Quantile-Based Random Kaczmarz for corrupted linear systems of equations
Numerical Analysis
2021-07-13 v1 Numerical Analysis
Abstract
We consider linear systems where consists of normalized rows, , and where up to entries of have been corrupted (possibly by arbitrarily large numbers). Haddock, Needell, Rebrova and Swartworth propose a quantile-based Random Kaczmarz method and show that for certain random matrices it converges with high likelihood to the true solution. We prove a deterministic version by constructing, for any matrix , a number such that there is convergence for all perturbations with . Assuming a random matrix heuristic, this proves convergence for tall Gaussian matrices with up to corruption (a number that can likely be improved).
Cite
@article{arxiv.2107.05554,
title = {Quantile-Based Random Kaczmarz for corrupted linear systems of equations},
author = {Stefan Steinerberger},
journal= {arXiv preprint arXiv:2107.05554},
year = {2021}
}