Solving Poisson PDE with Sparse Matrices

Abstract

In this page, we present the resolution of the Poisson Partial Differential Equation in Scilab with sparse matrices. We show that Scilab 5 can solve in a few seconds sparse linear systems of equations with as many as 250 000 unknowns because Scilab only store nonzero entries. The computations are based on the Scibench module, a toolbox which provides a collection of benchmarks for Scilab.

Introduction

Sharma and Gobbert analyzed the performance of Scilab for the resolution of sparse linear systems of equations associated with the Poisson equation [1]. In this document, we try to reproduce their experiments.

We consider the Poisson problem with homogeneous Dirichlet boundary conditions and are interested in the numerical solution based on finite differences.

We consider the 2 dimensional Partial Differential Equation:

$$\begin{array}{rlll}- \Delta u &=& f &\textrm{ in the domain,} \\ u &=& 0 &\textrm{ on the frontier.} \end{array}$$

where the two dimensionnal Laplace operator is

$$\Delta u = \frac{\partial^2 u}{dx^2} + \frac{\partial^2 u}{dy^2}$$

We consider the domain $$0 \leq x \leq 1$$, $$0 \leq y \leq 1$$. The function f is defined by

$$f(x, y) = -2\pi^2 cos(2\pi x) sin^2(\pi y) - 2\pi^2 sin^2(\pi x) cos(2\pi y) $$

The solution is

$$u(x, y) = sin^2(\pi x) sin^2(\pi y)$$

We use a second order finite difference approximation of the Laplace operator based on a grid of N-by-N points.

Sparse matrices can be managed in Scilab since 1989 [6]. In Scilab 5.0, the UMFPACK module was added New Scientific Features in 2008. More details on this topic can be found in [3].

The Scibench external module:

http://atoms.scilab.org/toolboxes/scibench

provides a collection of benchmark scripts to measure the performance of Scilab. For example, it contains benchmarks for the dense matrix-matrix product, the dense backslash operator, the Cholesky decomposition or 2D Lattice Boltzmann simulations.

In order to install this module, we use the statement:

atomsInstall("scibench")

and restart Scilab.

The version 0.6 includes benchmarks for sparse matrices, based on the Poisson equation. The performance presented in this document are measured with Scilab 5.3.2 on Windows XP with a 4GB computer using Intel Xeon E5410 4*2.33 GHz processors.

In this benchmark, we are going to use the "poisson.sce" script provided at:

http://forge.scilab.org/index.php/p/scibench/source/tree/HEAD/demos/poisson.sce

The sparse matrix

The scibench_poissonA(n) statement creates a sparse matrix equation associated with n cells in the X coordinate and n cells in the Y coordinate. Before calling this session, we call the stacksize function in order to let Scilab allocate as much memory as possible. Then we call the PlotSparse function to plot the sparsity pattern of the matrix.

stacksize("max");
A = scibench_poissonA(50);
PlotSparse(A)

The previous script produces the following plot.

PoissonSparsityPattern.png

We emphasize that the previous matrix is a $$n^2$$ - by - $$n^2$$ sparse matrix. Even for moderate values of n, this creates huge matrices. Fortunately, only nonzero entries are stored, so that Scilab has no problem to store it, provided that the nonzero entries can be stored in the memory.

-->size(A)
 ans  =
    2500.    2500.  

The Kronecker operator is used, so that the computation of the matrix is vectorized. To edit the code, we just run the following code.

-->edit scibench_poissonA

At the core of the algorithm, we find the statement

A = I .*. T + T .*. I

where T is a sparse matrix and I is the sparse n-by-n identity matrix. Hence, creating the whole matrix is done with only one statement.

The Poisson Solver

The scibench_poisson function solves the 2D Poisson equation. Its calling sequence is

scibench_poisson ( N , plotgraph , verbose , solver )

where N is the number of cells, plotgraph is a boolean to plot the graphics, verbose is a boolean to print messages and solver is a function which solves the linear equation A*x=b.

The solver argument is designed so that we can customize the linear equation solver which we want to use. For example, if we want to use the sparse backslash operator, all we have to do is to create the mysolverBackslash function as below.

function u=mysolverBackslash(N, b)
    A = scibench_poissonA(N);
    u = A\b;
endfunction

The following script solves the Poisson equation with N = 50.

scf();
scibench_poisson(50, %t , %t , mysolverBackslash );

The previous script produces the following output, where h is the dimensionnal spacee step and enorminf is the value of the infinite norm of the error.

-->scibench_poisson(50, %t , %t , mysolverBackslash );
N =    50
h =  1.9607843137254902e-002
h^2 =  3.8446751249519417e-004
enorminf =  1.2634082165868810e-003
C = enorminf / h^2 =  3.2861247713424775e+000
wall clock time =       0.15 seconds

The previous script also produces the following plot.

plotSolutionPoisson.png

It is then easy to use the pcg function built in Scilab, which uses a pre-conditionned conjugate gradient algorithm. We use the scibench_poissonAu function, which computes the A*u product without actually storing the matrix A.

function u=mysolverPCG(N, b)
    tol = 0.000001;
    maxit = 9999;
    u = zeros(N^2,1);
    [u,flag,iter,res] = pcg(scibench_poissonAu,b,tol,maxit,[],[],u);
endfunction
scf();
[timesec,enorminf,h] = scibench_poisson(50, %f , %t , mysolverPCG );

The benchmark

Based on the scibench module, it is easy to compare various sparse linear equation solvers in Scilab. We compared the following functions:

Both the UMFPACK and TAUCS modules were created by Bruno Pincon [5].

In order to use the UMFPACK module, we created the following mysolverUMF function which solves the A*u=b equation.

function u = mysolverUMF(N,b)
    A = scibench_poissonA(N);
    humf = umf_lufact(A);
    u = umf_lusolve(humf,b)
    umf_ludel(humf)
endfunction

We also created the following wrapper for the TAUCS module.

function u = mysolverTAUCS(N,b)
    A = scibench_poissonA(N);
    hchol = taucs_chfact(A);
    u = taucs_chsolve(hchol,b)
    taucs_chdel(hchol)
endfunction

We were unable to use the TAUCS solver, which makes Scilab unstable in this case. This problem was reported in the following bug report:

http://bugzilla.scilab.org/show_bug.cgi?id=8824

It is straightforward to created increasingly large matrices and to measure the time required to solve the Poisson equation. The script is provided within the demos of the scibench module. The following plot compares the various solvers.

comparisonSolvers.png

It is obvious that, in this case, the UMFPACK module is much faster.

The fact that we use the pcg function without actually preconditionning the matrix is an obvious limitation of this benchmark. This is why we work on updating the sparse ILU preconditionners in the following Forge project:

http://forge.scilab.org/index.php/p/spilu/

The current work is based on the former Scilin project.

This benchmark shows that we can solve really large systems of equations. The following table displays some performance measures.

Solver

N

Matrix Size

Time (s)

Backslash

50

2500-by-2500

0.15

PCG

50

2500-by-2500

0.09

Backslash

100

10000-by-10000

4.32

PCG

100

10000-by-10000

0.32

Backslash

200

40000-by-40000

88.89

PCG

200

40000-by-40000

2.03

UMFPACK

200

40000-by-40000

0.81

PCG

300

90000-by-90000

7.27

UMFPACK

300

90000-by-90000

2.35

PCG

500

250000-by-250000

44.77

For matrices larger than approximately 400, the UMFPACK functions fails to solve the equation because they require more memory than Scilab can provide to it.

--> scibench_poisson(400, %t , %t , mysolverUMF )
 !--error 999 
umf_lufact: An error occurred: symbolic factorization: not enough memory
at line       3 of function mysolverUMF called by :  
at line      95 of function scibench_poisson called by :  
 scibench_poisson(400, %t , %t , mysolverUMF )

We emphasize that the actual size of the matrix does not matter. What matters is the number of nonzero terms in the matrix. For example, with N=500, the matrix is 250000-by-250000 but has only 1248000 nonzero entries.

-->A = scibench_poissonA ( 500 );
-->size(A)
 ans  =
    250000.    250000.  
-->nnz(A)
 ans  =
    1248000.  

Conclusion

Scilab 5 can manage sparse matrices and solve partial differential equations such as the Poisson equation for example. Indeed, Scilab provides several sparse linear equation solvers, including a sparse backslash operator, iterative methods (e.g. the pre-conditionned conjugate gradient algorithm) and other direct solvers such as the UMFPACK or TAUCS modules. With these tools we can solve huge systems of linear equations, because Scilab only stores the nonzero entries of these massive matrices. The solvers may fail if the memory required to store the matrix is beyond the capacity of Scilab, but this happens only for huge matrices. In this case, the future Scilab 6 may help to overcome this limitation, by removing the use of the stack which is used by Scilab 5 (see [4] for more details on this topic). Another limitation of Scilab is that there is currently no preconditionner for sparse linear systems of equations. This limitation should be removed once the spilu module is ready for a release.

Bibliography

public: Solving Poisson PDE with Sparse Matrices (last edited 2011-12-08 11:20:32 by favignana)