An Efficient Parallel Solver for SDD Linear Systems

We present the first parallel algorithm for solving systems of linear equations in symmetric, diagonally dominant (SDD) matrices that runs in polylogarithmic time and nearly-linear work. The heart of our algorithm is a construction of a sparse approximate inverse chain for the input matrix: a sequence of sparse matrices whose product approximates its inverse. Whereas other fast algorithms for solving systems of equations in SDD matrices exploit low-stretch spanning trees, our algorithm only requires spectral graph sparsifiers

Matrix Scaling and Balancing via Box Constrained Newton's Method and Interior Point Methods

In this paper, we study matrix scaling and balancing, which are fundamental problems in scientific computing, with a long line of work on them that dates back to the 1960s. We provide algorithms for both these problems that, ignoring logarithmic factors involving the dimension of the input matrix and the size of its entries, both run in time $\widetilde{O}\left(m\log \kappa \log^2 (1/\epsilon)\right)$ where $\epsilon$ is the amount of error we are willing to tolerate. Here, $\kappa$ represents the ratio between the largest and the smallest entries of the optimal scalings. This implies that our algorithms run in nearly-linear time whenever $\kappa$ is quasi-polynomial, which includes, in particular, the case of strictly positive matrices. We complement our results by providing a separate algorithm that uses an interior-point method and runs in time $\widetilde{O}(m^{3/2} \log (1/\epsilon))$. In order to establish these results, we develop a new second-order optimization framework that enables us to treat both problems in a unified and principled manner. This framework identifies a certain generalization of linear system solving that we can use to efficiently minimize a broad class of functions, which we call second-order robust. We then show that in the context of the specific functions capturing matrix scaling and balancing, we can leverage and generalize the work on Laplacian system solving to make the algorithms obtained via this framework very efficient.Comment: To appear in FOCS 201

Hardness Results for Structured Linear Systems

We show that if the nearly-linear time solvers for Laplacian matrices and their generalizations can be extended to solve just slightly larger families of linear systems, then they can be used to quickly solve all systems of linear equations over the reals. This result can be viewed either positively or negatively: either we will develop nearly-linear time algorithms for solving all systems of linear equations over the reals, or progress on the families we can solve in nearly-linear time will soon halt

Approximate Gaussian Elimination for Laplacians: Fast, Sparse, and Simple

We show how to perform sparse approximate Gaussian elimination for Laplacian matrices. We present a simple, nearly linear time algorithm that approximates a Laplacian by a matrix with a sparse Cholesky factorization, the version of Gaussian elimination for symmetric matrices. This is the first nearly linear time solver for Laplacian systems that is based purely on random sampling, and does not use any graph theoretic constructions such as low-stretch trees, sparsifiers, or expanders. The crux of our analysis is a novel concentration bound for matrix martingales where the differences are sums of conditionally independent variables