Merge pull request #1 from mengxr/vrilleup-master

vrilleup · vrilleup · commit 4c618e917607 · 2014-07-09T00:10:14.000-07:00
Some updates to SVD impl
diff --git a/mllib/src/main/scala/org/apache/spark/mllib/linalg/EigenValueDecomposition.scala b/mllib/src/main/scala/org/apache/spark/mllib/linalg/EigenValueDecomposition.scala
@@ -47,7 +47,7 @@ private[mllib] object EigenValueDecomposition {
    *       function.
    */
   private[mllib] def symmetricEigs(
-      mul: DenseVector => DenseVector,
+      mul: BDV[Double] => BDV[Double],
       n: Int,
       k: Int,
       tol: Double,
@@ -102,9 +102,9 @@ private[mllib] object EigenValueDecomposition {
       // multiply working vector with the matrix
       val inputOffset = ipntr(0) - 1
       val outputOffset = ipntr(1) - 1
-      val x = w(inputOffset until inputOffset + n)
-      val y = w(outputOffset until outputOffset + n)
-      y := BDV(mul(Vectors.fromBreeze(x).asInstanceOf[DenseVector]).toArray)
+      val x = w.slice(inputOffset, inputOffset + n)
+      val y = w.slice(outputOffset, outputOffset + n)
+      y := mul(x)
       // call ARPACK's reverse communication
       arpack.dsaupd(ido, bmat, n, which, nev.`val`, tolW, resid, ncv, v, n, iparam, ipntr,
         workd, workl, workl.length, info)
@@ -143,13 +143,12 @@ private[mllib] object EigenValueDecomposition {
 
     // copy eigenvectors in descending order of eigenvalues
     val sortedU = BDM.zeros[Double](n, computed)
-    sortedEigenPairs.zipWithIndex.foreach { r => {
-        val b = r._2 * n
-        var i = 0
-        while (i < n) {
-          sortedU.data(b + i) = r._1._2(i)
-          i += 1
-        }
+    sortedEigenPairs.zipWithIndex.foreach { r =>
+      val b = r._2 * n
+      var i = 0
+      while (i < n) {
+        sortedU.data(b + i) = r._1._2(i)
+        i += 1
       }
     }
 
diff --git a/mllib/src/main/scala/org/apache/spark/mllib/linalg/distributed/RowMatrix.scala b/mllib/src/main/scala/org/apache/spark/mllib/linalg/distributed/RowMatrix.scala
@@ -17,7 +17,7 @@
 
 package org.apache.spark.mllib.linalg.distributed
 
-import java.util
+import java.util.Arrays
 
 import breeze.linalg.{Vector => BV, DenseMatrix => BDM, DenseVector => BDV, SparseVector => BSV}
 import breeze.linalg.{svd => brzSvd, axpy => brzAxpy}
@@ -202,32 +202,23 @@ class RowMatrix(
   }
 
   /**
-   * Multiply the Gramian matrix `A^T A` by a DenseVector on the right.
+   * Multiplies the Gramian matrix `A^T A` by a dense vector on the right without computing `A^T A`.
    *
-   * @param v a local DenseVector whose length must match the number of columns of this matrix.
-   * @return a local DenseVector representing the product.
+   @param v a dense vector whose length must match the number of columns of this matrix
+   * @return a dense vector representing the product
    */
-  private[mllib] def multiplyGramianMatrixBy(v: DenseVector): DenseVector = {
+  private[mllib] def multiplyGramianMatrixBy(v: BDV[Double]): BDV[Double] = {
     val n = numCols().toInt
-    val vbr = rows.context.broadcast(v.toBreeze)
-
-    val bv = rows.aggregate(BDV.zeros[Double](n))(
+    val vbr = rows.context.broadcast(v)
+    rows.aggregate(BDV.zeros[Double](n))(
       seqOp = (U, r) => {
         val rBrz = r.toBreeze
         val a = rBrz.dot(vbr.value)
-        rBrz match {
-          case _: BDV[_] => brzAxpy(a, rBrz.asInstanceOf[BDV[Double]], U)
-          case _: BSV[_] => brzAxpy(a, rBrz.asInstanceOf[BSV[Double]], U)
-          case _ =>
-            throw new UnsupportedOperationException(
-              s"Do not support vector operation from type ${rBrz.getClass.getName}.")
-        }
+        brzAxpy(a, rBrz, U.asInstanceOf[BV[Double]])
         U
       },
       combOp = (U1, U2) => U1 += U2
     )
-
-    Vectors.fromBreeze(bv).asInstanceOf[DenseVector]
   }
 
   /**
@@ -250,49 +241,51 @@ class RowMatrix(
   }
 
   /**
-   * Computes singular value decomposition of this matrix. Denote this matrix by A (m x n), this
+   * Computes singular value decomposition of this matrix. Denote this matrix by A (m x n). This
    * will compute matrices U, S, V such that A ~= U * S * V', where S contains the leading k
    * singular values, U and V contain the corresponding singular vectors.
    *
-   * This approach assumes n is smaller than m, and invokes a dense matrix implementation when n is
-   * small (n < 100) or the number of requested singular values is the same as n (k == n). For
-   * problems with large n (n >= 100) and k < n, this approach invokes a sparse matrix
-   * implementation that provides a function to ARPACK to multiply a vector with A'A. It iteratively
-   * calls ARPACK-dsaupd on the master node, from which we recover S and V. Then we compute U via
-   * easy matrix multiplication as U = A * (V * S^{-1}).
-   *
-   * The dense implementation requires `n^2` doubles to fit in memory and `O(n^3)` time on the
-   * master node.
+   * At most k largest non-zero singular values and associated vectors are returned. If there are k
+   * such values, then the dimensions of the return will be:
+   *  - U is a RowMatrix of size m x k that satisfies U' * U = eye(k),
+   *  - s is a Vector of size k, holding the singular values in descending order,
+   *  - V is a Matrix of size n x k that satisfies V' * V = eye(k).
    *
-   * The sparse implementation requires `n * (6 * k + 4)` doubles to fit in memory on the master
-   * node and approximately `O(k * nnz(A))` time distributed on all worker nodes. There is no
-   * restriction on m (number of rows).
+   * We assume n is smaller than m. The singular values and the right singular vectors are derived
+   * from the eigenvalues and the eigenvectors of the Gramian matrix A' * A. U, the matrix
+   * storing the right singular vectors, is computed via matrix multiplication as
+   * U = A * (V * S^-1^), if requested by user. The actual method to use is determined
+   * automatically based on the cost:
+   *  - If n is small (n < 100) or k is large compared with n (k > n / 2), we compute the Gramian
+   *    matrix first and then compute its top eigenvalues and eigenvectors locally on the driver.
+   *    This requires a single pass with O(n^2^) storage on each executor and on the driver, and
+   *    O(n^2^ k) time on the driver.
+   *  - Otherwise, we compute (A' * A) * v in a distributive way and send it to ARPACK's DSAUPD to
+   *    compute (A' * A)'s top eigenvalues and eigenvectors on the driver node. This requires O(k)
+   *    passes, O(n) storage on each executor, and O(n k) storage on the driver.
    *
    * Several internal parameters are set to default values. The reciprocal condition number rCond
    * is set to 1e-9. All singular values smaller than rCond * sigma(0) are treated as zeros, where
    * sigma(0) is the largest singular value. The maximum number of Arnoldi update iterations for
-   * ARPACK is set to 300 or k * 3, whichever is larger. The numerical tolerance for ARPACK
+   * ARPACK is set to 300 or k * 3, whichever is larger. The numerical tolerance for ARPACK's
    * eigen-decomposition is set to 1e-10.
    *
-   * At most k largest non-zero singular values and associated vectors are returned.
-   * If there are k such values, then the dimensions of the return will be:
+   * @note The conditions that decide which method to use internally and the default parameters are
+   *       subject to change.
    *
-   * U is a RowMatrix of size m x k that satisfies U'U = eye(k),
-   * s is a Vector of size k, holding the singular values in descending order,
-   * and V is a Matrix of size n x k that satisfies V'V = eye(k).
-   *
-   * @param k number of leading singular values to keep (0 < k <= n). It might return less than
-   *          k if there are numerically zero singular values or there are not enough Ritz values
+   * @param k number of leading singular values to keep (0 < k <= n). It might return less than k if
+   *          there are numerically zero singular values or there are not enough Ritz values
    *          converged before the maximum number of Arnoldi update iterations is reached (in case
    *          that matrix A is ill-conditioned).
-   * @param computeU whether to compute U.
+   * @param computeU whether to compute U
    * @param rCond the reciprocal condition number. All singular values smaller than rCond * sigma(0)
    *              are treated as zero, where sigma(0) is the largest singular value.
-   * @return SingularValueDecomposition(U, s, V), U = null if computeU = false
+   * @return SingularValueDecomposition(U, s, V). U = null if computeU = false.
    */
-  def computeSVD(k: Int,
-                 computeU: Boolean = false,
-                 rCond: Double = 1e-9): SingularValueDecomposition[RowMatrix, Matrix] = {
+  def computeSVD(
+      k: Int,
+      computeU: Boolean = false,
+      rCond: Double = 1e-9): SingularValueDecomposition[RowMatrix, Matrix] = {
     // maximum number of Arnoldi update iterations for invoking ARPACK
     val maxIter = math.max(300, k * 3)
     // numerical tolerance for invoking ARPACK
@@ -301,87 +294,78 @@ class RowMatrix(
   }
 
   /**
-   * Actual SVD computation, visible for testing.
+   * The actual SVD implementation, visible for testing.
+   *
+   * @param k number of leading singular values to keep (0 < k <= n)
+   * @param computeU whether to compute U
+   * @param rCond the reciprocal condition number
+   * @param maxIter max number of iterations (if ARPACK is used)
+   * @param tol termination tolerance (if ARPACK is used)
+   * @param mode computation mode (auto: determine automatically which mode to use,
+   *             local-svd: compute gram matrix and computes its full SVD locally,
+   *             local-eigs: compute gram matrix and computes its top eigenvalues locally,
+   *             dist-eigs: compute the top eigenvalues of the gram matrix distributively)
+   * @return SingularValueDecomposition(U, s, V). U = null if computeU = false.
    */
-  private[mllib] def computeSVD(k: Int,
-                                computeU: Boolean,
-                                rCond: Double,
-                                maxIter: Int,
-                                tol: Double,
-                                mode: String): SingularValueDecomposition[RowMatrix, Matrix] = {
+  private[mllib] def computeSVD(
+      k: Int,
+      computeU: Boolean,
+      rCond: Double,
+      maxIter: Int,
+      tol: Double,
+      mode: String): SingularValueDecomposition[RowMatrix, Matrix] = {
     val n = numCols().toInt
+    require(k > 0 && k <= n, s"Request up to n singular values but got k=$k and n=$n.")
 
     object SVDMode extends Enumeration {
-      val DenseARPACK, DenseLAPACK, SparseARPACK = Value
+      val LocalARPACK, LocalLAPACK, DistARPACK = Value
     }
 
-    val derivedMode = mode match {
-      case "auto" => if (n < 100 || k == n) {
-        // invoke dense implementation when n is small or k == n (since ARPACK requires k < n)
-        require(k > 0 && k <= n, s"Request up to n singular values k=$k n=$n.")
-        "dense"
-      } else {
-        // invoke sparse implementation with ARPACK when n is large
-        require(k > 0 && k < n, s"Request up to n - 1 singular values for ARPACK k=$k n=$n.")
-        "sparse"
-      }
-      case "dense" => "dense"
-      case "sparse" => "sparse"
+    val computeMode = mode match {
+      case "auto" =>
+        // TODO: The conditions below are not fully tested.
+        if (n < 100 || k > n / 2) {
+          // If n is small or k is large compared with n, we better compute the Gramian matrix first
+          // and then compute its eigenvalues locally, instead of making multiple passes.
+          if (k < n / 3) {
+            SVDMode.LocalARPACK
+          } else {
+            SVDMode.LocalLAPACK
+          }
+        } else {
+          // If k is small compared with n, we use ARPACK with distributed multiplication.
+          SVDMode.DistARPACK
+        }
+      case "local-svd" => SVDMode.LocalLAPACK
+      case "local-eigs" => SVDMode.LocalARPACK
+      case "dist-eigs" => SVDMode.DistARPACK
       case _ => throw new IllegalArgumentException(s"Do not support mode $mode.")
     }
 
-    val computeMode = derivedMode match {
-      case "dense" => if (k < n / 2) {
-        // when k is small, call ARPACK
-        require(k > 0 && k < n, s"Request up to n - 1 singular values for ARPACK k=$k n=$n.")
-        SVDMode.DenseARPACK
-      } else {
-        // when k is large, call LAPACK
-        SVDMode.DenseLAPACK
-      }
-      case "sparse" => SVDMode.SparseARPACK
-    }
-
+    // Compute the eigen-decomposition of A' * A.
     val (sigmaSquares: BDV[Double], u: BDM[Double]) = computeMode match {
-      case SVDMode.DenseARPACK => {
+      case SVDMode.LocalARPACK =>
+        require(k < n, s"k must be smaller than n in local-eigs mode but got k=$k and n=$n.")
         val G = computeGramianMatrix().toBreeze.asInstanceOf[BDM[Double]]
-        def multiplyDenseGramianMatrixBy(v: DenseVector): DenseVector = {
-          Vectors.fromBreeze(G * v.toBreeze).asInstanceOf[DenseVector]
-        }
-        EigenValueDecomposition.symmetricEigs(multiplyDenseGramianMatrixBy, n, k, tol, maxIter)
-      }
-      case SVDMode.DenseLAPACK => {
+        EigenValueDecomposition.symmetricEigs(v => G * v, n, k, tol, maxIter)
+      case SVDMode.LocalLAPACK =>
         val G = computeGramianMatrix().toBreeze.asInstanceOf[BDM[Double]]
-        val (uFull: BDM[Double], sigmaSquaresFull: BDV[Double], vFull: BDM[Double]) = brzSvd(G)
+        val (uFull: BDM[Double], sigmaSquaresFull: BDV[Double], _) = brzSvd(G)
         (sigmaSquaresFull, uFull)
-      }
-      case SVDMode.SparseARPACK => {
+      case SVDMode.DistARPACK =>
+        require(k < n, s"k must be smaller than n in dist-eigs mode but got k=$k and n=$n.")
         EigenValueDecomposition.symmetricEigs(multiplyGramianMatrixBy, n, k, tol, maxIter)
-      }
     }
 
-    computeSVDEffectiveRank(k, n, computeU, rCond, sigmaSquares, u)
-  }
-
-  /**
-   * Determine effective rank of SVD result and compute left singular vectors if required.
-   */
-  private def computeSVDEffectiveRank(
-      k: Int,
-      n: Int,
-      computeU: Boolean,
-      rCond: Double,
-      sigmaSquares: BDV[Double],
-      u: BDM[Double]): SingularValueDecomposition[RowMatrix, Matrix] = {
     val sigmas: BDV[Double] = brzSqrt(sigmaSquares)
 
-    // Determine effective rank.
+    // Determine the effective rank.
     val sigma0 = sigmas(0)
     val threshold = rCond * sigma0
     var i = 0
-    // sigmas might have a length smaller than k, if some Ritz values do not satisfy the
-    // convergence criterion specified by tol after maxIterations.
-    // Thus use i < min(k, sigmas.length) instead of i < k
+    // sigmas might have a length smaller than k, if some Ritz values do not satisfy the convergence
+    // criterion specified by tol after max number of iterations.
+    // Thus use i < min(k, sigmas.length) instead of i < k.
     if (sigmas.length < k) {
       logWarning(s"Requested $k singular values but only found ${sigmas.length} converged.")
     }
@@ -394,12 +378,12 @@ class RowMatrix(
       logWarning(s"Requested $k singular values but only found $sk nonzeros.")
     }
 
-    val s = Vectors.dense(util.Arrays.copyOfRange(sigmas.data, 0, sk))
-    val V = Matrices.dense(n, sk, util.Arrays.copyOfRange(u.data, 0, n * sk))
+    val s = Vectors.dense(Arrays.copyOfRange(sigmas.data, 0, sk))
+    val V = Matrices.dense(n, sk, Arrays.copyOfRange(u.data, 0, n * sk))
 
     if (computeU) {
       // N = Vk * Sk^{-1}
-      val N = new BDM[Double](n, sk, util.Arrays.copyOfRange(u.data, 0, n * sk))
+      val N = new BDM[Double](n, sk, Arrays.copyOfRange(u.data, 0, n * sk))
       var i = 0
       var j = 0
       while (j < sk) {
@@ -484,7 +468,7 @@ class RowMatrix(
     if (k == n) {
       Matrices.dense(n, k, u.data)
     } else {
-      Matrices.dense(n, k, util.Arrays.copyOfRange(u.data, 0, n * k))
+      Matrices.dense(n, k, Arrays.copyOfRange(u.data, 0, n * k))
     }
   }
 
diff --git a/mllib/src/test/scala/org/apache/spark/mllib/linalg/distributed/RowMatrixSuite.scala b/mllib/src/test/scala/org/apache/spark/mllib/linalg/distributed/RowMatrixSuite.scala
