Add LazyKernelMatrix and lazykernelmatrix

[sethaxen]

Summary

This PR introduces functionality for lazily representing kernel matrices, which is necessary when the matrix might be too large to store in memory. Fixes #514

Proposed changes

• new API function lazykernelmatrix: supports similar semantics as kernelmatrix but constructs a lazy representation
• new AbstractMatrix subtype LazyKernelMatrix, constructed for the lazykernelmatrix default.

What alternatives have you considered?

• I considered using one of the many existing array types in the ecosystem for lazily representing an array, but defining a novel type allows us to do things like perform scalar multiplication or add kernel matrices without densifying the array.
• it is not strictly necessary to introduce lazykernelmatrix, but this could allow even more structured matrix types to be defined for specific kernel types and returned in the future.
• perhaps LazyKernelMatrix should also store obsdim1 and obsdim2? Currently we require the user has passed a vector e.g. RowVecs or ColVecs.
• perhaps we should support y being a nothing to define a symmetric kernel matrix? This would allow a couple checks to be done at compile time. In particular we could support +(::LazyKernelMatrix{T,Tk,Tx,Nothing}, ::Diagonal) -> LazyKernelMatrix.

To-Do

• add tests

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[devmotion]

this could allow even more structured matrix types to be defined for specific kernel types and returned in the future

Yes, I imagine this would be useful also in the context of #93 (comment). Though there maybe often the non-lazy version might be sufficient (or even preferable).

[devmotion]

Do we have to export both? Is lazykernelmatrix sufficient maybe?

[sethaxen]

Probably.

[theogf]

It looks really nice already! Only thing which is a bit uneasy is the output type... I am not sure there is a strong guarantee that the first evaluated type would correspond to the rest of the matrix. But I also don't see how it could be solved easily...

[devmotion]

It would be good to optimize this for the symmetric case, IMO, similar to kernelmatrix (which IIRC often does not use such a fallback but more optimized methods).

[FelixBenning]

The optimization for the symmetric case is only calculating half the matrix lets say the top half and then redirecting all queries from the bottom half to the top half. (Actually distances simply copies the top half into the bottom half).

Since this is lazy, there is probably no point in this optimization because you do not do the calculation from the start. And when you call getindex it does not matter whether you calculate the element in the top or bottom half.

[devmotion]

At least with other lazy iterators in Base it's a common pattern to collect results at some point (e.g., after filtering, mapping, etc.). In this case it seems beneficial to know that the lazy matrix is symmetric.

[sethaxen]

Good point, I'll see if there are ops we can optimize without too much extra code complexity.

[FelixBenning]

Is there an interface for that? I mean you could use LinearAlgebra.Symmetric since that just wraps the original matrix afaik, but it also simply redirects queries so collect would still cause two calculations since you do a calculation per query.

I mean you could just specialize collect I guess

[FelixBenning]

Relevant Part

For this a lazy ProductArray would also be a neat abstraction:

julia> v = rand(3)
3-element Vector{Float64}:
 0.417571623820013
 0.39972694171008405
 0.9970727095536318

julia> productArray(v,v)
3×3 ProductArrays.ProductArray{Tuple{Vector{Float64}, Vector{Float64}}, Tuple{Float64, Float64}, 2}:
 (0.417572, 0.417572)  (0.417572, 0.399727)  (0.417572, 0.997073)
 (0.399727, 0.417572)  (0.399727, 0.399727)  (0.399727, 0.997073)
 (0.997073, 0.417572)  (0.997073, 0.399727)  (0.997073, 0.997073)

now the lazy kernelmatrix is simply a lazy mappedarray of this product array. As mappedarray has a field for its mapping:

struct ReadonlyMappedArray{T,N,A<:AbstractArray,F} <: AbstractMappedArray{T,N}
    f::F
    data::A
end

you can write custom code for when F<:Kernel. This would allow you to add + as you do here

Synergy tangent

This is neat, because the productArray abstraction is also helpful as a multioutput abstraction:

julia> vec(productArray(v,1:2))
6-element reshape(::ProductArrays.ProductArray{Tuple{Vector{Float64}, UnitRange{Int64}}, Tuple{Float64, Int64}, 2}, 6) with eltype Tuple{Float64, Int64}:
 (0.417571623820013, 1)
 (0.39972694171008405, 1)
 (0.9970727095536318, 1)
 (0.417571623820013, 2)
 (0.39972694171008405, 2)
 (0.9970727095536318, 2)

cf. https://github.com/lazyLibraries/ProductArrays.jl (not yet a package JuliaRegistries/General#84683)

[devmotion]

I have the same feeling as @sethaxen:

I considered using one of the many existing array types in the ecosystem for lazily representing an array, but defining a novel type allows us to do things like perform scalar multiplication or add kernel matrices without densifying the array.

A separate dedicated type provides more information about the context and allows us to define dispatches, special operations and optimizations that might be less relevant or not well defined in the general case.

[FelixBenning]

A separate dedicated type provides more information about the context and allows us to define dispatches, special operations and optimizations that might be less relevant or not well defined in the general case.

I edited my reply to explain how you can still do special dispatches

[FelixBenning]

I actually found this pull request because I wanted to ask: does it ever make sense for kernelmatrix to be eager? I mean memory access is expensive and you take $n^2$ space instead of the natural $n$ for just the vector. And kernelmatrices are often only accessed once (e.g. when you want take its cholesky decomposition) and afterwards tossed. Are some kernels really so expensive to evaluate to justify this?

[FelixBenning]

The Transform test seem very much broken to me, it breaks here, #511 and #510 in pretty much the same way. And those have nothing to do with each other.

[sethaxen]

Only thing which is a bit uneasy is the output type... I am not sure there is a strong guarantee that the first evaluated type would correspond to the rest of the matrix. But I also don't see how it could be solved easily...

I wonder of it's safe to ask Julia to infer the return type of kernelmatrix and use that to infer the eltype.

[FelixBenning]

Only thing which is a bit uneasy is the output type... I am not sure there is a strong guarantee that the first evaluated type would correspond to the rest of the matrix. But I also don't see how it could be solved easily...

I wonder of it's safe to ask Julia to infer the return type of kernelmatrix and use that to infer the eltype.

mappedarrays does eltype inference 🤷

[willtebbutt]

A separate option would be to be a little less ambitious with this initial implementation, and not implement a new matrix type, and just provide an interface for the operation that we want.

Specifically, add the following function to the interface:

function kernel_matrix_vector_product(k::Kernel, x::AbstractVector, y::AbstractVector, v::AbstractVector{<:Real})
    return kernelmatrix(k, x, y) * v
end
kernel_matrix_vector_product(k::Kernel, x::AbstractVector, v::AbstractVector{<:Real}) = kernelmatrix(k, x) * v

where the above methods are the default implementations and specify the semantics.
For large problems we could wrap the kernel in some other type which says "don't ever instantiate me", and implements a low-memory version of this operation.

The nice thing about doing things this way is that we avoid having to e.g. guess at the output type of kernelmatrix, or whatever. It's a little verbose, but maybe it covers our initial requirements?

Does this cover our needs? I guess really I'm just asking whether we actually need to go to the trouble of implementing a new matrix type, and can instead just implement a single function that can be overloaded. If there is a range of functionality that we require, then maybe a matrix type is needed, but if we really only have one operation in mind, maybe it's not?

edit: or we could add an additional argument to the functioon that says how things should be computed when you're doing block-wise operations. e.g. kernel_matrix_vector_product(::ChunkSize, ::Kernel, ::AbstractVector, ::AbstractVector{<:Real})

[FelixBenning]

ProductArrays v1.0.0 is now online, so you could do

using MappedArrays: mappedarray, ReadonlyMappedArray
using ProductArrays: productArray, ProductArray

struct Splat{T} 
      func::T
end

(s::Splat)(x) = s.func(x...)

lazykernelmatrix(k::Kernel, x, y) = mappedarray(Splat(k), productArray(x,y))

const LazyKernelMatrix{K<:Kernel, T<:Real, P<:ProductArray} = ReadonlyMappedArray{T, 2, P, Splat{K}}

and then implement additional functionality for LazyKernelmatrix (you would get a ton of functionality from MappedArrays for free (like Eltype inference)

julia> a = mappedarray(Splat(k), productArray(x,x))
3×3 mappedarray(Splat{SqExponentialKernel{Distances.Euclidean}}(Squared Exponential Kernel (metric = Distances.Euclidean(0.0))), ::ProductArray{Tuple{Vector{Float64}, Vector{Float64}}, Tuple{Float64, Float64}, 2}) with eltype Float64:
 1.0       0.879512  0.998656
 0.879512  1.0       0.901716
 0.998656  0.901716  1.0

julia> a isa LazyKernelMatrix
true

julia> eltype(a)
Float64

julia> a isa AbstractArray
true

julia> dump(a) # very readable structure
ReadonlyMappedArray{Float64, 2, ProductArray{Tuple{Vector{Float64}, Vector{Float64}}, Tuple{Float64, Float64}, 2}, Splat{SqExponentialKernel{Distances.Euclidean}}}
  f: Splat{SqExponentialKernel{Distances.Euclidean}}
    func: SqExponentialKernel{Distances.Euclidean}
      metric: Distances.Euclidean
        thresh: Float64 0.0
  data: ProductArray{Tuple{Vector{Float64}, Vector{Float64}}, Tuple{Float64, Float64}, 2}
    prodIt: Base.Iterators.ProductIterator{Tuple{Vector{Float64}, Vector{Float64}}}
      iterators: Tuple{Vector{Float64}, Vector{Float64}}
        1: Array{Float64}((3,)) [0.6995475228324576, 0.19281640447854786, 0.6476909300916908]
        2: Array{Float64}((3,)) [0.6995475228324576, 0.19281640447854786, 0.6476909300916908]

if you want I can also write a convenience method to skip prodIt and get the underlying iterators straight from the ProductArray wrapper around ProductIterator.