Iterative linear solvers and random matrices: new bounds for the block Gaussian sketch and project method.

High Dimensional Seminar
Wednesday, March 27, 2019 - 3:00pm
1 hour (actually 50 minutes)
Skiles 006

One of the most famous methods for solving large-scale over-determined linear systems is Kaczmarz algorithm, which iteratively projects the previous approximation x_k onto the solution spaces of the next equation in the system. An elegant proof of the exponential convergence of this method using correct randomization of the process is due to Strohmer and Vershynin (2009). Many extensions and generalizations of the method were proposed since then, including the works of Needell, Tropp, Ward, Srebro, Tan and many others. An interesting unifying view on a number of iterative solvers (including several versions of the Kaczmarz algorithm) was proposed by Gower and Richtarik in 2016. The main idea of their sketch-and-project framework is the following: one can observe that the random selection of a row (or a row block) can be represented as a sketch, that is, left multiplication by a random vector (or a matrix), thereby pre-processing every iteration of the method, which is represented by a projection onto the image of the sketch.
I will give an overview of some of these methods, and talk about the role that random matrix theory plays in the showing their convergence. I will also discuss our new results with Deanna Needell on the block Gaussian sketch and project method.