[eigen] Intel (R) MKL IE SpBLAS support in Eigen

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Hello Eigen community,

My name is Maria Zhukova and I’m a software development engineer at Intel ® MKL Sparse team.

My team is interested in contributing into Eigen, so I’ve investigated our possibilities and so far this is what I have:
Eigen support different operations for sparse matrices stored in CSR and CSC format which can be implemented on a basis of IE SpBLAS kernels (please, refer to https://software.intel.com/en-us/mkl-developer-reference-c-inspector-executor-sparse-blas-routines for the general idea of interfaces)
, basically we want to implement calls to our IE SpBLAS into next operations:

                SparseMatrix + SparseMatrix (mkl_sparse_?_add)
                SparseMatrix * DenseVector  (mkl_sparse_?_mv)

                SparseMatrix * DenseMatrix   (mkl_sparse_?_mm)

                SparseMatrix * SparseMatrix  (mkl_sparse_spmm),
and Triangular solve (mkl_sparse_?_trsv).

I’ve already started with implementation of sparse_time_dense_impl_mkl kernel which is based on mkl_sparse_?_mv (included in patch).

This is how it will look like for user:
#include <Eigen/SpBLASSupport>                  <-- NEW: IE SpBLAS include module

void main () {
  SparseMatrix<double, RowMajor> A;
 Matrix<double, Dynamic, 1> x, y;

/* Convert matrix A into CSR/CSC format */
A.createSparseHandle();                       /* NEW: is used to create handle required for all IE SpBLAS routines */

// support of IE SpBLAS is here
y = beta*y + alpha*A*x;                       /* call to mkl_sparse_?_mv with operation = SPARSE_OPERATION_NON_TRANSPOSE */
y = beta*y + alpha*A.transpose()*x;           /* call to mkl_sparse_?_mv with operation = SPARSE_OPERATION_TRANSPOSE */
y = beta*y + alpha*A.adjoint()*x;             /* call to mkl_sparse_?_mv with operation = SPARSE_OPERATION_CONJUGATE_TRANSPOSE */

  A.destroySparseHandle();                      /* NEW: is used to delete created handle */


I’ve attached a draft patch including all necessary changes and would like to hear your feedback.
Please, let me know if you have any questions and comments.


Best regards,




Attachment: EigenWithIESpBLASSupport.diff
Description: EigenWithIESpBLASSupport.diff

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