Optimal Diagonal Preconditioning

TL;DR

This paper develops algorithms for optimal diagonal preconditioning to maximize condition number reduction, providing theoretical guarantees and demonstrating significant practical improvements over heuristic methods.

Contribution

It introduces a quasi-convex reformulation and efficient algorithms for optimal diagonal preconditioning, including specialized solvers for one-sided problems and extensive empirical validation.

Findings

Optimal diagonal preconditioners significantly reduce condition numbers.

The proposed algorithms outperform heuristic preconditioners in speed and effectiveness.

Practical methods scale to large matrices with up to 200,000 size.

Abstract

Preconditioning has long been a staple technique in optimization, often applied to reduce the condition number of a matrix and speed up the convergence of algorithms. Although there are many popular preconditioning techniques in practice, most lack guarantees on reductions in condition number. Moreover, the degree to which we can improve over existing heuristic preconditioners remains an important practical question. In this paper, we study the problem of optimal diagonal preconditioning that achieves maximal reduction in the condition number of any full-rank matrix by scaling its rows and/or columns. We first reformulate the problem as a quasi-convex problem and provide a simple algorithm based on bisection. Then we develop an interior point algorithm with $O(\log(1/\epsilon))$ iteration complexity, where each iteration consists of a Newton update based on the Nesterov-Todd direction. Next, we specialize to one-sided optimal diagonal preconditioning problems, and demonstrate that they can be formulated as standard dual SDP problems. We then develop efficient customized solvers and study the empirical performance of our optimal diagonal preconditioning procedures through extensive experiments on large matrices. Our findings suggest that optimal diagonal preconditioners can significantly improve upon existing heuristics-based diagonal preconditioners at reducing condition numbers and speeding up iterative methods. Moreover, our implementation of customized solvers, combined with a random row/column sampling step, can find near-optimal diagonal preconditioners for matrices up to size 200,000 in reasonable time, demonstrating their practical appeal.