Stochastic Matrix-Free Equilibration
  We present a novel method for approximately equilibrating a matrix $A \in {\bf R}^{m \times n}$ using only multiplication by $A$ and $A^T$. Our method is based on convex optimization and projected stochastic gradient descent, using an unbiased estimate of a gradient obtained by a randomized method. Our method provably converges in expectation with an $O(1/t)$ convergence rate and empirically gets good results with a small number of iterations. We show how the method can be applied as a preconditioner for matrix-free iterative algorithms such as LSQR and Chambolle-Cremers-Pock, substantially reducing the iterations required to reach a given level of precision. We also derive a novel connection between equilibration and condition number, showing that equilibration minimizes an upper bound on the condition number over all choices of row and column scalings. 
Steven Diamond and Stephen Boyd
math.OC