
arXiv: 1310.2887
The randomized Kaczmarz ( R K \rm {RK} ) algorithm is a simple but powerful approach for solving consistent linear systems A x = b Ax=b . This paper proposes an accelerated randomized Kaczmarz ( A R K \rm {ARK} ) algorithm with better convergence than the standard R K \rm {RK} algorithm on ill-conditioned problems. The per-iteration cost of R K \rm {RK} and A R K \rm {ARK} are similar if A A is dense, but R K \rm {RK} is much more able to exploit sparsity in A A than is A R K \rm {ARK} . To deal with the sparse case, an efficient implementation for A R K \rm {ARK} , called S A R K \rm {SARK} , is proposed. A comparison of convergence rates and average per-iteration complexities among R K \rm {RK} , A R K \rm {ARK} , and S A R K \rm {SARK} is given, taking into account different levels of sparseness and conditioning. Comparisons with the leading deterministic algorithm — conjugate gradient applied to the normal equations — are also given. Finally, the analysis is validated via computational testing.
Iterative numerical methods for linear systems, numerical examples, ill-conditioned problem, convergence, Nesterov acceleration, Randomized algorithms, Numerical Analysis (math.NA), randomized Kaczmarz algorithm, normal equations, Ill-posedness and regularization problems in numerical linear algebra, Optimization and Control (math.OC), consistent linear systems, FOS: Mathematics, conjugate gradient, Mathematics - Numerical Analysis, linear equations, Mathematics - Optimization and Control
Iterative numerical methods for linear systems, numerical examples, ill-conditioned problem, convergence, Nesterov acceleration, Randomized algorithms, Numerical Analysis (math.NA), randomized Kaczmarz algorithm, normal equations, Ill-posedness and regularization problems in numerical linear algebra, Optimization and Control (math.OC), consistent linear systems, FOS: Mathematics, conjugate gradient, Mathematics - Numerical Analysis, linear equations, Mathematics - Optimization and Control
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