Randomized Kaczmarz solver for noisy linear systems

@article{Needell2009RandomizedKS,
  title={Randomized Kaczmarz solver for noisy linear systems},
  author={D. Needell},
  journal={BIT Numerical Mathematics},
  year={2009},
  volume={50},
  pages={395-403}
}
  • D. Needell
  • Published 2009
  • Mathematics
  • BIT Numerical Mathematics
The Kaczmarz method is an iterative algorithm for solving systems of linear equations Ax=b. Theoretical convergence rates for this algorithm were largely unknown until recently when work was done on a randomized version of the algorithm. It was proved that for overdetermined systems, the randomized Kaczmarz method converges with expected exponential rate, independent of the number of equations in the system. Here we analyze the case where the system Ax=b is corrupted by noise, so we consider… Expand
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