HODLR$d$D: A new Black-box fast algorithm for $N$-body problems in $d$-dimensions with guaranteed error bounds

TL;DR

A black-box (kernel-independent) fast algorithm for N-body problems, hierarchically off-diagonal low-rank matrix in d dimensions (HODLR$d$D), which can perform matrix-vector products with $\mathcal{O}(pN \log (N)$ complexity in any dimension $d, which implies the HODLR$d$D algorithm scales almost linearly.

Abstract

In this article, we prove new theorems bounding the rank of different sub-matrices arising from these kernel functions. Bounds like these are often useful for analyzing the complexity of various hierarchical matrix algorithms. We also plot the numerical rank growth of different sub-matrices arising out of various kernel functions in $1$D, $2$D, $3$D and $4$D, which, not surprisingly, agrees with the proposed theorems. Another significant contribution of this article is that, using the obtained rank bounds, we also propose a way to extend the notion of \textbf{\emph{weak-admissibility}} for hierarchical matrices in higher dimensions. Based on this proposed \textbf{\emph{weak-admissibility}} condition, we develop a black-box (kernel-independent) fast algorithm for $N$-body problems, hierarchically off-diagonal low-rank matrix in $d$ dimensions (HODLR$d$D), which can perform matrix-vector products with $\mathcal{O}(pN \log (N))$ complexity in any dimension $d$, where $p$ doesn't grow with any power of $N$. More precisely, our theorems guarantee that $p \in \mathcal{O} (\log (N) \log^d (\log (N)))$, which implies our HODLR$d$D algorithm scales almost linearly. The $\texttt{C++}$ implementation with \texttt{OpenMP} parallelization of the HODLR$d$D is available at \url{https://github.com/SAFRAN-LAB/HODLRdD}. We also discuss the scalability of the HODLR$d$D algorithm and showcase the applicability by solving an integral equation in $4$ dimensions and accelerating the training phase of the support vector machines (SVM) for the data sets with four and five features.

Figures (20)

• Figure 1: Far-field interaction in $d=1,2,3$
• Figure 1: HODLR4D matrix at level 1 and 2
• Figure 1: Various benchmarks of the HODLR$d$D $(d=4)$ matrix-vector product in comparison with those of $\mathcal{H}$, HODLR for the kernel $\log \left(||\pmb{x}-\pmb{y}||_2\right)$. In \ref{['s_rank']} we compare the maximum rank of all possible hierarchical matrices based on different weak admissibility condition, i.e., $d'=0,1,2,3$ and also the $\mathcal{H}$ matrix with strong admissibility condition. We set the ACA tolerance $= 10^{-6}$
• Figure 1: Different interactions in $1$D
• Figure 1: Different interactions in $2$D

Theorems & Definitions (24)

• Definition 3.3
• Definition 3.4
• Definition 3.5
• Theorem 3.6
• Theorem 3.7
• Remark 3.8
• Remark 3.9
• Remark 3.10
• Remark 3.11
• Lemma 4.1