Paved with good intentions: Analysis of a randomized block Kaczmarz method

The block Kaczmarz method is an iterative scheme for solving overdetermined least-squares problems. At each step, the algorithm projects the current iterate onto the solution space of a subset of the constraints. This paper describes a block Kaczmarz algorithm that uses a randomized control scheme t...

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Published inLinear algebra and its applications Vol. 441; pp. 199 - 221
Main Authors Needell, Deanna, Tropp, Joel A.
Format Journal Article
LanguageEnglish
Published Elsevier Inc 15.01.2014
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Abstract The block Kaczmarz method is an iterative scheme for solving overdetermined least-squares problems. At each step, the algorithm projects the current iterate onto the solution space of a subset of the constraints. This paper describes a block Kaczmarz algorithm that uses a randomized control scheme to choose the subset at each step. This algorithm is the first block Kaczmarz method with an (expected) linear rate of convergence that can be expressed in terms of the geometric properties of the matrix and its submatrices. The analysis reveals that the algorithm is most effective when it is given a good row paving of the matrix, a partition of the rows into well-conditioned blocks. The operator theory literature provides detailed information about the existence and construction of good row pavings. Together, these results yield an efficient block Kaczmarz scheme that applies to many overdetermined least-squares problem.
AbstractList The block Kaczmarz method is an iterative scheme for solving overdetermined least-squares problems. At each step, the algorithm projects the current iterate onto the solution space of a subset of the constraints. This paper describes a block Kaczmarz algorithm that uses a randomized control scheme to choose the subset at each step. This algorithm is the first block Kaczmarz method with an (expected) linear rate of convergence that can be expressed in terms of the geometric properties of the matrix and its submatrices. The analysis reveals that the algorithm is most effective when it is given a good row paving of the matrix, a partition of the rows into well-conditioned blocks. The operator theory literature provides detailed information about the existence and construction of good row pavings. Together, these results yield an efficient block Kaczmarz scheme that applies to many overdetermined least-squares problem.
Author Tropp, Joel A.
Needell, Deanna
Author_xml – sequence: 1
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  surname: Needell
  fullname: Needell, Deanna
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  organization: Dept. of Mathematics and Computer Science, Claremont McKenna College, Claremont, CA 91711, USA
– sequence: 2
  givenname: Joel A.
  surname: Tropp
  fullname: Tropp, Joel A.
  email: jtropp@acm.caltech.edu
  organization: Applied and Computational Mathematics, MC 217-50, California Inst. Technology, Pasadena, CA 91125, USA
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Keywords 68W20
65F10
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Block Kaczmarz
Projections onto convex sets
Matrix paving
Algebraic reconstruction technique
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Snippet The block Kaczmarz method is an iterative scheme for solving overdetermined least-squares problems. At each step, the algorithm projects the current iterate...
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StartPage 199
SubjectTerms Algebraic reconstruction technique
Block Kaczmarz
Matrix paving
Projections onto convex sets
Title Paved with good intentions: Analysis of a randomized block Kaczmarz method
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