Matrix scaling in linear and convex programming

Bahman Kalantari


Diagonal scaling in linear programming became a prominent technique with

the announcement of Karmarkar algorithm. In the context of nonnegative

matrices, doubly stochastic diagonal scaling had been a subject of

research for more than half a century prior to the emergence of

interior-point methods for LP. The link between these two otherwise

disjoint fields is diagonal scaling of a symmetric positive semidefinite

matrix into a doubly quasi-stochastic matrix. The complexity of the

latter problem was studied by Khachiyan and Kalantari who also used it

to give, as a by-product, a simple unique path-following algorithm for

LP. In this talk not only do we wish to promote and justify the

significance and relevance of positive semidefinite matrix scaling in

linear programming, but of its generalization in semidefinite as well

as self-concordant programming. These are from the point of view of

pedagogical, foundational, theoretical, algorithmic, and possibly even

practical considerations.