Random reordering in SOR-type methods
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Abstract: When iteratively solving linear systems By=b with Hermitian positive semi-definite , and in particular when solving least-squares problems for by reformulating them as , it is often observed that SOR-type methods (Gauss-Seidel, Kaczmarz) perform suboptimally for the given equation ordering, and that random reordering improves the situation on average.This paper is an attempt to provide some additional theoretical support for this phenomenon. We show eerror bounds for two randomized versions, called shuffled and preshuffled SOR, that improve asymptotically upon the best known bounds fro SOR with cyclic ordering. Our results are based on studying the behavior of the triangular truncation of Hermitian matrices with respect to their permutations.
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Cited in
(10)- A sampling Kaczmarz-Motzkin algorithm for linear feasibility
- Convergence analyses based on frequency decomposition for the randomized row iterative method
- Randomness and permutations in coordinate descent methods
- On the Global Convergence of Randomized Coordinate Gradient Descent for Nonconvex Optimization
- Properties and applications of a conjugate transform on Schatten classes
- A linear algebra perspective on the random multi-block ADMM: the QP case
- A linearly convergent doubly stochastic Gauss-Seidel algorithm for solving linear equations and a certain class of over-parameterized optimization problems
- Sampling discretization and related problems
- Correction to: ``Random reordering in SOR-type methods
- On the equivalence between SOR-type methods for linear systems and the discrete gradient methods for gradient systems
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