert(0);
}
}
////////////////////////////////////////////////////////////////////////////
// BlockCGrQ implementation:
//--------------------------
// X is guess/Solution
// B is RHS
// Solve A X_i = B_i ; i refers to Nblock index
////////////////////////////////////////////////////////////////////////////
void BlockCGrQsolve(LinearOperatorBase<Field> &Linop, const Field &B, Field &X)
{
int Orthog = blockDim; // First dimension is block dim; this is an assumption
Nblock = B._grid->_fdimensions[Orthog];
std::cout<<GridLogMessage<<" Block Conjugate Gradient : Orthog "<<Orthog<<" Nblock "<<Nblock<<std::endl;
X.checkerboard = B.checkerboard;
conformable(X, B);
Field tmp(B);
Field Q(B);
Field D(B);
Field Z(B);
Field AD(B);
Eigen::MatrixXcd m_DZ = Eigen::MatrixXcd::Identity(Nblock,Nblock);
Eigen::MatrixXcd m_M = Eigen::MatrixXcd::Identity(Nblock,Nblock);
Eigen::MatrixXcd m_rr = Eigen::MatrixXcd::Zero(Nblock,Nblock);
Eigen::MatrixXcd m_C = Eigen::MatrixXcd::Zero(Nblock,Nblock);
Eigen::MatrixXcd m_Cinv = Eigen::MatrixXcd::Zero(Nblock,Nblock);
Eigen::MatrixXcd m_S = Eigen::MatrixXcd::Zero(Nblock,Nblock);
Eigen::MatrixXcd m_Sinv = Eigen::MatrixXcd::Zero(Nblock,Nblock);
Eigen::MatrixXcd m_tmp = Eigen::MatrixXcd::Identity(Nblock,Nblock);
Eigen::MatrixXcd m_tmp1 = Eigen::MatrixXcd::Identity(Nblock,Nblock);
// Initial residual computation & set up
std::vector<RealD> residuals(Nblock);
std::vector<RealD> ssq(Nblock);
sliceNorm(ssq,B,Orthog);
RealD sssum=0;
for(int b=0;b<Nblock;b++) sssum+=ssq[b];
sliceNorm(residuals,B,Orthog);
for(int b=0;b<Nblock;b++){ assert(std::isnan(residuals[b])==0); }
sliceNorm(residuals,X,Orthog);
for(int b=0;b<Nblock;b++){ assert(std::isnan(residuals[b])==0); }
/************************************************************************
* Block conjugate gradient rQ (Sebastien Birk Thesis, after Dubrulle 2001)
************************************************************************
* Dimensions:
*
* X,B==(Nferm x Nblock)
* A==(Nferm x Nferm)
*
* Nferm = Nspin x Ncolour x Ncomplex x Nlattice_site
*
* QC = R = B-AX, D = Q ; QC => Thin QR factorisation (google it)
* for k:
* Z = AD
* M = [D^dag Z]^{-1}
* X = X + D MC
* QS = Q - ZM
* D = Q + D S^dag
* C = S C
*/
///////////////////////////////////////
// Initial block: initial search dir is guess
///////////////////////////////////////
std::cout << GridLogMessage<<"BlockCGrQ algorithm initialisation " <<std::endl;
//1. QC = R = B-AX, D = Q ; QC => Thin QR factorisation (google it)
Linop.HermOp(X, AD);
tmp = B - AD;
//std::cout << GridLogMessage << " initial tmp " << norm2(tmp)<< std::endl;
ThinQRfact (m_rr, m_C, m_Cinv, Q, tmp);
//std::cout << GridLogMessage << " initial Q " << norm2(Q)<< std::endl;
//std::cout << GridLogMessage << " m_rr " << m_rr<<std::endl;
//std::cout << GridLogMessage << " m_C " << m_C<<std::endl;
//std::cout << GridLogMessage << " m_Cinv " << m_Cinv<<std::endl;
D=Q;
std::cout << GridLogMessage<<"BlockCGrQ computed initial residual and QR fact " <<std::endl;
///////////////////////////////////////
// Timers
///////////////////////////////////////
GridStopWatch sliceInnerTimer;
GridStopWatch sliceMaddTimer;
GridStopWatch QRTimer;
GridStopWatch MatrixTimer;
GridStopWatch SolverTimer;
SolverTimer.Start();
int k;
for (k = 1; k <= MaxIterations; k++) {
//3. Z = AD
MatrixTimer.Start();
Linop.HermOp(D, Z);
MatrixTimer.Stop();
//std::cout << GridLogMessage << " norm2 Z " <<norm2(Z)<<std::endl;
//4. M = [D^dag Z]^{-1}
sliceInnerTimer.Start();
sliceInnerProductMatrix(m_DZ,D,Z,Orthog);
sliceInnerTimer.Stop();
m_M = m_DZ.inverse();
//std::cout << GridLogMessage << " m_DZ " <<m_DZ<<std::endl;
//5. X = X + D MC
m_tmp = m_M * m_C;
sliceMaddTimer.Start();
sliceMaddMatrix(X,m_tmp, D,X,Orthog);
sliceMaddTimer.Stop();
//6. QS = Q - ZM
sliceMaddTimer.Start();
sliceMaddMatrix(tmp,m_M,Z,Q,Orthog,-1.0);
sliceMaddTimer.Stop();
QRTimer.Start();
ThinQRfact (m_rr, m_S, m_Sinv, Q, tmp);
QRTimer.Stop();
//7. D = Q + D S^dag
m_tmp = m_S.adjoint();
sliceMaddTimer.Start();
sliceMaddMatrix(D,m_tmp,D,Q,Orthog);
sliceMaddTimer.Stop();
//8. C = S C
m_C = m_S*m_C;
/*********************
* convergence monitor
*********************
*/
m_rr = m_C.adjoint() * m_C;
RealD max_resid=0;
RealD rrsum=0;
RealD rr;
for(int b=0;b<Nblock;b++) {
rrsum+=real(m_rr(b,b));
rr = real(m_rr(b,b))/ssq[b];
if ( rr > max_resid ) max_resid = rr;
}
std::cout << GridLogIterative << "\titeration "<<k<<" rr_sum "<<rrsum<<" ssq_sum "<< sssum
<<" ave "<<std::sqrt(rrsum/sssum) << " max "<< max_resid <<std::endl;
if ( max_resid < Tolerance*Tolerance ) {
SolverTimer.Stop();
std::cout << GridLogMessage<<"BlockCGrQ converged in "<<k<<" iterations"<<std::endl;
for(int b=0;b<Nblock;b++){
std::cout << GridLogMessage<< "\t\tblock "<<b<<" computed resid "
<< std::sqrt(real(m_rr(b,b))/ssq[b])<<std::endl;
}
std::cout << GridLogMessage<<"\tMax residual is "<<std::sqrt(max_resid)<<std::endl;
Linop.HermOp(X, AD);
AD = AD-B;
std::cout << GridLogMessage <<"\t True residual is " << std::sqrt(norm2(AD)/norm2(B)) <<std::endl;
std::cout << GridLogMessage << "Time Breakdown "<<std::endl;
std::cout << GridLogMessage << "\tElapsed " << SolverTimer.Elapsed() <<std::endl;
std::cout << GridLogMessage << "\tMatrix " << MatrixTimer.Elapsed() <<std::endl;
std::cout << GridLogMessage << "\tInnerProd " << sliceInnerTimer.Elapsed() <<std::endl;
std::cout << GridLogMessage << "\tMaddMatrix " << sliceMaddTimer.Elapsed() <<std::endl;
std::cout << GridLogMessage << "\tThinQRfact " << QRTimer.Elapsed() <<std::endl;
IterationsToComplete = k;
return;
}
}
std::cout << GridLogMessage << "BlockConjugateGradient(rQ) did NOT converge" << std::endl;
if (ErrorOnNoConverge) assert(0);
IterationsToComplete = k;
}
//////////////////////////////////////////////////////////////////////////
// Block conjugate gradient; Original O'Leary Dimension zero should be the block direction
//////////////////////////////////////////////////////////////////////////
void BlockCGsolve(LinearOperatorBase<Field> &Linop, const Field &Src, Field &Psi)
{
int Orthog = blockDim; // First dimension is block dim; this is an assumption
Nblock = Src._grid->_fdimensions[Orthog];
std::cout<<GridLogMessage<<" Block Conjugate Gradient : Orthog "<<Orthog<<" Nblock "<<Nblock<<std::endl;
Psi.checkerboard = Src.checkerboard;
conformable(Psi, Src);
Field P(Src);
Field AP(Src);
Field R(Src);
Eigen::MatrixXcd m_pAp = Eigen::MatrixXcd::Identity(Nblock,Nblock);
Eigen::MatrixXcd m_pAp_inv= Eigen::MatrixXcd::Identity(Nblock,Nblock);
Eigen::MatrixXcd m_rr = Eigen::MatrixXcd::Zero(Nblock,Nblock);
Eigen::MatrixXcd m_rr_inv = Eigen::MatrixXcd::Zero(Nblock,Nblock);
Eigen::MatrixXcd m_alpha = Eigen::MatrixXcd::Zero(Nblock,Nblock);
Eigen::MatrixXcd m_beta = Eigen::MatrixXcd::Zero(Nblock,Nblock);
// Initial residual computation & set up
std::vector<RealD> residuals(Nblock);
std::vector<RealD> ssq(Nblock);
sliceNorm(ssq,Src,Orthog);
RealD sssum=0;
for(int b=0;b<Nblock;b++) sssum+=ssq[b];
sliceNorm(residuals,Src,Orthog);
for(int b=0;b<Nblock;b++){ assert(std::isnan(residuals[b])==0); }
sliceNorm(residuals,Psi,Orthog);
for(int b=0;b<Nblock;b++){ assert(std::isnan(residuals[b])==0); }
// Initial search dir is guess
Linop.HermOp(Psi, AP);
/************************************************************************
* Block conjugate gradient (Stephen Pickles, thesis 1995, pp 71, O Leary 1980)
************************************************************************
* O'Leary : R = B - A X
* O'Leary : P = M R ; preconditioner M = 1
* O'Leary : alpha = PAP^{-1} RMR
* O'Leary : beta = RMR^{-1}_old RMR_new
* O'Leary : X=X+Palpha
* O'Leary : R_new=R_old-AP alpha
* O'Leary : P=MR_new+P beta
*/
R = Src - AP;
P = R;
sliceInnerProductMatrix(m_rr,R,R,Orthog);
GridStopWatch sliceInnerTimer;
GridStopWatch sliceMaddTimer;
GridStopWatch MatrixTimer;
GridStopWatch SolverTimer;
SolverTimer.Start();
int k;
for (k = 1; k <= MaxIterations; k++) {
RealD rrsum=0;
for(int b=0;b<Nblock;b++) rrsum+=real(m_rr(b,b));
std::cout << GridLogIterative << "\titeration "<<k<<" rr_sum "<<rrsum<<" ssq_sum "<< sssum
<<" / "<<std::sqrt(rrsum/sssum) <<std::endl;
MatrixTimer.Start();
Linop.HermOp(P, AP);
MatrixTimer.Stop();
// Alpha
sliceInnerTimer.Start();
sliceInnerProductMatrix(m_pAp,P,AP,Orthog);
sliceInnerTimer.Stop();
m_pAp_inv = m_pAp.inverse();
m_alpha = m_pAp_inv * m_rr ;
// Psi, R update
sliceMaddTimer.Start();
sliceMaddMatrix(Psi,m_alpha, P,Psi,Orthog); // add alpha * P to psi
sliceMaddMatrix(R ,m_alpha,AP, R,Orthog,-1.0);// sub alpha * AP to resid
sliceMaddTimer.Stop();
// Beta
m_rr_inv = m_rr.inverse();
sliceInnerTimer.Start();
sliceInnerProductMatrix(m_rr,R,R,Orthog);
sliceInnerTimer.Stop();
m_beta = m_rr_inv *m_rr;
// Search update
sliceMaddTimer.Start();
sliceMaddMatrix(AP,m_beta,P,R,Orthog);
sliceMaddTimer.Stop();
P= AP;
/*********************
* convergence monitor
*********************
*/
RealD max_resid=0;
RealD rr;
for(int b=0;b<Nblock;b++){
rr = real(m_rr(b,b))/ssq[b];
if ( rr > max_resid ) max_resid = rr;
}
if ( max_resid < Tolerance*Tolerance ) {
SolverTimer.Stop();
std::cout << GridLogMessage<<"BlockCG converged in "<<k<<" iterations"<<std::endl;
for(int b=0;b<Nblock;b++){
std::cout << GridLogMessage<< "\t\tblock "<<b<<" computed resid "
<< std::sqrt(real(m_rr(b,b))/ssq[b])<<std::endl;
}
std::cout << GridLogMessage<<"\tMax residual is "<<std::sqrt(max_resid)<<std::endl;
Linop.HermOp(Psi, AP);
AP = AP-Src;
std::cout << GridLogMessage <<"\t True residual is " << std::sqrt(norm2(AP)/norm2(Src)) <<std::endl;
std::cout << GridLogMessage << "Time Breakdown "<<std::endl;
std::cout << GridLogMessage << "\tElapsed " << SolverTimer.Elapsed() <<std::endl;
std::cout << GridLogMessage << "\tMatrix " << MatrixTimer.Elapsed() <<std::endl;
std::cout << GridLogMessage << "\tInnerProd " << sliceInnerTimer.Elapsed() <<std::endl;
std::cout << GridLogMessage << "\tMaddMatrix " << sliceMaddTimer.Elapsed() <<std::endl;
IterationsToComplete = k;
return;
}
}
std::cout << GridLogMessage << "BlockConjugateGradient did NOT converge" << std::endl;
if (ErrorOnNoConverge) assert(0);
IterationsToComplete = k;
}
//////////////////////////////////////////////////////////////////////////
// multiRHS conjugate gradient. Dimension zero should be the block direction
// Use this for spread out across nodes
//////////////////////////////////////////////////////////////////////////
void CGmultiRHSsolve(LinearOperatorBase<Field> &Linop, const Field &Src, Field &Psi)
{
int Orthog = blockDim; // First dimension is block dim
Nblock = Src._grid->_fdimensions[Orthog];
std::cout<<GridLogMessage<<"MultiRHS Conjugate Gradient : Orthog "<<Orthog<<" Nblock "<<Nblock<<std::endl;
Psi.checkerboard = Src.checkerboard;
conformable(Psi, Src);
Field P(Src);
Field AP(Src);
Field R(Src);
std::vector<ComplexD> v_pAp(Nblock);
std::vector<RealD> v_rr (Nblock);
std::vector<RealD> v_rr_inv(Nblock);
std::vector<RealD> v_alpha(Nblock);
std::vector<RealD> v_beta(Nblock);
// Initial residual computation & set up
std::vector<RealD> residuals(Nblock);
std::vector<RealD> ssq(Nblock);
sliceNorm(ssq,Src,Orthog);
RealD sssum=0;
for(int b=0;b<Nblock;b++) sssum+=ssq[b];
sliceNorm(residuals,Src,Orthog);
for(int b=0;b<Nblock;b++){ assert(std::isnan(residuals[b])==0); }
sliceNorm(residuals,Psi,Orthog);
for(int b=0;b<Nblock;b++){ assert(std::isnan(residuals[b])==0); }
// Initial search dir is guess
Linop.HermOp(Psi, AP);
R = Src - AP;
P = R;
sliceNorm(v_rr,R,Orthog);
GridStopWatch sliceInnerTimer;
GridStopWatch sliceMaddTimer;
GridStopWatch sliceNormTimer;
GridStopWatch MatrixTimer;
GridStopWatch SolverTimer;
SolverTimer.Start();
int k;
for (k = 1; k <= MaxIterations; k++) {
RealD rrsum=0;
for(int b=0;b<Nblock;b++) rrsum+=real(v_rr[b]);
std::cout << GridLogIterative << "\titeration "<<k<<" rr_sum "<<rrsum<<" ssq_sum "<< sssum
<<" / "<<std::sqrt(rrsum/sssum) <<std::endl;
MatrixTimer.Start();
Linop.HermOp(P, AP);
MatrixTimer.Stop();
// Alpha
sliceInnerTimer.Start();
sliceInnerProductVector(v_pAp,P,AP,Orthog);
sliceInnerTimer.Stop();
for(int b=0;b<Nblock;b++){
v_alpha[b] = v_rr[b]/real(v_pAp[b]);
}
// Psi, R update
sliceMaddTimer.Start();
sliceMaddVector(Psi,v_alpha, P,Psi,Orthog); // add alpha * P to psi
sliceMaddVector(R ,v_alpha,AP, R,Orthog,-1.0);// sub alpha * AP to resid
sliceMaddTimer.Stop();
// Beta
for(int b=0;b<Nblock;b++){
v_rr_inv[b] = 1.0/v_rr[b];
}
sliceNormTimer.Start();
sliceNorm(v_rr,R,Orthog);
sliceNormTimer.Stop();
for(int b=0;b<Nblock;b++){
v_beta[b] = v_rr_inv[b] *v_rr[b];
}
// Search update
sliceMaddTimer.Start();
sliceMaddVector(P,v_beta,P,R,Orthog);
sliceMaddTimer.Stop();
/*********************
* convergence monitor
*********************
*/
RealD max_resid=0;
for(int b=0;b<Nblock;b++){
RealD rr = v_rr[b]/ssq[b];
if ( rr > max_resid ) max_resid = rr;
}
if ( max_resid < Tolerance*Tolerance ) {
SolverTimer.Stop();
std::cout << GridLogMessage<<"MultiRHS solver converged in " <<k<<" iterations"<<std::endl;
for(int b=0;b<Nblock;b++){
std::cout << GridLogMessage<< "\t\tBlock "<<b<<" computed resid "<< std::sqrt(v_rr[b]/ssq[b])<<std::endl;
}
std::cout << GridLogMessage<<"\tMax residual is "<<std::sqrt(max_resid)<<std::endl;
Linop.HermOp(Psi, AP);
AP = AP-Src;
std::cout <<GridLogMessage << "\tTrue residual is " << std::sqrt(norm2(AP)/norm2(Src)) <<std::endl;
std::cout << GridLogMessage << "Time Breakdown "<<std::endl;
std::cout << GridLogMessage << "\tElapsed " << SolverTimer.Elapsed() <<std::endl;
std::cout << GridLogMessage << "\tMatrix " << MatrixTimer.Elapsed() <<std::endl;
std::cout << GridLogMessage << "\tInnerProd " << sliceInnerTimer.Elapsed() <<std::endl;
std::cout << GridLogMessage << "\tNorm " << sliceNormTimer.Elapsed() <<std::endl;
std::cout << GridLogMessage << "\tMaddMatrix " << sliceMaddTimer.Elapsed() <<std::endl;
IterationsToComplete = k;
return;
}
}
std::cout << GridLogMessage << "MultiRHSConjugateGradient did NOT converge" << std::endl;
if (ErrorOnNoConverge) assert(0);
IterationsToComplete = k;
}
};
}
#endif
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