Related papers: A sketch-and-project method for solving the matrix…
The resolution of many large-scale inverse problems using MCMC methods requires a step of drawing samples from a high dimensional Gaussian distribution. While direct Gaussian sampling techniques, such as those based on Cholesky…
We present a new framework for the analysis and design of randomized algorithms for solving various types of linear systems, including consistent or inconsistent, full rank or rank-deficient. Our method is formulated with four randomized…
In recent years, randomized methods for numerical linear algebra have received growing interest as a general approach to large-scale problems. Typically, the essential ingredient of these methods is some form of randomized dimension…
We propose a randomized algorithm with quadratic convergence rate for convex optimization problems with a self-concordant, composite, strongly convex objective function. Our method is based on performing an approximate Newton step using a…
We outline a new approach for solving optimization problems which enforce triangle inequalities on output variables. We refer to this as metric-constrained optimization, and give several examples where problems of this form arise in machine…
Constrained least squares problems arise in many applications. Their memory and computation costs are expensive in practice involving high-dimensional input data. We employ the so-called "sketching" strategy to project the least squares…
A multi-step extended maximum residual Kaczmarz method is presented for the solution of the large inconsistent linear system of equations by using the multi-step iterations technique. Theoretical analysis proves the proposed method is…
We present a distributed asynchronous algorithm for approximating a single component of the solution to a system of linear equations $Ax = b$, where $A$ is a positive definite real matrix, and $b \in \mathbb{R}^n$. This is equivalent to…
A greedy randomized nonlinear Bregman-Kaczmarz method by sampling the working index with residual information is developed for the solution of the constrained nonlinear system of equations. Theoretical analyses prove the convergence of the…
The scalable adaptive cubic regularization method ($\mathrm{ARC_{q}K}$: Dussault et al. in Math. Program. Ser. A 207(1-2): 191-225, 2024) has been recently proposed for unconstrained optimization. It has excellent convergence properties,…
This paper describes a suite of algorithms for constructing low-rank approximations of an input matrix from a random linear image of the matrix, called a sketch. These methods can preserve structural properties of the input matrix, such as…
We propose a randomized second-order method for optimization known as the Newton Sketch: it is based on performing an approximate Newton step using a randomly projected or sub-sampled Hessian. For self-concordant functions, we prove that…
In practical conjugate gradient (CG) computations it is important to monitor the quality of the approximate solution to $Ax=b$ so that the CG algorithm can be stopped when the required accuracy is reached. The relevant convergence…
The sketch-and-project (SAP) framework for solving systems of linear equations has unified the theory behind popular projective iterative methods such as randomized Kaczmarz, randomized coordinate descent, and variants thereof. The…
We present a novel method for matrix completion, specifically designed for matrices where one dimension is significantly larger than the other. Our Columns Selected Matrix Completion (CSMC) method combines Column Subset Selection with…
The Sampling Kaczmarz Motzkin (SKM) algorithm is a generalized method for solving large scale linear systems of inequalities. Having its root in the relaxation method of Agmon, Schoenberg, and Motzkin and the randomized Kaczmarz method, SKM…
The Kaczmarz method is an iterative method for solving large systems of equations that projects iterates orthogonally onto the solution space of each equation. In contrast to direct methods such as Gaussian elimination or QR-factorization,…
The Kaczmarz algorithm is an iterative method for solving systems of linear equations. We introduce a modified Kaczmarz algorithm for solving systems of linear equations in a distributed environment, i.e. the equations within the system are…
For tensor linear systems with respect to the popular t-product, we first present the sketch-and-project method and its adaptive variants. Their Fourier domain versions are also investigated. Then, considering that the existing sketching…
We describe an asynchronous parallel variant of the randomized Kaczmarz (RK) algorithm for solving the linear system $Ax=b$. The analysis shows linear convergence and indicates that nearly linear speedup can be expected if the number of…