A Chordal Preconditioner for Large Scale Optimization

We propose an automatic preconditioning scheme for large sparse numerical optimization. The strategy is based on an examination of the sparsity pattern of the Hessian matrix: using a graph-theoretic heuristic, a block diagonal approximation to the Hessian matrix is induced. The blocks are submatrices of the Hessian matrix; furthermore, each block is chordal. That is, under a positive definiteness assumption, each block can be Cholesky factored without creating new nonzeroes (fill). Therefore the preconditioner is space efficient. We conduct a number of numerical experiments to determine the effectiveness of the preconditioner in the context of a linear conjugate gradient algorithm for optimization