Add solver for triangular systems (#1504)

FOsterfeld · ClaudiaComito · web-flow · commit 9c68f81c5101 · 2024-06-12T12:59:39.000+02:00
* solve_triangular from previous pr #1236 * added test for type and value errors --------- Co-authored-by: Claudia Comito <39374113+ClaudiaComito@users.noreply.github.com>
diff --git a/heat/core/linalg/solver.py b/heat/core/linalg/solver.py
@@ -10,7 +10,7 @@
 
 import torch
 
-__all__ = ["cg", "lanczos"]
+__all__ = ["cg", "lanczos", "solve_triangular"]
 
 
 def cg(A: DNDarray, b: DNDarray, x0: DNDarray, out: Optional[DNDarray] = None) -> DNDarray:
@@ -270,3 +270,194 @@ def lanczos(
         V.resplit_(axis=None)
 
     return V, T
+
+
+def solve_triangular(A: DNDarray, b: DNDarray) -> DNDarray:
+    """
+    This function provides a solver for (possibly batched) upper triangular systems of linear equations: it returns `x` in `Ax = b`, where `A` is a (possibly batched) upper triangular matrix and
+    `b` a (possibly batched) vector or matrix of suitable shape, both provided as input to the function.
+    The implementation builts on the corresponding solver in PyTorch and implements an memory-distributed, MPI-parallel block-wise version thereof.
+    Parameters
+    ----------
+    A : DNDarray
+        An upper triangular invertible square (n x n) matrix or a batch thereof,  i.e. a ``DNDarray`` of shape `(..., n, n)`.
+    b : DNDarray
+        a (possibly batched) n x k matrix, i.e. an DNDarray of shape (..., n, k), where the batch-dimensions denoted by ... need to coincide with those of A.
+        (Batched) Vectors have to be provided as ... x n x 1 matrices and the split dimension of b must the second last dimension if not None.
+    Note
+    ---------
+    Since such a check might be computationally expensive, we do not check whether A is indeed upper triangular.
+    If you require such a check, please open an issue on our GitHub page and request this feature.
+    """
+    if not isinstance(A, DNDarray) or not isinstance(b, DNDarray):
+        raise TypeError(f"Arguments need to be of type DNDarray, got {type(A)}, {type(b)}.")
+    if not A.ndim >= 2:
+        raise ValueError("A needs to be a (batched) matrix.")
+    if not b.ndim == A.ndim:
+        raise ValueError("b needs to have the same number of (batch) dimensions as A.")
+    if not A.shape[-2] == A.shape[-1]:
+        raise ValueError("A needs to be a (batched) square matrix.")
+
+    batch_dim = A.ndim - 2
+    batch_shape = A.shape[:batch_dim]
+
+    if not A.shape[:batch_dim] == b.shape[:batch_dim]:
+        raise ValueError("Batch dimensions of A and b must be of the same shape.")
+    if b.split == batch_dim + 1:
+        raise ValueError("split=1 is not allowed for the right hand side.")
+    if not b.shape[batch_dim] == A.shape[-1]:
+        raise ValueError("Dimension mismatch of A and b.")
+
+    if (
+        A.split is not None and A.split < batch_dim or b.split is not None and b.split < batch_dim
+    ):  # batch split
+        if A.split != b.split:
+            raise ValueError(
+                "If a split dimension is a batch dimension, A and b must have the same split dimension. A possible solution would be a resplit of A or b to the same split dimension."
+            )
+    else:
+        if (
+            A.split is not None and b.split is not None
+        ):  # both la dimensions split --> b.split = batch_dim
+            # TODO remove?
+            if not all(A.lshape_map[:, A.split] == b.lshape_map[:, batch_dim]):
+                raise RuntimeError(
+                    "The process-local arrays of A and b have different sizes along the splitted axis. This is most likely due to one of the DNDarrays being in unbalanced state. \n Consider using `A.is_balanced(force_check=True)` and `b.is_balanced(force_check=True)` to check if A and b are balanced; \n then call `A.balance_()` and/or `b.balance_()` in order to achieve equal local shapes along the split axis before applying `solve_triangular`."
+                )
+
+    comm = A.comm
+    dev = A.device
+    tdev = dev.torch_device
+
+    nprocs = comm.Get_size()
+
+    if A.split is None:  # A not split
+        if b.split is None:
+            x = torch.linalg.solve_triangular(A.larray, b.larray, upper=True)
+
+            return factories.array(x, dtype=b.dtype, device=dev, comm=comm)
+        else:  # A not split, b.split == -2
+            b_lshapes_cum = torch.hstack(
+                [
+                    torch.zeros(1, dtype=torch.int32, device=tdev),
+                    torch.cumsum(b.lshape_map[:, -2], 0),
+                ]
+            )
+
+            btilde_loc = b.larray.clone()
+            A_loc = A.larray[..., b_lshapes_cum[comm.rank] : b_lshapes_cum[comm.rank + 1]]
+
+            x = factories.zeros_like(b, device=dev, comm=comm)
+
+            for i in range(nprocs - 1, 0, -1):
+                count = x.lshape_map[:, batch_dim].to(torch.device("cpu")).clone().numpy()
+                displ = b_lshapes_cum[:-1].to(torch.device("cpu")).clone().numpy()
+                count[i:] = 0  # nothing to send, as there are only zero rows
+                displ[i:] = 0
+
+                res_send = torch.empty(0)
+                res_recv = torch.zeros((*batch_shape, count[comm.rank], b.shape[-1]), device=tdev)
+
+                if comm.rank == i:
+                    x.larray = torch.linalg.solve_triangular(
+                        A_loc[..., b_lshapes_cum[i] : b_lshapes_cum[i + 1], :],
+                        btilde_loc,
+                        upper=True,
+                    )
+                    res_send = A_loc @ x.larray
+
+                comm.Scatterv((res_send, count, displ), res_recv, root=i, axis=batch_dim)
+
+                if comm.rank < i:
+                    btilde_loc -= res_recv
+
+            if comm.rank == 0:
+                x.larray = torch.linalg.solve_triangular(
+                    A_loc[..., : b_lshapes_cum[1], :], btilde_loc, upper=True
+                )
+
+            return x
+
+    if A.split < batch_dim:  # batch split
+        x = factories.zeros_like(b, device=dev, comm=comm, split=A.split)
+        x.larray = torch.linalg.solve_triangular(A.larray, b.larray, upper=True)
+
+        return x
+
+    if A.split >= batch_dim:  # both splits in la dims
+        A_lshapes_cum = torch.hstack(
+            [
+                torch.zeros(1, dtype=torch.int32, device=tdev),
+                torch.cumsum(A.lshape_map[:, A.split], 0),
+            ]
+        )
+
+        if b.split is None:
+            btilde_loc = b.larray[
+                ..., A_lshapes_cum[comm.rank] : A_lshapes_cum[comm.rank + 1], :
+            ].clone()
+        else:  # b is split at la dim 0
+            btilde_loc = b.larray.clone()
+
+        x = factories.zeros_like(
+            b, device=dev, comm=comm, split=batch_dim
+        )  # split at la dim 0 in case b is not split
+
+        if A.split == batch_dim + 1:
+            for i in range(nprocs - 1, 0, -1):
+                count = x.lshape_map[:, batch_dim].to(torch.device("cpu")).clone().numpy()
+                displ = A_lshapes_cum[:-1].to(torch.device("cpu")).clone().numpy()
+                count[i:] = 0  # nothing to send, as there are only zero rows
+                displ[i:] = 0
+
+                res_send = torch.empty(0)
+                res_recv = torch.zeros((*batch_shape, count[comm.rank], b.shape[-1]), device=tdev)
+
+                if comm.rank == i:
+                    x.larray = torch.linalg.solve_triangular(
+                        A.larray[..., A_lshapes_cum[i] : A_lshapes_cum[i + 1], :],
+                        btilde_loc,
+                        upper=True,
+                    )
+                    res_send = A.larray @ x.larray
+
+                comm.Scatterv((res_send, count, displ), res_recv, root=i, axis=batch_dim)
+
+                if comm.rank < i:
+                    btilde_loc -= res_recv
+
+            if comm.rank == 0:
+                x.larray = torch.linalg.solve_triangular(
+                    A.larray[..., : A_lshapes_cum[1], :], btilde_loc, upper=True
+                )
+
+        else:  # split dim is la dim 0
+            for i in range(nprocs - 1, 0, -1):
+                idims = tuple(x.lshape_map[i])
+                if comm.rank == i:
+                    x.larray = torch.linalg.solve_triangular(
+                        A.larray[..., :, A_lshapes_cum[i] : A_lshapes_cum[i + 1]],
+                        btilde_loc,
+                        upper=True,
+                    )
+                    x_from_i = x.larray
+                else:
+                    x_from_i = torch.zeros(
+                        idims,
+                        dtype=b.dtype.torch_type(),
+                        device=tdev,
+                    )
+
+                comm.Bcast(x_from_i, root=i)
+
+                if comm.rank < i:
+                    btilde_loc -= (
+                        A.larray[..., :, A_lshapes_cum[i] : A_lshapes_cum[i + 1]] @ x_from_i
+                    )
+
+            if comm.rank == 0:
+                x.larray = torch.linalg.solve_triangular(
+                    A.larray[..., :, : A_lshapes_cum[1]], btilde_loc, upper=True
+                )
+
+        return x
diff --git a/heat/core/linalg/tests/test_solver.py b/heat/core/linalg/tests/test_solver.py
@@ -135,3 +135,134 @@ def test_lanczos(self):
         with self.assertRaises(NotImplementedError):
             A = ht.random.randn(10, 10, split=1)
             V, T = ht.lanczos(A, m=3)
+
+    def test_solve_triangular(self):
+        torch.manual_seed(42)
+        tdev = ht.get_device().torch_device
+
+        # non-batched tests
+        k = 100  # data dimension size
+
+        # random triangular matrix inversion
+        at = torch.rand((k, k))
+        # at += torch.eye(k)
+        at += 1e2 * torch.ones_like(at)  # make gaussian elimination more stable
+        at = torch.triu(at).to(tdev)
+
+        ct = torch.linalg.solve_triangular(at, torch.eye(k, device=tdev), upper=True)
+
+        a = ht.factories.asarray(at, copy=True)
+        c = ht.factories.asarray(ct, copy=True)
+        b = ht.eye(k)
+
+        # exceptions
+        with self.assertRaises(TypeError):  # invalid datatype for b
+            ht.linalg.solve_triangular(a, 42)
+
+        with self.assertRaises(ValueError):  # a no matrix, not enough dimensions
+            ht.linalg.solve_triangular(a[1], b)
+
+        with self.assertRaises(ValueError):  # a and b different number of dimensions
+            ht.linalg.solve_triangular(a, b[1])
+
+        with self.assertRaises(ValueError):  # a no square matrix
+            ht.linalg.solve_triangular(a[1:, ...], b)
+
+        with self.assertRaises(ValueError):  # split=1 for b
+            b.resplit_(-1)
+            ht.linalg.solve_triangular(a, b)
+
+        b.resplit_(0)
+        with self.assertRaises(ValueError):  # dimension mismatch
+            ht.linalg.solve_triangular(a, b[1:, ...])
+
+        for s0, s1 in (None, None), (-2, -2), (-1, -2), (-2, None), (-1, None), (None, -2):
+            a.resplit_(s0)
+            b.resplit_(s1)
+
+            res = ht.linalg.solve_triangular(a, b)
+            self.assertTrue(ht.allclose(res, c))
+
+        # triangular ones inversion
+        # for this test case, the results should be exact
+        at = torch.triu(torch.ones_like(at)).to(tdev)
+        ct = torch.linalg.solve_triangular(at, torch.eye(k, device=tdev), upper=True)
+
+        a = ht.factories.asarray(at, copy=True)
+        c = ht.factories.asarray(ct, copy=True)
+
+        for s0, s1 in (None, None), (-2, -2), (-1, -2), (-2, None), (-1, None), (None, -2):
+            a.resplit_(s0)
+            b.resplit_(s1)
+
+            res = ht.linalg.solve_triangular(a, b)
+            self.assertTrue(ht.equal(res, c))
+
+        # batched tests
+        batch_shapes = [
+            (10,),
+            (
+                4,
+                4,
+                4,
+                20,
+            ),
+        ]
+        m = 100  # data dimension size
+
+        # exceptions
+        batch_shape = batch_shapes[1]
+
+        at = torch.rand((*batch_shape, m, m))
+        # at += torch.eye(k)
+        at += 1e2 * torch.ones_like(at)  # make gaussian elimination more stable
+        at = torch.triu(at).to(tdev)
+        bt = torch.eye(m).expand((*batch_shape, -1, -1)).to(tdev)
+
+        ct = torch.linalg.solve_triangular(at, bt, upper=True)
+
+        a = ht.factories.asarray(at, copy=True)
+        c = ht.factories.asarray(ct, copy=True)
+        b = ht.factories.asarray(bt, copy=True)
+
+        with self.assertRaises(ValueError):  # batch dimensions of different shapes
+            ht.linalg.solve_triangular(a[1:, ...], b)
+
+        with self.assertRaises(ValueError):  # different batched split dimensions
+            a.resplit_(0)
+            b.resplit_(1)
+            ht.linalg.solve_triangular(a, b)
+
+        for batch_shape in batch_shapes:
+            # batch_shape = tuple() # no batch dimensions
+
+            at = torch.rand((*batch_shape, m, m))
+            # at += torch.eye(k)
+            at += 1e2 * torch.ones_like(at)  # make gaussian elimination more stable
+            at = torch.triu(at).to(tdev)
+            bt = torch.eye(m).expand((*batch_shape, -1, -1)).to(tdev)
+
+            ct = torch.linalg.solve_triangular(at, bt, upper=True)
+
+            a = ht.factories.asarray(at, copy=True)
+            c = ht.factories.asarray(ct, copy=True)
+            b = ht.factories.asarray(bt, copy=True)
+
+            # split in linalg dimension or none
+            for s0, s1 in (None, None), (-2, -2), (-1, -2), (-2, None), (-1, None), (None, -2):
+                a.resplit_(s0)
+                b.resplit_(s1)
+
+                res = ht.linalg.solve_triangular(a, b)
+
+                self.assertTrue(ht.allclose(c, res))
+
+            # split in batch dimension
+            s = len(batch_shape) - 1
+            a.resplit_(s)
+            b.resplit_(s)
+            c.resplit_(s)
+
+            res = ht.linalg.solve_triangular(a, b)
+
+            self.assertTrue(ht.allclose(c, res))
