Rows versus Columns: Randomized Kaczmarz or Gauss-Seidel for Ridge Regression

@article{Hefny2017RowsVC,
  title={Rows versus Columns: Randomized Kaczmarz or Gauss-Seidel for Ridge Regression},
  author={Ahmed Hefny and Deanna Needell and Aaditya Ramdas},
  journal={SIAM J. Scientific Computing},
  year={2017},
  volume={39}
}
  • Ahmed Hefny, Deanna Needell, Aaditya Ramdas
  • Published 2017
  • Mathematics, Computer Science
  • SIAM J. Scientific Computing
  • The Kaczmarz and Gauss-Seidel methods aim to solve a linear $m \times n$ system $\boldsymbol{X} \boldsymbol{\beta} = \boldsymbol{y}$ by iteratively refining the solution estimate; the former uses random rows of $\boldsymbol{X}$ {to update $\boldsymbol{\beta}$ given the corresponding equations} and the latter uses random columns of $\boldsymbol{X}$ {to update corresponding coordinates in $\boldsymbol{\beta}$}. Interest in these methods was recently revitalized by a proof of Strohmer and… CONTINUE READING

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