The AZ algorithm for least squares systems with a known incomplete generalized inverse

DOI10.1137/19M1306385MaRDI QIDQ5146697zbMATH OpenFDO

Authors Vincent Coppé, Daan Huybrechs, Roel Matthysen, Marcus Webb

Publication date 26 January 2021

Published in SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1912.03648

zbMATH Keywords

least squares problemsrandomized linear algebralow-rank matrix approximationill-conditioned systems

Mathematics Subject Classification ID

Direct numerical methods for linear systems and matrix inversion (65F05) Numerical solutions to overdetermined systems, pseudoinverses (65F20) Randomized algorithms (68W20)

Abstract: We introduce an algorithm for the least squares solution of a rectangular linear system $Ax=b$, in which $A$ may be arbitrarily ill-conditioned. We assume that a complementary matrix $Z$ is known such that $A-A{Z}^{\ast }A$ is numerically low rank. Loosely speaking, $Z^{\ast }$ acts like a generalized inverse of $A$ up to a numerically low rank error. We give several examples of $(A,Z)$ combinations in function approximation, where we can achieve high-order approximations in a number of non-standard settings: the approximation of functions on domains with irregular shapes, weighted least squares problems with highly skewed weights, and the spectral approximation of functions with localized singularities. The algorithm is most efficient when $A$ and $Z^{\ast }$ have fast matrix-vector multiplication and when the numerical rank of $A-A{Z}^{\ast }A$ is small.

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Cited in

(11)

• Frames and numerical approximation. II: Generalized sampling
• Efficient least squares approximation and collocation methods using radial basis functions
• An efficient frequency-independent numerical method for computing the far-field pattern induced by polygonal obstacles
• Fast hybrid numerical-asymptotic boundary element methods for high frequency screen and aperture problems based on least-squares collocation
• Frame approximation with bounded coefficients
• Multivariate rational approximation of functions with curves of singularities
• Stable and accurate least squares radial basis function approximations on bounded domains
• On the computation of the SVD of Fourier submatrices
• A least-squares Fourier frame method for nonlocal diffusion models on arbitrary domains
• Fast and stable approximation of analytic functions from equispaced samples via polynomial frames
• Efficient function approximation on general bounded domains using splines on a Cartesian grid

Describes a project that uses

Uses Software

• CRAIG
• GitHub
• LSMR
• LSQR

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