I'm new to parallel programming using GPU so I apologize if the question is broad or vague. I'm aware there is some parallel SVD function in the CULA library, but what should be the strategy if I have a large number of relatively small matrices to factorize? For example I have n matrices with dimension d, n is large and d is small. How to parallelize this process? Could anyone give me a hint?
Parallel implementation for multiple SVDs using CUDA
Asked Answered
My previous answer is now out-of-date. As of February 2015, CUDA 7 (currently in release candidate version) offers full SVD capabilities in its cuSOLVER library. Below, I'm providing an example of generating the singular value decomposition using CUDA cuSOLVER.
Concerning the specific issue you are rising (calculating the SVD of several matrices of small size), you should adapt the example I'm providing below by using streams. To associate a stream to each task you can use
cudaStreamCreate()
and
cusolverDnSetStream()
kernel.cu
#include "cuda_runtime.h"
#include "device_launch_parameters.h"
#include<iostream>
#include<iomanip>
#include<stdlib.h>
#include<stdio.h>
#include<assert.h>
#include<math.h>
#include <cusolverDn.h>
#include <cuda_runtime_api.h>
#include "Utilities.cuh"
/********/
/* MAIN */
/********/
int main(){
// --- gesvd only supports Nrows >= Ncols
// --- column major memory ordering
const int Nrows = 7;
const int Ncols = 5;
// --- cuSOLVE input/output parameters/arrays
int work_size = 0;
int *devInfo; gpuErrchk(cudaMalloc(&devInfo, sizeof(int)));
// --- CUDA solver initialization
cusolverDnHandle_t solver_handle;
cusolverDnCreate(&solver_handle);
// --- Setting the host, Nrows x Ncols matrix
double *h_A = (double *)malloc(Nrows * Ncols * sizeof(double));
for(int j = 0; j < Nrows; j++)
for(int i = 0; i < Ncols; i++)
h_A[j + i*Nrows] = (i + j*j) * sqrt((double)(i + j));
// --- Setting the device matrix and moving the host matrix to the device
double *d_A; gpuErrchk(cudaMalloc(&d_A, Nrows * Ncols * sizeof(double)));
gpuErrchk(cudaMemcpy(d_A, h_A, Nrows * Ncols * sizeof(double), cudaMemcpyHostToDevice));
// --- host side SVD results space
double *h_U = (double *)malloc(Nrows * Nrows * sizeof(double));
double *h_V = (double *)malloc(Ncols * Ncols * sizeof(double));
double *h_S = (double *)malloc(min(Nrows, Ncols) * sizeof(double));
// --- device side SVD workspace and matrices
double *d_U; gpuErrchk(cudaMalloc(&d_U, Nrows * Nrows * sizeof(double)));
double *d_V; gpuErrchk(cudaMalloc(&d_V, Ncols * Ncols * sizeof(double)));
double *d_S; gpuErrchk(cudaMalloc(&d_S, min(Nrows, Ncols) * sizeof(double)));
// --- CUDA SVD initialization
cusolveSafeCall(cusolverDnDgesvd_bufferSize(solver_handle, Nrows, Ncols, &work_size));
double *work; gpuErrchk(cudaMalloc(&work, work_size * sizeof(double)));
// --- CUDA SVD execution
cusolveSafeCall(cusolverDnDgesvd(solver_handle, 'A', 'A', Nrows, Ncols, d_A, Nrows, d_S, d_U, Nrows, d_V, Ncols, work, work_size, NULL, devInfo));
int devInfo_h = 0; gpuErrchk(cudaMemcpy(&devInfo_h, devInfo, sizeof(int), cudaMemcpyDeviceToHost));
if (devInfo_h != 0) std::cout << "Unsuccessful SVD execution\n\n";
// --- Moving the results from device to host
gpuErrchk(cudaMemcpy(h_S, d_S, min(Nrows, Ncols) * sizeof(double), cudaMemcpyDeviceToHost));
gpuErrchk(cudaMemcpy(h_U, d_U, Nrows * Nrows * sizeof(double), cudaMemcpyDeviceToHost));
gpuErrchk(cudaMemcpy(h_V, d_V, Ncols * Ncols * sizeof(double), cudaMemcpyDeviceToHost));
std::cout << "Singular values\n";
for(int i = 0; i < min(Nrows, Ncols); i++)
std::cout << "d_S["<<i<<"] = " << std::setprecision(15) << h_S[i] << std::endl;
std::cout << "\nLeft singular vectors - For y = A * x, the columns of U span the space of y\n";
for(int j = 0; j < Nrows; j++) {
printf("\n");
for(int i = 0; i < Nrows; i++)
printf("U[%i,%i]=%f\n",i,j,h_U[j*Nrows + i]);
}
std::cout << "\nRight singular vectors - For y = A * x, the columns of V span the space of x\n";
for(int i = 0; i < Ncols; i++) {
printf("\n");
for(int j = 0; j < Ncols; j++)
printf("V[%i,%i]=%f\n",i,j,h_V[j*Ncols + i]);
}
cusolverDnDestroy(solver_handle);
return 0;
}
Utilities.cuh
#ifndef UTILITIES_CUH
#define UTILITIES_CUH
extern "C" int iDivUp(int, int);
extern "C" void gpuErrchk(cudaError_t);
extern "C" void cusolveSafeCall(cusolverStatus_t);
#endif
Utilities.cu
#include <stdio.h>
#include <assert.h>
#include "cuda_runtime.h"
#include <cuda.h>
#include <cusolverDn.h>
/*******************/
/* iDivUp FUNCTION */
/*******************/
extern "C" int iDivUp(int a, int b){ return ((a % b) != 0) ? (a / b + 1) : (a / b); }
/********************/
/* CUDA ERROR CHECK */
/********************/
// --- Credit to https://mcmap.net/q/17840/-what-is-the-canonical-way-to-check-for-errors-using-the-cuda-runtime-api
void gpuAssert(cudaError_t code, char *file, int line, bool abort=true)
{
if (code != cudaSuccess)
{
fprintf(stderr,"GPUassert: %s %s %d\n", cudaGetErrorString(code), file, line);
if (abort) { exit(code); }
}
}
extern "C" void gpuErrchk(cudaError_t ans) { gpuAssert((ans), __FILE__, __LINE__); }
/**************************/
/* CUSOLVE ERROR CHECKING */
/**************************/
static const char *_cudaGetErrorEnum(cusolverStatus_t error)
{
switch (error)
{
case CUSOLVER_STATUS_SUCCESS:
return "CUSOLVER_SUCCESS";
case CUSOLVER_STATUS_NOT_INITIALIZED:
return "CUSOLVER_STATUS_NOT_INITIALIZED";
case CUSOLVER_STATUS_ALLOC_FAILED:
return "CUSOLVER_STATUS_ALLOC_FAILED";
case CUSOLVER_STATUS_INVALID_VALUE:
return "CUSOLVER_STATUS_INVALID_VALUE";
case CUSOLVER_STATUS_ARCH_MISMATCH:
return "CUSOLVER_STATUS_ARCH_MISMATCH";
case CUSOLVER_STATUS_EXECUTION_FAILED:
return "CUSOLVER_STATUS_EXECUTION_FAILED";
case CUSOLVER_STATUS_INTERNAL_ERROR:
return "CUSOLVER_STATUS_INTERNAL_ERROR";
case CUSOLVER_STATUS_MATRIX_TYPE_NOT_SUPPORTED:
return "CUSOLVER_STATUS_MATRIX_TYPE_NOT_SUPPORTED";
}
return "<unknown>";
}
inline void __cusolveSafeCall(cusolverStatus_t err, const char *file, const int line)
{
if(CUSOLVER_STATUS_SUCCESS != err) {
fprintf(stderr, "CUSOLVE error in file '%s', line %d\n %s\nerror %d: %s\nterminating!\n",__FILE__, __LINE__,err, \
_cudaGetErrorEnum(err)); \
cudaDeviceReset(); assert(0); \
}
}
extern "C" void cusolveSafeCall(cusolverStatus_t err) { __cusolveSafeCall(err, __FILE__, __LINE__); }
What do you think of this approach vs. using MAGMA? –
Catacaustic
@AndreasYankopolus I have not compared the two libraries, sorry. –
Castellany
You can take a look at the Batched Operations post of the CULA blog for a discussion of your problem.
EDIT
From what I understand from your comment below, you would like each thread to calculate a separate SVD. So, basically each thread should execute a standard, sequential SVD scheme. For that some possibly useful references:
Golub, Van Loan, Matrix Computations
If you use this approach, though, I'm afraid you will not be able anymore to use cuBLAS, as those are host functions not callable from the device (unless you do not have a compute capability >3.5, see the the simpleDevLibCUBLAS example.). But basically in this way I think you are somehow implementing the batch concept by yourself.
If you decide to go to a more standard parallel GPU implementation, the reference below could be of interest:
Analogous to the batched solver / matrix inverse code posted on the CUDA registered developer website you could consider a matrix-per-thread or a matrix-per-thread-block approach. This works well if the batch size is large and the matrices are very small. What are typical values for n and d in your case? –
Aleutian
BLAS batch mode only has matrix multiplication, right? How can I use it for SVD? And could you give me a code example of how to partition the threads or blocks in GPU and let each unit does one SVD in parallel? For example if n=500 d=20. Thanks! –
Martlet
The above answers are now out of date. As of CUDA 9.0, the cuSOLVER library has been equipped with a batched SVD calculation based on the Jacobi method. Below, a fully worked example:
#include <stdio.h>
#include <stdlib.h>
#include <string.h>
#include <assert.h>
#include <cuda_runtime.h>
#include <cusolverDn.h>
#include "Utilities.cuh"
#include "TimingGPU.cuh"
//#define FULLSVD
//#define PRINTRESULTS
/********/
/* MAIN */
/********/
int main() {
const int M = 3;
const int N = 3;
const int lda = M;
//const int numMatrices = 3;
const int numMatrices = 16384;
TimingGPU timerGPU;
// --- Setting the host matrix
double *h_A = (double *)malloc(lda * N * numMatrices * sizeof(double));
for (unsigned int k = 0; k < numMatrices; k++)
for (unsigned int i = 0; i < M; i++){
for (unsigned int j = 0; j < N; j++){
h_A[k * M * N + j * M + i] = (1. / (k + 1)) * (i + j * j) * (i + j);
//printf("%d %d %f\n", i, j, h_A[j*M + i]);
}
}
// --- Setting the device matrix and moving the host matrix to the device
double *d_A; gpuErrchk(cudaMalloc(&d_A, M * N * numMatrices * sizeof(double)));
gpuErrchk(cudaMemcpy(d_A, h_A, M * N * numMatrices * sizeof(double), cudaMemcpyHostToDevice));
// --- host side SVD results space
double *h_S = (double *)malloc(N * numMatrices * sizeof(double));
double *h_U = NULL;
double *h_V = NULL;
#ifdef FULLSVD
h_U = (double *)malloc(M * M * numMatrices * sizeof(double));
h_V = (double *)malloc(N * N * numMatrices * sizeof(double));
#endif
// --- device side SVD workspace and matrices
int work_size = 0;
int *devInfo; gpuErrchk(cudaMalloc(&devInfo, sizeof(int)));
double *d_S; gpuErrchk(cudaMalloc(&d_S, N * numMatrices * sizeof(double)));
double *d_U = NULL;
double *d_V = NULL;
#ifdef FULLSVD
gpuErrchk(cudaMalloc(&d_U, M * M * numMatrices * sizeof(double)));
gpuErrchk(cudaMalloc(&d_V, N * N * numMatrices * sizeof(double)));
#endif
double *d_work = NULL; /* devie workspace for gesvdj */
int devInfo_h = 0; /* host copy of error devInfo_h */
// --- Parameters configuration of Jacobi-based SVD
const double tol = 1.e-7;
const int maxSweeps = 15;
cusolverEigMode_t jobz; // --- CUSOLVER_EIG_MODE_VECTOR - Compute eigenvectors; CUSOLVER_EIG_MODE_NOVECTOR - Compute singular values only
#ifdef FULLSVD
jobz = CUSOLVER_EIG_MODE_VECTOR;
#else
jobz = CUSOLVER_EIG_MODE_NOVECTOR;
#endif
const int econ = 0; // --- econ = 1 for economy size
// --- Numerical result parameters of gesvdj
double residual = 0;
int executedSweeps = 0;
// --- CUDA solver initialization
cusolverDnHandle_t solver_handle = NULL;
cusolveSafeCall(cusolverDnCreate(&solver_handle));
// --- Configuration of gesvdj
gesvdjInfo_t gesvdj_params = NULL;
cusolveSafeCall(cusolverDnCreateGesvdjInfo(&gesvdj_params));
// --- Set the computation tolerance, since the default tolerance is machine precision
cusolveSafeCall(cusolverDnXgesvdjSetTolerance(gesvdj_params, tol));
// --- Set the maximum number of sweeps, since the default value of max. sweeps is 100
cusolveSafeCall(cusolverDnXgesvdjSetMaxSweeps(gesvdj_params, maxSweeps));
// --- Query the SVD workspace
cusolveSafeCall(cusolverDnDgesvdjBatched_bufferSize(
solver_handle,
jobz, // --- Compute the singular vectors or not
M, // --- Nubmer of rows of A, 0 <= M
N, // --- Number of columns of A, 0 <= N
d_A, // --- M x N
lda, // --- Leading dimension of A
d_S, // --- Square matrix of size min(M, N) x min(M, N)
d_U, // --- M x M if econ = 0, M x min(M, N) if econ = 1
lda, // --- Leading dimension of U, ldu >= max(1, M)
d_V, // --- N x N if econ = 0, N x min(M,N) if econ = 1
lda, // --- Leading dimension of V, ldv >= max(1, N)
&work_size,
gesvdj_params,
numMatrices));
gpuErrchk(cudaMalloc(&d_work, sizeof(double) * work_size));
// --- Compute SVD
timerGPU.StartCounter();
cusolveSafeCall(cusolverDnDgesvdjBatched(
solver_handle,
jobz, // --- Compute the singular vectors or not
M, // --- Number of rows of A, 0 <= M
N, // --- Number of columns of A, 0 <= N
d_A, // --- M x N
lda, // --- Leading dimension of A
d_S, // --- Square matrix of size min(M, N) x min(M, N)
d_U, // --- M x M if econ = 0, M x min(M, N) if econ = 1
lda, // --- Leading dimension of U, ldu >= max(1, M)
d_V, // --- N x N if econ = 0, N x min(M, N) if econ = 1
lda, // --- Leading dimension of V, ldv >= max(1, N)
d_work,
work_size,
devInfo,
gesvdj_params,
numMatrices));
printf("Calculation of the singular values only: %f ms\n\n", timerGPU.GetCounter());
gpuErrchk(cudaMemcpy(&devInfo_h, devInfo, sizeof(int), cudaMemcpyDeviceToHost));
gpuErrchk(cudaMemcpy(h_S, d_S, sizeof(double) * N * numMatrices, cudaMemcpyDeviceToHost));
#ifdef FULLSVD
gpuErrchk(cudaMemcpy(h_U, d_U, sizeof(double) * lda * M * numMatrices, cudaMemcpyDeviceToHost));
gpuErrchk(cudaMemcpy(h_V, d_V, sizeof(double) * lda * N * numMatrices, cudaMemcpyDeviceToHost));
#endif
#ifdef PRINTRESULTS
printf("SINGULAR VALUES \n");
printf("_______________ \n");
for (int k = 0; k < numMatrices; k++) {
for (int p = 0; p < N; p++)
printf("Matrix nr. %d; SV nr. %d; Value = %f\n", k, p, h_S[k * N + p]);
printf("\n");
}
#ifdef FULLSVD
printf("SINGULAR VECTORS U \n");
printf("__________________ \n");
for (int k = 0; k < numMatrices; k++) {
for (int q = 0; q < (1 - econ) * M + econ * min(M, N); q++)
for (int p = 0; p < M; p++)
printf("Matrix nr. %d; U nr. %d; Value = %f\n", k, p, h_U[((1 - econ) * M + econ * min(M, N)) * M * k + q * M + p]);
printf("\n");
}
printf("SINGULAR VECTORS V \n");
printf("__________________ \n");
for (int k = 0; k < numMatrices; k++) {
for (int q = 0; q < (1 - econ) * N + econ * min(M, N); q++)
for (int p = 0; p < N; p++)
printf("Matrix nr. %d; V nr. %d; Value = %f\n", k, p, h_V[((1 - econ) * N + econ * min(M, N)) * N * k + q * N + p]);
printf("\n");
}
#endif
#endif
if (0 == devInfo_h){
printf("gesvdj converges \n");
}
else if (0 > devInfo_h){
printf("%d-th parameter is wrong \n", -devInfo_h);
exit(1);
}
else{
printf("WARNING: devInfo_h = %d : gesvdj does not converge \n", devInfo_h);
}
// --- Free resources
if (d_A) gpuErrchk(cudaFree(d_A));
if (d_S) gpuErrchk(cudaFree(d_S));
#ifdef FULLSVD
if (d_U) gpuErrchk(cudaFree(d_U));
if (d_V) gpuErrchk(cudaFree(d_V));
#endif
if (devInfo) gpuErrchk(cudaFree(devInfo));
if (d_work) gpuErrchk(cudaFree(d_work));
if (solver_handle) cusolveSafeCall(cusolverDnDestroy(solver_handle));
if (gesvdj_params) cusolveSafeCall(cusolverDnDestroyGesvdjInfo(gesvdj_params));
gpuErrchk(cudaDeviceReset());
return 0;
}
Is it just me or the cuSolver implementation for SVD is really slow? –
Ornamentation
For the Utilities.cuh and TimingGPU.cuh, where are these hosted? Also doesn't CUDA now have a built in error checker? –
Lifeordeath
Also @JackOLantern, I am getting a "2-th parameter is wrong" error for largish matrices...any idea as to why? I don't know why the size of M or N would be wrong? –
Lifeordeath
@JackOLantern, sorry for taking over this comment thread, I read in the docs that the batched SVD method only supports 32x32 arrays. Does that mean is computes the SVD on totally unrelated 32x32 matrices or can a very large matrix containing related data be broken down into 32x32 arrays somehow to get out the U, S, and V matrices of the original large matrix? If no, what is the current state of the art to efficiently calculate the SVD of a large matrix? –
Lifeordeath
The posted code at the moment seems to have a defect, see here. –
Squelch
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