The block Kaczmarz method is an iterative scheme for solving overdetermined least-squares problems. At each step, the algorithm projects the current iterate onto the solution space of a subset of the constraints. This paper describes a block Kaczmarz algorithm that uses a randomized control scheme to choose the subset at each step. This algorithm is the first block Kaczmarz method with an (expected) linear rate of convergence that can be expressed in terms of the geometric properties of the matrix and its submatrices. The analysis reveals that the algorithm is most effective when it is given a good row paving of the matrix, a partition of the rows into well-conditioned blocks. The operator theory literature provides detailed information about the existence and construction of good row pavings. Together, these results yield an efficient block Kaczmarz scheme that applies to many overdetermined least-squares problem.
The Kaczmarz method was originally introduced in the paper @cite_23 . It was reinvented by researchers in tomography @cite_24 under the appellation algebraic reconstruction technique'' (ART). See Byrne's book @cite_36 for a contemporary summary of this literature.
@cite_24 @cite_36 @cite_23
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The algebraic reconstruction technique (ART), based on the well known algorithm proposed by Kaczmarz in 1937, is one of the most important class of solution methods for image reconstruction problems. But unfortunately, almost all the methods from the ART class give satisfactory results only in the case of consistent problems. In the inconsistent case (and unfortunately this is what happens in real applications, because of measurement errors) they give only more or less "controllable" versions of the exact solutions. This is exactly the case that we analyze in the present paper. We start with a theoretical analysis of the classical Kaczmarz's projection method in the case of an inconsistent linear least-squares problem and we prove that the approximations so obtained are at a certain distance from the set of exact least-squares solutions. This distance is controlled by the component of the right hand side of the problem lying in the orthogonal complement of the range of problem's matrix, i.e. exactly the component that makes the problem inconsistent. For overcoming this difficulty we consider an extended version of Kaczmarz's algorithm, previously analyzed by one of the authors. In the numerical experiments described in the last part of the paper we compare the above mentioned extension with two well known (ART) type algorithms for image reconstruction in two electromagnetic geotomography problems. The results indicate that the extended Kaczmarz algorithm gives much better results than the other two. Algebraic reconstruction techniques (ART) are iterative procedures for recovering objects from their projections. It is claimed that by a careful adjustment of the order in which the collected data are accessed during the reconstruction procedure and of the so-called relaxation parameters that are to be chosen in an algebraic reconstruction technique, ART can produce high-quality reconstructions with excellent computational efficiency. This is demonstrated by an example based on a particular (but realistic) medical imaging task, showing that ART can match the performance of the standard expectation-maximization approach for maximizing likelihood (from the point of view of that particular medical task), but at an order of magnitude less computational cost. > Abstract The Kaczmarz method is an iterative method for solving overcomplete linear systems of equations A x = b . The randomized version of the Kaczmarz method put forth by Strohmer and Vershynin iteratively projects onto a randomly chosen solution space given by a single row of the matrix A and converges linearly 1 in expectation to the solution of a consistent system. In this paper we analyze two block versions of the method each with a randomized projection, designed to converge in expectation to the least squares solution, often faster than the standard variants. Our approach utilizes both a row and column-paving of the matrix A to guarantee linear convergence when the matrix has consistent row norms (called nearly standardized), and a single column-paving when the row norms are unbounded. The proposed methods are an extension of the block Kaczmarz method analyzed by Needell and Tropp and the Randomized Extended Kaczmarz method of Zouzias and Freris. The contribution is thus two-fold; unlike the standard Kaczmarz method, our results demonstrate convergence to the least squares solution of inconsistent systems (both methods in the nearly standardized case and the second method in other cases). By using appropriate blocks of the matrix this convergence can be significantly accelerated, as is demonstrated by numerical experiments. The Kaczmarz method for solving linear systems of equations is an iterative algorithm that has found many applications ranging from computer tomography to digital signal processing. Despite the popularity of this method, useful theoretical estimates for its rate of convergence are still scarce. We introduce a randomized version of the Kaczmarz method for consistent, overdetermined linear systems and we prove that it converges with expected exponential rate. Furthermore, this is the first solver whose rate does not depend on the number of equations in the system. The solver does not even need to know the whole system but only a small random part of it. It thus outperforms all previously known methods on general extremely overdetermined systems. Even for moderately overdetermined systems, numerical simulations as well as theoretical analysis reveal that our algorithm can converge faster than the celebrated conjugate gradient algorithm. Furthermore, our theory and numerical simulations confirm a prediction of in the context of reconstructing bandlimited functions from nonuniform sampling.