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arXiv 1503.08235math.NAcs.NA
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随机扩展Gauss-Seidel和Kaczmarz方法的收敛性质

Convergence properties of the randomized extended Gauss-Seidel and Kaczmarz methods

Anna Ma, Deanna Needell, Aaditya Ramdas

AI总结:

本文研究了随机扩展Gauss-Seidel和Kaczmarz方法在不同系统设定下的收敛性,提供了统一理论及证明扩展版本在欠定情况下能收敛到最小范数解。

摘要:

本文研究了随机扩展Gauss-Seidel和Kaczmarz方法在不同系统设定下的收敛性,提供了统一理论及证明扩展版本在欠定情况下能收敛到最小范数解。

英文摘要:

The Kaczmarz and Gauss-Seidel methods both solve a linear system $\bf{X}\bfβ = \bf{y}$ by iteratively refining the solution estimate. Recent interest in these methods has been sparked by a proof of Strohmer and Vershynin which shows the randomized Kaczmarz method converges linearly in expectation to the solution. Lewis and Leventhal then proved a similar result for the randomized Gauss-Seidel algorithm. However, the behavior of both methods depends heavily on whether the system is under or overdetermined, and whether it is consistent or not. Here we provide a unified theory of both methods, their variants for these different settings, and draw connections between both approaches. In doing so, we also provide a proof that an extended version of randomized Gauss-Seidel converges linearly to the least norm solution in the underdetermined case (where the usual randomized Gauss Seidel fails to converge). We detail analytically and empirically the convergence properties of both methods and their extended variants in all possible system settings. With this result, a complete and rigorous theory of both methods is furnished.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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