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arXiv 2302.13616math.NAcs.NAmath.OC
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ResQPASS:一种具有渐近Krylov收敛性的有界变量线性最小二乘算法

ResQPASS: an algorithm for bounded variable linear least squares with asymptotic Krylov convergence

Bas Symoens, Wim Vanroose

AI总结:

ResQPASS算法通过残差投影和活动集方法求解有界变量线性最小二乘问题,在无约束时退化为CG/LSQR,并具有渐近Krylov收敛性。

摘要:

我们提出了残差二次规划活动集子空间(ResQPASS)方法,用于求解具有变量界约束的大规模线性最小二乘问题。该方法通过将问题投影到残差基上,生成一系列规模逐渐增大的小问题来求解原问题。每个投影问题通过凸二次规划的活动集方法求解,并利用前一个问题的活动集和解决方案进行热启动。当没有约束被激活时,该方法与共轭梯度法(CG)或等价地LSQR方法一致。当仅有少数约束被激活时,该方法在几次初始迭代后,其收敛行为类似于CG和LSQR。分析将这种收敛性与渐近Krylov子空间联系起来。我们还提出了一种高效实现,其中投影问题的QR分解在内迭代中更新,而Cholesky或Gram-Schmidt分解在外迭代中更新。

英文摘要:

We present the Residual Quadratic Programming Active-Set Subspace (ResQPASS) method that solves large-scale linear least-squares problems with bound constraints on the variables. The problem is solved by creating a series of small problems of increasing size by projecting onto the basis of residuals. Each projected problem is solved by the active-set method for convex quadratic programming, warm-started with a working set and solution from the previous problem. The method coincides with conjugate gradients (CG) or, equivalently, LSQR when none of the constraints is active. When only a few constraints are active the method converges, after a few initial iterations, like CG and LSQR. An analysis links the convergence to an asymptotic Krylov subspace. We also present an efficient implementation where QR factorizations of the projected problems are updated over the inner iterations and Cholesky or Gram-Schmidt over the outer iterations.

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