Add a GPU implementation of lax.linalg.eig.

This feature has been in the queue for a long time (see #1259), and some folks have found that they can use `pure_callback` to call the CPU version as a workaround. It has recently come up that there can be issues when using `pure_callback` with JAX calls in the body (#24255; this should be investigated separately). This change adds a native solution for computing `lax.linalg.eig` on GPU. By default, this is implemented by calling LAPACK on host directly because this has good performance for small to moderately sized problems (less than about 2048^2). For larger matrices, a GPU-backed implementation based on [MAGMA](https://icl.utk.edu/magma/) can have significantly better performance. (I should note that I haven't done a huge amount of benchmarking yet, but this was the breakeven point used by PyTorch, and I find roughly similar behavior so far.) We don't want to add MAGMA as a required dependency, but if a user has installed it, JAX can use it when the `jax_gpu_use_magma` configuration variable is set to `"on"`. By default, we try to dlopen `libmagma.so`, but the path to a non-standard installation location can be specified using the `JAX_GPU_MAGMA_PATH` environment variable. PiperOrigin-RevId: 697631402
jax-ml · Nov 18, 2024 · ccb3317 · ccb3317
1 parent afdc792
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diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -53,6 +53,9 @@ When releasing, please add the new-release-boilerplate to docs/pallas/CHANGELOG.
     declared inline via {func}`dataclasses.field`. See the function documentation
     for examples.
   * Added {func}`jax.numpy.put_along_axis`.
+  * {func}`jax.lax.linalg.eig` and the related `jax.numpy` functions
+    ({func}`jax.numpy.linalg.eig` and {func}`jax.numpy.linalg.eigvals`) are now
+    supported on GPU. See {jax-issue}`#24663` for more details.
 
 * Bug fixes
   * Fixed a bug where the GPU implementations of LU and QR decomposition would

diff --git a/jax/_src/config.py b/jax/_src/config.py
@@ -1963,3 +1963,14 @@ def _update_garbage_collection_guard(state, key, val):
     ),
     include_in_jit_key=True,
 )
+
+gpu_use_magma = enum_state(
+    name='jax_use_magma',
+    enum_values=['off', 'on', 'auto'],
+    default='auto',
+    help=(
+        'Enable experimental support for MAGMA-backed lax.linalg.eig on GPU. '
+        'See the documentation for lax.linalg.eig for more details about how '
+        'to use this feature.'
+    ),
+)
diff --git a/jax/_src/lax/linalg.py b/jax/_src/lax/linalg.py
@@ -121,16 +121,46 @@ def cholesky(x: Array, *, symmetrize_input: bool = True) -> Array:
 
 
 def eig(x: ArrayLike, *, compute_left_eigenvectors: bool = True,
-        compute_right_eigenvectors: bool = True) -> list[Array]:
+        compute_right_eigenvectors: bool = True,
+        use_magma: bool | None = None) -> list[Array]:
   """Eigendecomposition of a general matrix.
 
-  Nonsymmetric eigendecomposition is at present only implemented on CPU.
+  Nonsymmetric eigendecomposition is only implemented on CPU and GPU. On GPU,
+  the default implementation calls LAPACK directly on the host CPU, but an
+  experimental GPU implementation using `MAGMA <https://icl.utk.edu/magma/>`_
+  is also available. The MAGMA implementation is typically slower than the
+  equivalent LAPACK implementation for small matrices (less than about 2048),
+  but it may perform better for larger matrices.
+
+  To enable the MAGMA implementation, you must install MAGMA yourself (there
+  are Debian and conda-forge packages, or you can build from source). Then set
+  the ``use_magma`` argument to ``True``, or set the ``jax_use_magma``
+  configuration variable to ``"on"`` or ``"auto"``:
+
+  .. code-block:: python
+
+      jax.config.update('jax_use_magma', 'on')
+
+  JAX will try to ``dlopen`` the installed MAGMA shared library, raising an
+  error if it is not found. To explicitly specify the path to the MAGMA
+  library, set the environment variable `JAX_GPU_MAGMA_PATH` to the full
+  installation path.
+
+  If ``jax_use_magma`` is set to ``"auto"``, the MAGMA implementation will
+  be used if the library can be found, and the input matrix is sufficiently
+  large (>= 2048x2048).
 
   Args:
     x: A batch of square matrices with shape ``[..., n, n]``.
     compute_left_eigenvectors: If true, the left eigenvectors will be computed.
     compute_right_eigenvectors: If true, the right eigenvectors will be
       computed.
+    use_magma: Locally override the ``jax_use_magma`` flag. If ``True``, the
+      eigendecomposition is computed using MAGMA. If ``False``, the computation
+      is done using LAPACK on to the host CPU. If ``None`` (default), the
+      behavior is controlled by the ``jax_use_magma`` flag. This argument
+      is only used on GPU.
+
   Returns:
     The eigendecomposition of ``x``, which is a tuple of the form
     ``(w, vl, vr)`` where ``w`` are the eigenvalues, ``vl`` are the left
@@ -142,7 +172,8 @@ def eig(x: ArrayLike, *, compute_left_eigenvectors: bool = True,
     for that batch element.
   """
   return eig_p.bind(x, compute_left_eigenvectors=compute_left_eigenvectors,
-                    compute_right_eigenvectors=compute_right_eigenvectors)
+                    compute_right_eigenvectors=compute_right_eigenvectors,
+                    use_magma=use_magma)
 
 
 def eigh(
@@ -678,12 +709,14 @@ def _symmetric_product_jax_fn(a, c, *, alpha, beta):
 
 # Asymmetric eigendecomposition
 
-def eig_impl(operand, *, compute_left_eigenvectors, compute_right_eigenvectors):
+def eig_impl(operand, *, compute_left_eigenvectors, compute_right_eigenvectors,
+             use_magma):
   return dispatch.apply_primitive(
       eig_p,
       operand,
       compute_left_eigenvectors=compute_left_eigenvectors,
       compute_right_eigenvectors=compute_right_eigenvectors,
+      use_magma=use_magma,
   )
 
 def eig_lower(*args, **kw):
@@ -692,7 +725,8 @@ def eig_lower(*args, **kw):
     "If your matrix is symmetric or Hermitian, you should use eigh instead.")
 
 def eig_abstract_eval(operand, *, compute_left_eigenvectors,
-                      compute_right_eigenvectors):
+                      compute_right_eigenvectors, use_magma):
+  del use_magma  # unused
   if isinstance(operand, ShapedArray):
     if operand.ndim < 2 or operand.shape[-2] != operand.shape[-1]:
       raise ValueError("Argument to nonsymmetric eigendecomposition must have "
@@ -716,7 +750,8 @@ def eig_abstract_eval(operand, *, compute_left_eigenvectors,
   return tuple(output)
 
 def _eig_cpu_lowering(ctx, operand, *, compute_left_eigenvectors,
-                      compute_right_eigenvectors):
+                      compute_right_eigenvectors, use_magma):
+  del use_magma  # unused
   operand_aval, = ctx.avals_in
   out_aval = ctx.avals_out[0]
   batch_dims = operand_aval.shape[:-2]
@@ -763,18 +798,94 @@ def _eig_cpu_lowering(ctx, operand, *, compute_left_eigenvectors,
   return output
 
 
+def _eig_gpu_impl(target_name_prefix, x, *, compute_left_eigenvectors,
+                  compute_right_eigenvectors, use_magma):
+  gpu_solver.initialize_hybrid_kernels()
+  dtype = x.dtype
+  is_real = dtype == np.float32 or dtype == np.float64
+  if is_real:
+    target_name = f"{target_name_prefix}hybrid_eig_real"
+    complex_dtype = np.complex64 if dtype == np.float32 else np.complex128
+  else:
+    target_name = f"{target_name_prefix}hybrid_eig_comp"
+    assert dtype == np.complex64 or dtype == np.complex128
+    complex_dtype = dtype
+
+  batch_dims = x.shape[:-2]
+  n, m = x.shape[-2:]
+  assert n == m
+  num_batch_dims = len(batch_dims)
+
+  layout = tuple(range(num_batch_dims)) + (num_batch_dims + 1, num_batch_dims)
+  out_types = [
+      api.ShapeDtypeStruct(batch_dims + (n,), dtype),
+      api.ShapeDtypeStruct(batch_dims + (n, n), complex_dtype),
+      api.ShapeDtypeStruct(batch_dims + (n, n), complex_dtype),
+      api.ShapeDtypeStruct(batch_dims, np.int32),
+  ]
+  out_layouts = [None, layout, layout, None]
+  if is_real:
+    out_types = [api.ShapeDtypeStruct(batch_dims + (n,), dtype)] + out_types
+    out_layouts = [None] + out_layouts
+
+  magma = config.gpu_use_magma.value
+  if use_magma is not None:
+    magma = "on" if use_magma else "off"
+  fun = ffi.ffi_call(target_name, out_types, input_layouts=[layout],
+                     output_layouts=out_layouts)
+  *w, vl, vr, info = fun(x, magma=magma, left=compute_left_eigenvectors,
+                         right=compute_right_eigenvectors)
+  if is_real:
+    assert len(w) == 2
+    w = lax.complex(*w)
+  else:
+    assert len(w) == 1
+    w = w[0]
+  ok = lax.eq(info, lax.zeros_like_array(info))
+  ok = _broadcast_to(ok[..., None], w.shape)
+  w = lax.select(ok, w, lax.full_like(w, np.nan + np.nan * 1j))
+  ok = _broadcast_to(ok[..., None], x.shape)
+  output = [w]
+  if compute_left_eigenvectors:
+    vl = lax.select(ok, vl, lax.full_like(vl, np.nan + np.nan * 1j))
+    output.append(vl)
+  if compute_right_eigenvectors:
+    vr = lax.select(ok, vr, lax.full_like(vr, np.nan + np.nan * 1j))
+    output.append(vr)
+  return output
+
+
+def _eig_gpu_lowering(target_name_prefix, ctx, operand, *,
+                      compute_left_eigenvectors, compute_right_eigenvectors,
+                      use_magma):
+  if ctx.is_forward_compat():
+    raise NotImplementedError(
+        "Export of nonsymmetric eigendecomposition on GPU is not supported "
+        "because of forward compatibility. The "
+        "'jax_export_ignore_forward_compatibility' configuration option can be "
+        "used to disable this check.")
+  rule = mlir.lower_fun(partial(
+      _eig_gpu_impl, target_name_prefix,
+      compute_left_eigenvectors=compute_left_eigenvectors,
+      compute_right_eigenvectors=compute_right_eigenvectors,
+      use_magma=use_magma), multiple_results=True)
+  return rule(ctx, operand)
+
+
 def eig_batching_rule(batched_args, batch_dims, *, compute_left_eigenvectors,
-                      compute_right_eigenvectors):
+                      compute_right_eigenvectors, use_magma):
   x, = batched_args
   bd, = batch_dims
   x = batching.moveaxis(x, bd, 0)
 
   return (eig_p.bind(x, compute_left_eigenvectors=compute_left_eigenvectors,
-                     compute_right_eigenvectors=compute_right_eigenvectors),
+                     compute_right_eigenvectors=compute_right_eigenvectors,
+                     use_magma=use_magma),
           (0,) * (1 + compute_left_eigenvectors + compute_right_eigenvectors))
 
 def eig_jvp_rule(primals, tangents, *, compute_left_eigenvectors,
-                 compute_right_eigenvectors):
+                 compute_right_eigenvectors, use_magma):
+  del use_magma  # unused
   if compute_left_eigenvectors or compute_right_eigenvectors:
     raise NotImplementedError(
         'The derivatives of eigenvectors are not implemented, only '
@@ -793,6 +904,10 @@ def eig_jvp_rule(primals, tangents, *, compute_left_eigenvectors,
 eig_p.def_abstract_eval(eig_abstract_eval)
 mlir.register_lowering(eig_p, eig_lower)
 mlir.register_lowering(eig_p, _eig_cpu_lowering, platform='cpu')
+mlir.register_lowering(eig_p, partial(_eig_gpu_lowering, 'cu'),
+                       platform='cuda')
+mlir.register_lowering(eig_p, partial(_eig_gpu_lowering, 'hip'),
+                       platform='rocm')
 batching.primitive_batchers[eig_p] = eig_batching_rule
 ad.primitive_jvps[eig_p] = eig_jvp_rule
 

diff --git a/jax/_src/numpy/linalg.py b/jax/_src/numpy/linalg.py
@@ -731,7 +731,9 @@ def eig(a: ArrayLike) -> tuple[Array, Array]:
     - This differs from :func:`numpy.linalg.eig` in that the return type of
       :func:`jax.numpy.linalg.eig` is always complex64 for 32-bit input, and complex128
       for 64-bit input.
-    - At present, non-symmetric eigendecomposition is only implemented on the CPU backend.
+    - At present, non-symmetric eigendecomposition is only implemented on the CPU and
+      GPU backends. For more details about the GPU implementation, see the
+      documentation for :func:`jax.lax.linalg.eig`.
 
   See also:
     - :func:`jax.numpy.linalg.eigh`: eigenvectors and eigenvalues of a Hermitian matrix.

diff --git a/jaxlib/cpu/lapack_kernels.cc b/jaxlib/cpu/lapack_kernels.cc
@@ -1094,34 +1094,6 @@ template struct EigenvalueDecompositionSymmetric<ffi::DataType::F64>;
 template struct EigenvalueDecompositionHermitian<ffi::DataType::C64>;
 template struct EigenvalueDecompositionHermitian<ffi::DataType::C128>;
 
-// LAPACK uses a packed representation to represent a mixture of real
-// eigenvectors and complex conjugate pairs. This helper unpacks the
-// representation into regular complex matrices.
-template <typename T>
-static void UnpackEigenvectors(lapack_int n, const T* eigenvals_imag,
-                               const T* packed, std::complex<T>* unpacked) {
-  for (int j = 0; j < n;) {
-    if (eigenvals_imag[j] == 0. || std::isnan(eigenvals_imag[j])) {
-      // Real values in each row without imaginary part
-      // Second row of the imaginary part is not provided
-      for (int i = 0; i < n; ++i) {
-        unpacked[j * n + i] = {packed[j * n + i], 0.};
-      }
-      ++j;
-    } else {
-      // Complex values where the real part is in the jth row
-      // and the imaginary part is in the next row (j + 1)
-      for (int i = 0; i < n; ++i) {
-        const T real_part = packed[j * n + i];
-        const T imag_part = packed[(j + 1) * n + i];
-        unpacked[j * n + i] = {real_part, imag_part};
-        unpacked[(j + 1) * n + i] = {real_part, -imag_part};
-      }
-      j += 2;
-    }
-  }
-}
-
 // lapack geev
 
 template <typename T>

diff --git a/jaxlib/cpu/lapack_kernels.h b/jaxlib/cpu/lapack_kernels.h
@@ -16,6 +16,7 @@ limitations under the License.
 #ifndef JAXLIB_CPU_LAPACK_KERNELS_H_
 #define JAXLIB_CPU_LAPACK_KERNELS_H_
 
+#include <complex>
 #include <cstdint>
 #include <optional>
 #include <type_traits>
@@ -462,6 +463,34 @@ struct EigenvalueDecompositionHermitian {
 
 // lapack geev
 
+// LAPACK uses a packed representation to represent a mixture of real
+// eigenvectors and complex conjugate pairs. This helper unpacks the
+// representation into regular complex matrices.
+template <typename T, typename Int=lapack_int>
+static void UnpackEigenvectors(Int n, const T* eigenvals_imag,
+                               const T* packed, std::complex<T>* unpacked) {
+  for (int j = 0; j < n;) {
+    if (eigenvals_imag[j] == 0. || std::isnan(eigenvals_imag[j])) {
+      // Real values in each row without imaginary part
+      // Second row of the imaginary part is not provided
+      for (int i = 0; i < n; ++i) {
+        unpacked[j * n + i] = {packed[j * n + i], 0.};
+      }
+      ++j;
+    } else {
+      // Complex values where the real part is in the jth row
+      // and the imaginary part is in the next row (j + 1)
+      for (int i = 0; i < n; ++i) {
+        const T real_part = packed[j * n + i];
+        const T imag_part = packed[(j + 1) * n + i];
+        unpacked[j * n + i] = {real_part, imag_part};
+        unpacked[(j + 1) * n + i] = {real_part, -imag_part};
+      }
+      j += 2;
+    }
+  }
+}
+
 template <typename T>
 struct RealGeev {
   using FnType = void(char* jobvl, char* jobvr, lapack_int* n, T* a,

diff --git a/jaxlib/cuda/BUILD b/jaxlib/cuda/BUILD
@@ -476,6 +476,55 @@ pybind_extension(
     ],
 )
 
+cc_library(
+    name = "cuda_hybrid_kernels",
+    srcs = ["//jaxlib/gpu:hybrid_kernels.cc"],
+    hdrs = ["//jaxlib/gpu:hybrid_kernels.h"],
+    deps = [
+        ":cuda_gpu_kernel_helpers",
+        ":cuda_vendor",
+        "//jaxlib:ffi_helpers",
+        "//jaxlib/cpu:lapack_kernels",
+        "@com_google_absl//absl/algorithm:container",
+        "@com_google_absl//absl/base:core_headers",
+        "@com_google_absl//absl/container:flat_hash_map",
+        "@com_google_absl//absl/status",
+        "@com_google_absl//absl/status:statusor",
+        "@com_google_absl//absl/strings:str_format",
+        "@com_google_absl//absl/synchronization",
+        "@com_google_absl//absl/types:span",
+        "@xla//xla/ffi/api:ffi",
+    ],
+)
+
+pybind_extension(
+    name = "_hybrid",
+    srcs = ["//jaxlib/gpu:hybrid.cc"],
+    copts = [
+        "-fexceptions",
+        "-fno-strict-aliasing",
+    ],
+    features = ["-use_header_modules"],
+    linkopts = select({
+        "@xla//xla/python:use_jax_cuda_pip_rpaths": [
+            "-Wl,-rpath,$$ORIGIN/../../nvidia/cuda_runtime/lib",
+        ],
+        "//conditions:default": [],
+    }),
+    module_name = "_hybrid",
+    deps = [
+        ":cuda_gpu_kernel_helpers",
+        ":cuda_hybrid_kernels",
+        ":cuda_vendor",
+        "//jaxlib:kernel_nanobind_helpers",
+        "//jaxlib/cpu:lapack_kernels",
+        "@local_config_cuda//cuda:cuda_headers",
+        "@nanobind",
+        "@xla//xla/ffi/api:ffi",
+        "@xla//xla/tsl/cuda:cudart",
+    ],
+)
+
 cc_library(
     name = "cuda_gpu_kernels",
     srcs = ["//jaxlib/gpu:gpu_kernels.cc"],
@@ -633,6 +682,7 @@ py_library(
     name = "cuda_gpu_support",
     deps = [
         ":_blas",
+        ":_hybrid",
         ":_linalg",
         ":_prng",
         ":_rnn",

diff --git a/jaxlib/gpu/BUILD b/jaxlib/gpu/BUILD
@@ -37,6 +37,9 @@ exports_files(srcs = [
     "gpu_kernel_helpers.cc",
     "gpu_kernel_helpers.h",
     "gpu_kernels.cc",
+    "hybrid.cc",
+    "hybrid_kernels.cc",
+    "hybrid_kernels.h",
     "linalg.cc",
     "linalg_kernels.cc",
     "linalg_kernels.cu.cc",