Vectorization, in simple words, means optimizing the algorithm so that it can utilize SIMD instructions in the processors.
AVX, AVX2 and AVX512 are the instruction sets (intel) that perform same operation on multiple data in one instruction. for eg. AVX512 means you can operate on 16 integer values(4 bytes) at a time. What that means is that if you have vector of 16 integers and you want to double that value in each integers and then add 10 to it. You can either load values on to general register [a,b,c] 16 times and perform same operation or you can perform same operation by loading all 16 values on to SIMD registers [xmm,ymm] and perform the operation once. This lets speed up the computation of vector data.
In vectorization we use this to our advantage, by remodelling our data so that we can perform SIMD operations on it and speed up the program.
Only problem with vectorization is handling conditions. Because conditions branch the flow of execution. This can be handled by masking. By modelling the condition into an arithmetic operation. eg. if we want to add 10 to value if it is greater then 100. we can either.
if(x[i] > 100) x[i] += 10; // this will branch execution flow.
or we can model the condition into arithmetic operation creating a condition vector c,
c[i] = x[i] > 100; // storing the condition on masking vector
x[i] = x[i] + (c[i] & 10) // using mask
this is very trivial example though... thus, c is our masking vector which we use to perform binary operation based on its value. This avoid branching of execution flow and enables vectorization.
Vectorization is as important as Parallelization. Thus, we should make use of it as much possible. All modern days processors have SIMD instructions for heavy compute workloads. We can optimize our code to use these SIMD instructions using vectorization, this is similar to parrallelizing our code to run on multiple cores available on modern processors.
I would like to leave with the mention of OpenMP, which lets yo vectorize the code using pragmas. I consider it as a good starting point. Same can be said for OpenACC.