Theo Diamandis

Optimization PhD student at MIT


19:30 UTC

Fast optimization via randomized numerical linear algebra

07/29/2022, 7:30 PM8:00 PM UTC

We introduce RandomizedPreconditioners.jl, a package for preconditioning linear systems using randomized numerical linear algebra. Crucially, our preconditioners do not require a priori knowledge of structure present in the linear system, making them especially useful for general-purpose algorithms. We demonstrate significant speedups of positive semidefinite linear system solves, which we use to build fast constrained optimization solvers.

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