English

Surrounding the solution of a Linear System of Equations from all sides

Numerical Analysis 2021-09-22 v3 Numerical Analysis Functional Analysis Probability

Abstract

Suppose ARn×nA \in \mathbb{R}^{n \times n} is invertible and we are looking for the solution of Ax=bAx = b. Given an initial guess x1Rx_1 \in \mathbb{R}, we show that by reflecting through hyperplanes generated by the rows of AA, we can generate an infinite sequence (xk)k=1(x_k)_{k=1}^{\infty} such that all elements have the same distance to the solution, i.e. xkx=x1x\|x_k - x\| = \|x_1 - x\|. If the hyperplanes are chosen at random, averages over the sequence converge and Ex1mk=1mxk1+AFA1mxx1. \mathbb{E} \left\| x - \frac{1}{m} \sum_{k=1}^{m}{ x_k} \right\| \leq \frac{1 + \|A\|_F \|A^{-1}\|}{\sqrt{m}} \cdot\|x-x_1\|. The bound does not depend on the dimension of the matrix. This introduces a purely geometric way of attacking the problem: are there fast ways of estimating the location of the center of a sphere from knowing many points on the sphere? Our convergence rate (coinciding with that of the Random Kaczmarz method) comes from averaging, can one do better?

Keywords

Cite

@article{arxiv.2009.01757,
  title  = {Surrounding the solution of a Linear System of Equations from all sides},
  author = {Stefan Steinerberger},
  journal= {arXiv preprint arXiv:2009.01757},
  year   = {2021}
}