Randomized Extended Kaczmarz for Solving Least Squares

@article{Zouzias2013RandomizedEK,
  title={Randomized Extended Kaczmarz for Solving Least Squares},
  author={Anastasios Zouzias and Nikolaos M. Freris},
  journal={ArXiv},
  year={2013},
  volume={abs/1205.5770}
}
  • Anastasios Zouzias, Nikolaos M. Freris
  • Published in
    SIAM J. Matrix Analysis…
    2013
  • Mathematics, Computer Science
  • ArXiv
  • We present a randomized iterative algorithm that exponentially converges in the mean square to the minimum $\ell_2$-norm least squares solution of a given linear system of equations. The expected number of arithmetic operations required to obtain an estimate of given accuracy is proportional to the squared condition number of the system multiplied by the number of nonzero entries of the input matrix. The proposed algorithm is an extension of the randomized Kaczmarz method that was analyzed by… CONTINUE READING

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