Summary:
This PR implements the following linear algebra algorithms for low-rank matrices:
- [x] Approximate `A` as `Q Q^H A` - using Algorithm 4.4 from [Halko et al, 2009](http://arxiv.org/abs/0909.4061).
+ exposed as `torch.lowrank.get_approximate_basis(A, q, niter=2, M=None) -> Q`
+ [x] dense matrices
+ [x] batches of dense matrices
+ [x] sparse matrices
+ [x] documentation
- [x] SVD - using Algorithm 5.1 from [Halko et al, 2009](http://arxiv.org/abs/0909.4061).
+ uses `torch.lowrank.get_approximate_basis`
+ exposed as `torch.svd_lowrank(A, q=6, niter=2, M=None) -> (U, S, V)`
+ [x] dense matrices
+ [x] batches of dense matrices
+ [x] sparse matrices
+ [x] documentation
- [x] PCA - using `torch.svd_lowrank`
+ uses `torch.svd_lowrank`
+ exposed as `torch.pca_lowrank(A, center=True, q=None, niter=2) -> (U, S, V)`
+ [x] dense matrices
+ [x] batches of dense matrices
+ [x] sparse matrices, uses non-centered sparse matrix algorithm
+ [x] documentation
- [x] generalized eigenvalue solver using the original LOBPCG algorithm [Knyazev, 2001](https://epubs.siam.org/doi/abs/10.1137/S1064827500366124)
+ exposed as `torch.lobpcg(A, B=None, k=1, method="basic", ...)`
+ [x] dense matrices
+ [x] batches of dense matrices
+ [x] sparse matrices
+ [x] documentation
- [x] generalized eigenvalue solver using robust LOBPCG with orthogonal basis selection [Stathopoulos, 2002](https://epubs.siam.org/doi/10.1137/S1064827500370883)
+ exposed as `torch.lobpcg(A, B=None, k=1, method="ortho", ...)`
+ [x] dense matrices
+ [x] batches of dense matrices
+ [x] sparse matrices
+ [x] documentation
- [x] generalized eigenvalue solver using the robust and efficient LOBPCG Algorithm 8 from [Duersch et al, 2018](https://epubs.siam.org/doi/abs/10.1137/17M1129830) that switches to orthogonal basis selection automatically
+ the "ortho" method improves iterations so rapidly that in the current test cases it does not make sense to use the basic iterations at all. If users will have matrices for which basic iterations could improve convergence then the `tracker` argument allows breaking the iteration process at user choice so that the user can switch to the orthogonal basis selection if needed. In conclusion, there is no need to implement Algorithm 8 at this point.
- [x] benchmarks
+ [x] `torch.svd` vs `torch.svd_lowrank`, see notebook [Low-rank SVD](https://github.com/Quansight/pearu-sandbox/blob/master/pytorch/Low-rank%20SVD.ipynb). In conclusion, the low-rank SVD is going to be useful only for large sparse matrices where the full-rank SVD will fail due to memory limitations.
+ [x] `torch.lobpcg` vs `scipy.sparse.linalg.lobpcg`, see notebook [LOBPCG - pytorch vs scipy](https://github.com/Quansight/pearu-sandbox/blob/master/pytorch/LOBPCG%20-%20pytorch%20vs%20scipy.ipynb). In conculsion, both implementations give the same results (up to numerical errors from different methods), scipy lobpcg implementation is generally faster.
+ [x] On very small tolerance cases, `torch.lobpcg` is more robust than `scipy.sparse.linalg.lobpcg` (see `test_lobpcg_scipy` results)
Resolves https://github.com/pytorch/pytorch/issues/8049.
Pull Request resolved: https://github.com/pytorch/pytorch/pull/29488
Differential Revision: D20193196
Pulled By: vincentqb
fbshipit-source-id: 78a4879912424595e6ea95a95e483a37487a907e
