A fast algorithm for matrix balancing

作者：Philip A. Knight, Daniel Ruiz · 发表于：IMA Journal of Numerical Analysis · 年份：2012 · DOI：10.1093/imanum/drs019 · 被引用次数：588 · 研究领域：Matrix Theory and Algorithms、Iterative Methods for Nonlinear Equations、Advanced Optimization Algorithms Research

As long as a square non-negative matrix A has total support then it can be balanced, that is, we can find a diagonal scaling of A that has row and column sums equal to one. A number of algorithms have been proposed to achieve the balancing, the most well known of these being Sinkhorn–Knopp. In this paper, we derive new algorithms based on inner–outer iteration schemes. We show that Sinkhorn–Knopp belongs to this family, but other members can converge much more quickly. In particular, we show that while stationary iterative methods offer little or no improvement in many cases, a scheme using a preconditioned conjugate gradient method as the inner iteration converges at much lower cost (in terms of matrix–vector products) for a broad range of matrices; and succeeds in cases where the Sinkhorn–Knopp algorithm fails.