Matrix-free computations

When working with a large matrix M, we can distinguish between algorithms that require access to arbitrary elements of M and algorithms that only require the ability to multiply by M. The latter are called matrix-free algorithms; they work with M as a linear operator rather than with its representation as a matrix.

The advantage of matrix-free algorithms is that for specific M there may be much faster ways to compute Mx than by matrix multiplication. As one extreme example, consider the centering operator x ↦ x − x̄ on a length-n vector, which can be computed in linear time from its definition but would take time quadratic in n if the operator were represented as multiplication by an n × n matrix. As another, consider multiplying by a diagonal matrix: the matrix can be represented in linear space and the multiplication performed in linear time by just ignoring all the zero off-diagonal elements.

One important application of bigQF is the SKAT test. This involves the eigenvalues of a matrix that is the product of a sparse matrix and a projection matrix. Multiplying by the sparse component is fast for essentially the same reasons that multiplying by a diagonal matrix is fast. Multiplying by the projection component is fast for essentially the same reasons that centering is fast.

Both the stochastic SVD and Lanczos-type algorithms have matrix-free implementations, and the package provides an object-oriented mechanism to use these implementations to compute the distribution of a quadratic form. The ssvd function also accepts these objects.

An object of class matrix-free is a list with the following components

• mult Function to multiply by M
• tmult Function to multiply by M^T
• trace numeric, the trace of M^TM (needed for pQF but not ssvd)
• ncol integer, the number of columns of M
• nrow integer, the number of rows of M

As a simple example, suppose M is a sparse matrix stored using the Matrix package. We can define (see sparse.matrixfree)

rval <- list(
           mult = function(X) M %*% X,
       tmult = function(X) crossprod(M,  X),
       trace = sum(M^2),
       ncol = ncol(M),
       nrow = nrow(M)
    )
class(rval) <- "matrixfree"

The computations for trace, ncol, and nrow are done at the time the object is constructed. The mult and tmult functions will be efficient because they use the sparse-matrix algorithms in the Matrix package.

The SKAT.matrixfree objects have a more complicated implementation. The matrix is of the form $M=\Pi G W/\sqrt{2}$, where W is a diagonal matrix of weights, G is a sparse genotype matrix, and Π is the projection matrix on to the residual space of a linear regression model. Since M is not sparse, it is not sufficient just to use the sparse-matrix code of the previous example. Instead we specify the multiplication function as

function(X) {
        base::qr.resid(qr, as.matrix(spG %*% X))/sqrt(2)
    }

where spG is a sparse Matrix object containing GW and qr is the QR decomposition of the design matrix from the linear model. The transpose multiplication function is

function(X) {
        crossprod(spG, qr.resid(qr, X))/sqrt(2)
    }

Multiplying by the sparse component takes time proportional to the number of non-zero entries of GW and the projection takes time proportional to np² where n is the number of observations and p is the number of predictors in the linear model. When the genotype matrix is sparse and p² ≪ n, the matrix-free algorithm will be fast.