Structured Sketching for Linear Systems

Johannes J Brust; Michael A Saunders

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arXiv · 2407.00746

Structured Sketching for Linear Systems

Johannes J Brust·Michael A Saunders

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Abstract

For linear systems $Ax=b$ we develop iterative algorithms based on a sketch-and-project approach. By using judicious choices for the sketch, such as the history of residuals, we develop weighting strategies that enable short recursive formulas. The proposed algorithms have a low memory footprint and iteration complexity compared to regular sketch-and-project methods. In a set of numerical experiments the new methods compare well to GMRES, SYMMLQ and state-of-the-art randomized solvers.

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Johannes J Brust, Michael A Saunders. 2024-06-30. Structured Sketching for Linear Systems. https://arxiv.org/abs/2407.00746

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