Near-linear convergence of the Random Osborne algorithm for Matrix Balancing
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10107_2022_Article_1825.pdf
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615.77 KB
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026461baad99f2cdcbc35210facf046a
Author(s)
Altschuler, Jason M.
Parrilo, Pablo A.
Date Issued
May 2022
Journal
Mathematical Programming
Publisher
Springer Science and Business Media LLC
Citation
Altschuler, Jason M. and Parrilo, Pablo A. 2022. "Near-linear convergence of the Random Osborne algorithm for Matrix Balancing."
Version
Final published version
Abstract
Abstract
We revisit Matrix Balancing, a pre-conditioning task used ubiquitously for computing eigenvalues and matrix exponentials. Since 1960, Osborne’s algorithm has been the practitioners’ algorithm of choice, and is now implemented in most numerical software packages. However, the theoretical properties of Osborne’s algorithm are not well understood. Here, we show that a simple random variant of Osborne’s algorithm converges in near-linear time in the input sparsity. Specifically, it balances
$$K \in {\mathbb {R}}_{\ge 0}^{n \times n}$$
K
∈
R
≥
0
n
×
n
after
$$O(m \varepsilon ^{-2} \log \kappa )$$
O
(
m
ε
-
2
log
κ
)
arithmetic operations in expectation and with high probability, where m is the number of nonzeros in K,
$$\varepsilon $$
ε
is the
$$\ell _1$$
ℓ
1
accuracy, and
$$\kappa = \sum _{ij} K_{ij} / ( \min _{ij : K_{ij} \ne 0} K_{ij})$$
κ
=
∑
ij
K
ij
/
(
min
i
j
:
K
ij
≠
0
K
ij
)
measures the conditioning of K. Previous work had established near-linear runtimes either only for
$$\ell _2$$
ℓ
2
accuracy (a weaker criterion which is less relevant for applications), or through an entirely different algorithm based on (currently) impractical Laplacian solvers. We further show that if the graph with adjacency matrix K is moderately connected—e.g., if K has at least one positive row/column pair—then Osborne’s algorithm initially converges exponentially fast, yielding an improved runtime
$$O(m \varepsilon ^{-1} \log \kappa )$$
O
(
m
ε
-
1
log
κ
)
. We also address numerical precision issues by showing that these runtime bounds still hold when using
$$O(\log (n\kappa /\varepsilon ))$$
O
(
log
(
n
κ
/
ε
)
)
-bit numbers. Our results are established through an intuitive potential argument that leverages a convex optimization perspective of Osborne’s algorithm, and relates the per-iteration progress to the current imbalance as measured in Hellinger distance. Unlike previous analyses, we critically exploit log-convexity of the potential. Notably, our analysis extends to other variants of Osborne’s algorithm: along the way, we also establish significantly improved runtime bounds for cyclic, greedy, and parallelized variants of Osborne’s algorithm.
MIT Department
Massachusetts Institute of Technology. Laboratory for Information and Decision Systems
Terms of Use
Creative Commons Attribution
Persistent DSpace Link
DOI of Published Version
https://doi.org/10.1007/s10107-022-01825-4
