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arXiv · 2008.01722

Fast and Near-Optimal Diagonal Preconditioning

Arun Jambulapati·Jerry Li·Christopher Musco·Aaron Sidford·Kevin Tian
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Abstract

The convergence rates of iterative methods for solving a linear system $\mathbf{A} x = b$ typically depend on the condition number of the matrix $\mathbf{A}$. Preconditioning is a common way of speeding up these methods by reducing that condition number in a computationally inexpensive way. In this paper, we revisit the decades-old problem of how to best improve $\mathbf{A}$'s condition number by left or right diagonal rescaling. We make progress on this problem in several directions. First, we provide new bounds for the classic heuristic of scaling $\mathbf{A}$ by its diagonal values (a.k.a. Jacobi preconditioning). We prove that this approach reduces $\mathbf{A}$'s condition number to within a quadratic factor of the best possible scaling. Second, we give a solver for structured mixed packing and covering semidefinite programs (MPC SDPs) which computes a constant-factor optimal scaling for $\mathbf{A}$ in $\widetilde{O}(\text{nnz}(\mathbf{A}) \cdot \text{poly}(κ^\star))$ time; this matches the cost of solving the linear system after scaling up to a $\widetilde{O}(\text{poly}(κ^\star))$ factor. Third, we demonstrate that a sufficiently general width-independent MPC SDP solver would imply near-optimal runtimes for the scaling problems we consider, and natural variants concerned with measures of average conditioning. Finally, we highlight connections of our preconditioning techniques to semi-random noise models, as well as applications in reducing risk in several statistical regression models.

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BibTeXRIS

Arun Jambulapati, Jerry Li, Christopher Musco, Aaron Sidford, Kevin Tian. 2021-11-03. Fast and Near-Optimal Diagonal Preconditioning. https://arxiv.org/abs/2008.01722

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