High-level approach:- Compute Pearson r(i,j) = cov(xi,xj) / (σ_xi * σ_xj). We stream features in column blocks that fit GPU memory, compute means/variances with numerically-stable one-pass (Welford) per column, then compute blockwise dot-products (covariances) using BLAS GEMM on centered columns. Accumulate partial covariance tiles to avoid storing full NxN matrix.Pseudocode (blocked, GPU-friendly):python
# A: M x N matrix (M samples, N features) stored on host.
# Bsize: number of feature columns per block that fit GPU memory
# Step 1: compute mean and variance for every column using streaming Welford on CPU/GPU
means = zeros(N)
vars = zeros(N)
counts = 0
for each column_block in stream_columns(A, Bsize):
# move block to GPU
block = upload_gpu(column_block) # M x b
# Welford per column implemented on GPU kernel or use cuBLAS reduction
block_means, block_vars = welford_reduction(block)
update_global_welford(means, vars, counts, block_means, block_vars, b)
counts += M
# Step 2: blocked covariance via centered GEMM
# We'll compute upper-triangular tiles only and stream results to disk/host
for i_block in range(0, N, Bsize):
Xi = upload_gpu(get_columns(A, i_block, Bsize)) # M x bi
center_columns_inplace(Xi, means[i_block:i_block+bi]) # subtract means
scale_columns_inplace(Xi, 1.0) # keep unscaled for covariance
for j_block in range(i_block, N, Bsize):
Xj = upload_gpu(get_columns(A, j_block, Bsize)) # M x bj
center_columns_inplace(Xj, means[j_block:j_block+bj])
# Use GEMM: C = Xi^T * Xj => bi x bj matrix of dot-products
C = gemm(transpose(Xi), Xj) # uses cuBLAS for high throughput
# Normalize to covariance: cov = C / (M - 1)
# Convert to Pearson r using precomputed stddevs
for p in range(bi):
for q in range(bj):
denom = sqrt(vars[i_block+p] * vars[j_block+q])
r = (C[p,q] / (counts - 1)) / denom if denom > 0 else 0
write_output_tile(i_block+p, j_block+q, r)
free_gpu(Xj)
free_gpu(Xi)
Key details and rationale:- Numerical stability: Welford/online algorithm avoids catastrophic cancellation when computing mean/variance across large M and streaming blocks. Compute variances with double precision if possible.- Blocking & memory: Blocks sized to maximize GPU occupancy while leaving room for temporary buffers and GEMM workspace. Compute only upper triangle and stream results to host or disk.- Exploit BLAS: Use cuBLAS GEMM for dot-products (Xi^T * Xj) which is far faster than element-wise kernels. Use batched GEMM when blocks are further split.- Streaming: Read features from storage in column-major chunks; overlap data transfers with compute using CUDA streams: while GEMM runs on block i, prefetch next block j.- Parallel reduction: When centering, use cuBLAS/Thrust reductions; center in-place to avoid extra copies.- Numerical types: Use FP32 for inputs if performance-critical, but compute means/vars and GEMM in FP32 with accumulation in FP64 if supported (Tensor cores/mixed precision) to reduce error.- Complexity: Each GEMM computes bi*bj entries with cost O(M*bi*bj); overall roughly O(M*N^2 / Bsize) GPU flops but memory I/O bound if M small.Edge cases:- Features with zero variance -> define r=0 or NaN per policy.- Extremely large M: compute means/vars in multiple passes if necessary, but Welford handles streaming.- Sparse features: convert to sparse-dense strategy to exploit sparsity for speed/memory.This pattern yields a scalable, numerically-stable GPU implementation that maximizes BLAS throughput while avoiding storing full NxN matrix in memory.