Adaptive Sketch-and-Project Methods for Solving Linear Systems
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Publication:6324901
DOI10.1137/19M1285846arXiv1909.03604MaRDI QIDQ6324901FDOQ6324901
Authors: Robert M. Gower, Denali Molitor, Jacob D. Moorman, D. Needell 
Publication date: 8 September 2019
Abstract: We present new adaptive sampling rules for the sketch-and-project method for solving linear systems. To deduce our new sampling rules, we first show how the progress of one step of the sketch-and-project method depends directly on a sketched residual. Based on this insight, we derive a 1) max-distance sampling rule, by sampling the sketch with the largest sketched residual 2) a proportional sampling rule, by sampling proportional to the sketched residual, and finally 3) a capped sampling rule. The capped sampling rule is a generalization of the recently introduced adaptive sampling rules for the Kaczmarz method. We provide a global linear convergence theorem for each sampling rule and show that the max-distance rule enjoys the fastest convergence. This finding is also verified in extensive numerical experiments that lead us to conclude that the max-distance sampling rule is superior both experimentally and theoretically to the capped sampling rule. We also provide numerical insights into implementing the adaptive strategies so that the per iteration cost is of the same order as using a fixed sampling strategy when the number of sketches times the sketch size is not significantly larger than the number of columns.
Quadratic programming (90C20) Complexity and performance of numerical algorithms (65Y20) Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) Analysis of algorithms and problem complexity (68Q25) Randomized algorithms (68W20) Analysis of algorithms (68W40) Iterative numerical methods for linear systems (65F10)
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