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Faster randomized block sparse Kaczmarz by averaging by Lionel Tondji; Dirk A. Lorenz is a Mathematics article available to read on EtoBox.

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## Abstract The standard randomized sparse Kaczmarz (RSK) method is an algorithm to compute sparse solutions of linear systems of equations and uses sequential updates, and thus, does not take advantage of parallel computations. In this work, we introduce a parallel (mini batch) version of RSK based on averaging several Kaczmarz steps. Naturally, this method allows for parallelization and we show that it can also leverage large overrelaxation. We prove linear expected convergence and show that, given that parallel computations can be exploited, the method provably provides faster convergence than the standard method. This method can also be viewed as a variant of the linearized Bregman algorithm, a randomized dual block coordinate descent update, a stochastic mirror descent update, or a relaxed version of RSK and we recover the standard RSK method when the batch size is equal to one. We also provide estimates for inconsistent systems and show that the iterates converges to an error in the order of the noise level. Finally, numerical examples illustrate the benefits of the new algorithm.

Who reads Faster randomized block sparse Kaczmarz by averaging?

Author

Lionel Tondji; Dirk A. Lorenz

Publisher

Springer Science and Business Media LLC

Published

2022

Language

EN

Field

Mathematics (Physical Sciences)