Sparse matrix multiplication strategy

Kaiqian Zhang

2021-06-07

Set up environment

library(susieR)
library(Matrix)
library(microbenchmark)
library(ggplot2)
set.seed(1)

Goal

Our intention is to use sparse matrix multiplications to help reduce computation time.

General strategy

Given a large sparse matrix X, we want to compute some matrix multiplications associated with a scaled \(\tilde{X}\). We notice that after scaling, X becomes a dense matrix and is not possible for a sparse matrix multiplication. So we construct formulae to apply sparse matrix multiplication first on a standardized X since standardization does not affect its sparsity. Then we perform centering to get the same result.

Types of matrix multiplications

There are two types of matrix multiplications we want to investigate:

Results

This strategy has a decent performance when computing both \(\tilde{X}b\) and \(\tilde{X}^Ty\), compared to simple matrix multiplication %*%.

Strategy formulae details

Computing \(\boldsymbol{\tilde{X}b}\)

Suppose we want to compute \(\tilde{X}b\), where \(\tilde{X}\) is a scaled n by p matrix and \(b\) is a p vector. Our goal is to express \(\tilde{X}b\) into a term involving unscaled \(X\) matrix multiplication to achieve sparse matrix operation.

\[\begin{equation} \begin{aligned} \tilde{X}b &= \sum_{j=1}^{p} \tilde{X}_{\cdot j} b_j \\ &= \sum_{j=1}^{p} \frac{X_{\cdot j}-\mu_j}{\sigma_j}b_j \\ &= \sum_{j=1}^{p}\frac{X_{\cdot j}}{\sigma_j}b_j - \sum_{j=1}^{p} \frac{\mu_j}{\sigma_j}b_j \\ &= X b / \sigma - \mu^Tb/\sigma, \end{aligned} \end{equation}\]

where \(\mu\) is a p-vector of column means, and \(\sigma\) is a p-vector of column standard deviations.

Computing \(\boldsymbol{\tilde{X}^Ty}\)

Suppose we want to compute \(\tilde{X}^Ty\), where \(\tilde{X}\) is a scaled n by p matrix and \(y\) is an n vector. Similarly, we express \(\tilde{X}^Ty\) using unscaled \(X\) so that we can perform sparse matrix multiplication. We have the following:

\[\begin{equation} \begin{aligned} \tilde{X}^Ty &= \sum_{i=1}^{n} \tilde{X}_{i.}y_i \\ &= \sum_{i=1}^{n} \frac{X_{i.} - \mu}{\sigma}y_i \\ &= \frac{1}{\sigma}\sum_{i=1}^{n}X_{i.}y_i - \frac{\mu}{\sigma}\sum_{i=1}^{n} y_i \\ &= \frac{1}{\sigma}(X^Ty) - \frac{\mu}{\sigma}y^T 1, \end{aligned} \end{equation}\]

where \(\mu\) is a p-vector of column means, and \(\sigma\) is a p-vector of columnwise standard deviations.

Simulations

We simulate an n = 1000 by p = 10000 matrix X at sparsity \(99\%\), i.e. \(99\%\) entries are zeros. We compare results between normal matrix computation and our sparse strategy as well as comparing speed using microbenchmark.

create_sparsity_mat <- function(sparsity, n, p) {
  nonzero          <- round(n*p*(1-sparsity))
  nonzero.idx      <- sample(n*p, nonzero)
  mat              <- numeric(n*p)
  mat[nonzero.idx] <- 1
  mat              <- matrix(mat, nrow=n,ncol=p)
  return(mat)
}
n <- 1000
p <- 10000
X.dense  <- create_sparsity_mat(0.99,n,p)
X.sparse <- as(X.dense,"dgCMatrix")
X.tilde  <- susieR:::set_X_attributes(X.dense) #returns a scaled X if input is a dense matrix
X <- susieR:::set_X_attributes(X.sparse) #return an unsacled sparse X if input is a sparse matrix 
                                     #but computes column means and standard deviations
b <- rnorm(p)
y <- rnorm(n)

Benchmark for computing \(\boldsymbol{\tilde{X}b}\)

The final results of two methods when computing \(\tilde{X}b\) are very close.

Our sparse strategy demonstrates an obvious advantage over the normal matrix multiplication in computing \(\tilde{X}b\).

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Benchmark for computing \(\boldsymbol{\tilde{X}^Ty}\)

The final results of two methods when computing \(\tilde{X}^Ty\) are almost the same.

Our sparse strategy evidently has a better performance than the normal method in computing \(\tilde{X}^Ty\).

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