An efficient parallel block coordinate descent algorithm for large-scale precision matrix estimation using graphics processing units
- Authors
- Choi, Young-Geun; Lee, Seunghwan; Yu, Donghyeon
- Issue Date
- Mar-2022
- Publisher
- SPRINGER HEIDELBERG
- Keywords
- CONCORD; Edge coloring; Parallel coordinate descent; Graphical model; GPU-parallel computation
- Citation
- COMPUTATIONAL STATISTICS, v.37, no.1, pp 419 - 443
- Pages
- 25
- Journal Title
- COMPUTATIONAL STATISTICS
- Volume
- 37
- Number
- 1
- Start Page
- 419
- End Page
- 443
- URI
- https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/145870
- DOI
- 10.1007/s00180-021-01127-x
- ISSN
- 0943-4062
1613-9658
- Abstract
- Large-scale sparse precision matrix estimation has attracted wide interest from the statistics community. The convex partial correlation selection method (CONCORD) developed by Khare et al. (J R Stat Soc Ser B (Stat Methodol) 77(4):803-825, 2015) has recently been credited with some theoretical properties for estimating sparse precision matrices. The CONCORD obtains its solution by a coordinate descent algorithm (CONCORD-CD) based on the convexity of the objective function. However, since a coordinate-wise update in CONCORD-CD is inherently serial, a scale-up is nontrivial. In this paper, we propose a novel parallelization of CONCORD-CD, namely, CONCORD-PCD. CONCORD-PCD partitions the off-diagonal elements into several groups and updates each group simultaneously without harming the computational convergence of CONCORD-CD. We guarantee this by employing the notion of edge coloring in graph theory. Specifically, we establish a nontrivial correspondence between scheduling the updates of the off-diagonal elements in CONCORD-CD and coloring the edges of a complete graph. It turns out that CONCORD-PCD simultanoeusly updates off-diagonal elements in which the associated edges are colorable with the same color. As a result, the number of steps required for updating off-diagonal elements reduces from p(p - 1)/2 to p - 1 (for even p) or p (for odd p), where p denotes the number of variables. We prove that the number of such steps is irreducible In addition, CONCORD-PCD is tailored to single-instruction multiple-data (SIMD) parallelism. A numerical study shows that the SIMD-parallelized PCD algorithm implemented in graphics processing units boosts the CONCORD-CD algorithm multiple times. The method is available in the R package pcdconcord.
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