A Class of Fast and Accurate Summation Algorithms

Pierre Blanchard (1) , Nicholas J Higham (1) , Théo Mary (2)

1 School of Mathematics - Department of Mathematics [Manchester]
2 PEQUAN - Performance et Qualité des Algorithmes Numériques

The need to sum floating-point numbers is ubiquitous in scientific computing. Standard recursive summation of n summands, often implemented in a blocked form, has a backward error bound proportional to nu, where u is the unit roundoff. With the growing interest in low precision floating-point arithmetic and ever increasing n in applications, computed sums are more likely to have insufficient accuracy. We propose a class of summation algorithms called FABsum (for "fast and accurate block summation") that applies a fast summation algorithm (such as recursive summation) blockwise and then sums the partial sums using an accurate summation algorithm (such as compensated summation, or recursive summation in higher precision). We give a rounding error analysis to show that FABsum with a fixed block size b has a backward error bound (b + 1)u + O(u 2), which is independent of n to first order. Our computational experiments show that with a suitable choice of b (independent of n) FABsum can deliver substantially more accurate results than blocked recursive summation, with only a modest drop in performance. FABsum is especially attractive for low precisions, where it can provide correct digits for much larger n than recursive summation.

Mots clés: summation; recursive summation; compensated summation; blocked summation; rounding error analysis; floating-point arithmetic; numerical linear algebra

Domaines: Mathématiques [math]; Analyse numérique [math.NA]; Informatique [cs]; Calcul parallèle, distribué et partagé [cs.DC]

Pierre Blanchard, Nicholas J Higham, Théo Mary. A Class of Fast and Accurate Summation Algorithms. SIAM Journal on Scientific Computing, In press. ⟨hal-02491081⟩