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 in | Linear algebra and its applications Vol. 441; pp. 199 - 221 |
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Main Authors | , |
Format | Journal Article |
Language | English |
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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. |
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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 givenname: Deanna surname: Needell fullname: Needell, Deanna email: dneedell@cmc.edu 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 65F20 41A65 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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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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