Randomized Extended Average Block Kaczmarz for Solving Least Squares

Abstract

Randomized iterative algorithms have recently been proposed to solve large-scale linear systems. In this paper, we present a simple randomized extended average block Kaczmarz algorithm that exponentially converges in the mean square to the unique minimum norm least squares solution of a given linear system of equations. The proposed algorithm is pseudoinverse-free and therefore different from the projection-based randomized double block Kaczmarz algorithm of Needell, Zhao, and Zouzias [Linear Algebra Appl., 484 (2015), pp. 322--343]. We emphasize that our method works for all types of linear systems (consistent or inconsistent, overdetermined or underdetermined, full-rank or rank-deficient). Moreover, our approach can be implemented for parallel computation, yielding remarkable improvements in computational time. Numerical examples are given to show the efficiency of the new algorithm.