Year: 2020
Type: preprint
Abstract: Randomized iterative algorithms have recently been proposed to solve large-scale linear systems. In this paper, we present a simple randomized extended block Kaczmarz algorithm that exponentially converges in the mean square to the unique minimum $\ell_2$-norm least squares solution of a given linear system of equations. The proposed algorithm is pseudoinverse-free and therefore different from the projection-based randomized double block Kaczmarz algorithm of Needell, Zhao, and Zouzias. We emphasize that our method works for all types of linear systems (consistent or inconsistent, overdetermined or underdetermined, full-rank or rank-deficient). Moreover, our approach can utilize efficient implementations on distributed computing units, yielding remarkable improvements in computational time. Numerical examples are given to show the efficiency of the new algorithm.
Source: arXiv (Cornell University)
Authors: Du, Kui, Si, Wutao, Sun, Xiaohui
Institution: Xiamen University
Language: English
Topic: Matrix Theory and Algorithms
Subfield: Computational Theory and Mathematics
Field: Computer Science
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W3042075243