We present a parallel algorithm for computing the approximate factorization of an $N$-by-$N$ kernel matrix. Once this factorization has been constructed (with $N log^2 N $ work), we can solve linear systems with this matrix with $N log N $ work. Kernel matrices represent pairwise interactions of points in metric spaces. They appear in machine learning, approximation theory, and computational physics. Kernel matrices are typically dense (matrix multiplication scales quadratically with $N$) and ill-conditioned (solves can require 100s of Krylov iterations). Thus, fast algorithms for matrix multiplication and factorization are critical for scalability. Recently we introduced ASKIT, a new method for approximating a kernel matrix that resembles N-body methods. Here we introduce INV-ASKIT, a factorization scheme based on ASKIT. We describe the new method, derive complexity estimates, and conduct an empirical study of its accuracy and scalability. We report results on real-world datasets including COVTYPE ($0.5$M points in 54 dimensions), SUSY ($4.5$M points in 8 dimensions) and MNIST (2M points in 784 dimensions) using shared and distributed memory parallelism. In our largest run we approximately factorize a dense matrix of size 32M $times$ 32M (generated from points in 64 dimensions) on 4,096 Sandy-Bridge cores. To our knowledge these results improve the state of the art by several orders of magnitude.
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