Solving the generalized symmetric eigenvalue problem using tile algorithms on multicore architectures

This paper proposes an efficient implementation of the generalized symmetric eigenvalue problem on multicore architecture. Based on a four-stage approach and tile algorithms, the original problem is first transformed into a standard symmetric eigenvalue problem by computing the Cholesky factorization of the right hand side symmetric definite positive matrix (first stage), and applying the inverse of the freshly computed triangular Cholesky factors to the original dense symmetric matrix of the problem (second stage). Calculating the eigenpairs of the resulting problem is then equivalent to the eigenpairs of the original problem. The computation proceeds by reducing the updated dense symmetric matrix to symmetric band form (third stage). The band structure is further reduced by applying a bulge chasing procedure, which annihilates the extra off-diagonal entries using orthogonal transformations (fourth stage). More details on the third and fourth stage can be found in Haidar et al. [Accepted at SC'11, November 2011]. The eigenvalues are then calculated from the tridiagonal form using the standard LAPACK QR algorithm (i.e., DTSEQR routine), while the complex and challenging eigenvector computations will be addressed in a companion paper. The tasks from the various stages can concurrently run in an out-of-order fashion. The data dependencies are cautiously tracked by the dynamic runtime system environment QUARK, which ensures the dependencies are not violated for numerical correctness purposes. The obtained tile four-stage generalized symmetric eigenvalue solver significantly outperforms the state-of-the-art numerical libraries (up to 21-fold speed up against multithreaded LAPACK with optimized multithreaded MKL BLAS and up to 4-fold speed up against the corresponding routine from the commercial numerical software Intel MKL) on four sockets twelve cores AMD system with a 24000×24000 matrix size.