I would like to solve a generalized eigenproblem of real sparse symmetric matrices. Is there an efficient library which utilizes OpenCL in order to find a limited amount of the smallest eigenvalues in magnitude?
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One possibility is to use a combination of ARPACK and ViennaCL:
- ARPACK is an eigensolver. It works with a callback interface (you supply a function that computes $Ax$ for a given $x$ and it computes the eigenvalues by invoking this function multiple times). If you want to solve a generalized eigenvalue problem ($ Ax = \lambda Bx$) you need to provide a callback for computing $x \rightarrow Bx$ as well.
- These callback functions can be implemented in the GPU (and it will work with ARPACK), now the way to implement it will depend on the structure of your matrices $A$ and $B$. You will use a different implementation if your matrix is full, diagonal or sparse. ViennaCL proposes several functions for different matrix structures.
http://www.caam.rice.edu/software/ARPACK/
http://viennacl.sourceforge.net/
Besides ARPACK, the same method can be applied any eigensolver that has a reverse communication API (i.e. with a callback that computes matrix-vector products), for instance SLEPc (see comments by Daniel Shapero below).
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$\begingroup$ Yes you are right, I'm editing the post. $\endgroup$ Jul 27, 2015 at 13:58