On the Relation Between the Randomized Extended Kaczmarz Algorithm and Coordinate Descent
Numerical Analysis
2014-09-02 v2 Data Structures and Algorithms
Abstract
In this note we compare the randomized extended Kaczmarz (EK) algorithm and randomized coordinate descent (CD) for solving the full-rank overdetermined linear least-squares problem and prove that CD needs less operations for satisfying the same residual-related termination criteria. For the general least-squares problems, we show that running first CD to compute the residual and then standard Kaczmarz on the resulting consistent system is more efficient than EK.
Keywords
Cite
@article{arxiv.1405.6920,
title = {On the Relation Between the Randomized Extended Kaczmarz Algorithm and Coordinate Descent},
author = {Bogdan Dumitrescu},
journal= {arXiv preprint arXiv:1405.6920},
year = {2014}
}