Merge pull request #349 from SciML/mkl

Setup MKL direct factorizations

Author: ChrisRackauckas

Project.toml

@@ -29,6 +29,7 @@ UnPack = "3a884ed6-31ef-47d7-9d2a-63182c4928ed"
 [weakdeps]
 CUDA = "052768ef-5323-5732-b1bb-66c8b64840ba"
 HYPRE = "b5ffcf37-a2bd-41ab-a3da-4bd9bc8ad771"
+MKL_jll = "856f044c-d86e-5d09-b602-aeab76dc8ba7"
 IterativeSolvers = "42fd0dbc-a981-5370-80f2-aaf504508153"
 KrylovKit = "0b1a1467-8014-51b9-945f-bf0ae24f4b77"
 Pardiso = "46dd5b70-b6fb-5a00-ae2d-e8fea33afaf2"
@@ -37,6 +38,7 @@ Pardiso = "46dd5b70-b6fb-5a00-ae2d-e8fea33afaf2"
 LinearSolveCUDAExt = "CUDA"
 LinearSolveHYPREExt = "HYPRE"
 LinearSolveIterativeSolversExt = "IterativeSolvers"
+LinearSolveMKLExt = "MKL_jll"
 LinearSolveKrylovKitExt = "KrylovKit"
 LinearSolvePardisoExt = "Pardiso"
 
@@ -70,6 +72,7 @@ InteractiveUtils = "b77e0a4c-d291-57a0-90e8-8db25a27a240"
 IterativeSolvers = "42fd0dbc-a981-5370-80f2-aaf504508153"
 JET = "c3a54625-cd67-489e-a8e7-0a5a0ff4e31b"
 KrylovKit = "0b1a1467-8014-51b9-945f-bf0ae24f4b77"
+MKL_jll = "856f044c-d86e-5d09-b602-aeab76dc8ba7"
 MPI = "da04e1cc-30fd-572f-bb4f-1f8673147195"
 MultiFloats = "bdf0d083-296b-4888-a5b6-7498122e68a5"
 Pkg = "44cfe95a-1eb2-52ea-b672-e2afdf69b78f"
@@ -78,4 +81,4 @@ SafeTestsets = "1bc83da4-3b8d-516f-aca4-4fe02f6d838f"
 Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
 
 [targets]
-test = ["Test", "IterativeSolvers", "InteractiveUtils", "JET", "KrylovKit", "Pkg", "Random", "SafeTestsets", "MultiFloats", "ForwardDiff", "HYPRE", "MPI"]
+test = ["Test", "IterativeSolvers", "InteractiveUtils", "JET", "KrylovKit", "Pkg", "Random", "SafeTestsets", "MultiFloats", "ForwardDiff", "HYPRE", "MPI", "MKL_jll"]

ext/LinearSolveMKLExt.jl

@@ -0,0 +1,50 @@
+module LinearSolveMKLExt
+
+using MKL_jll
+using LinearAlgebra: BlasInt, LU
+using LinearAlgebra.LAPACK: require_one_based_indexing, chkfinite, chkstride1, 
+                            @blasfunc, chkargsok
+using LinearAlgebra
+const usemkl = MKL_jll.is_available()
+
+using LinearSolve
+using LinearSolve: ArrayInterface, MKLLUFactorization, @get_cacheval, LinearCache, SciMLBase
+
+function getrf!(A::AbstractMatrix{<:Float64}; ipiv = similar(A, BlasInt, min(size(A,1),size(A,2))), info = Ref{BlasInt}(), check = false)
+    require_one_based_indexing(A)
+    check && chkfinite(A)
+    chkstride1(A)
+    m, n = size(A)
+    lda  = max(1,stride(A, 2))
+    ccall((@blasfunc(dgetrf_), MKL_jll.libmkl_rt), Cvoid,
+            (Ref{BlasInt}, Ref{BlasInt}, Ptr{Float64},
+            Ref{BlasInt}, Ptr{BlasInt}, Ptr{BlasInt}),
+            m, n, A, lda, ipiv, info)
+    chkargsok(info[])
+    A, ipiv, info[] #Error code is stored in LU factorization type
+end
+
+default_alias_A(::MKLLUFactorization, ::Any, ::Any) = false
+default_alias_b(::MKLLUFactorization, ::Any, ::Any) = false
+
+function LinearSolve.init_cacheval(alg::MKLLUFactorization, A, b, u, Pl, Pr,
+    maxiters::Int, abstol, reltol, verbose::Bool,
+    assumptions::OperatorAssumptions)
+    ArrayInterface.lu_instance(convert(AbstractMatrix, A))
+end
+
+function SciMLBase.solve!(cache::LinearCache, alg::MKLLUFactorization;
+    kwargs...)
+    A = cache.A
+    A = convert(AbstractMatrix, A)
+    if cache.isfresh
+        cacheval = @get_cacheval(cache, :MKLLUFactorization)
+        fact = LU(getrf!(A)...)
+        cache.cacheval = fact
+        cache.isfresh = false
+    end
+    y = ldiv!(cache.u, @get_cacheval(cache, :MKLLUFactorization), cache.b)
+    SciMLBase.build_linear_solution(alg, y, nothing, cache)
+end
+
+end

src/LinearSolve.jl

@@ -124,6 +124,9 @@ end
         @require KrylovKit="0b1a1467-8014-51b9-945f-bf0ae24f4b77" begin
             include("../ext/LinearSolveKrylovKitExt.jl")
         end
+        @require MKL_jll="856f044c-d86e-5d09-b602-aeab76dc8ba7" begin
+            include("../ext/LinearSolveMKLExt.jl")
+        end
     end
 end
 
@@ -181,6 +184,7 @@ export HYPREAlgorithm
 export CudaOffloadFactorization
 export MKLPardisoFactorize, MKLPardisoIterate
 export PardisoJL
+export MKLLUFactorization
 
 export OperatorAssumptions, OperatorCondition
 

src/extension_algs.jl

@@ -337,3 +337,13 @@ A wrapper over the IterativeSolvers.jl MINRES.
 
 """
 function IterativeSolversJL_MINRES end
+
+"""
+```julia
+MKLLUFactorization()
+```
+
+A wrapper over Intel's Math Kernel Library (MKL). Direct calls to MKL in a way that pre-allocates workspace
+to avoid allocations and does not require libblastrampoline.
+"""
+struct MKLLUFactorization <: AbstractFactorization end

test/basictests.jl

@@ -1,6 +1,6 @@
 using LinearSolve, LinearAlgebra, SparseArrays, MultiFloats, ForwardDiff
 using SciMLOperators
-using IterativeSolvers, KrylovKit
+using IterativeSolvers, KrylovKit, MKL_jll
 using Test
 import Random
 
@@ -207,6 +207,7 @@ end
             QRFactorization(),
             SVDFactorization(),
             RFLUFactorization(),
+            MKLLUFactorization(),
             LinearSolve.defaultalg(prob1.A, prob1.b))
             @testset "$alg" begin
                 test_interface(alg, prob1, prob2)