A subspace constrained randomized Kaczmarz method for structure or external knowledge exploitation
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We study a subspace constrained version of the randomized Kaczmarz algorithm for solving large linear systems in which the iterates are confined to the space of solutions of a selected subsystem. We show that the subspace constraint leads to an accelerated convergence rate, especially when the system has structure such as having coherent rows or being approximately low-rank. On Gaussian-like random data, it results in a form of dimension reduction that effectively improves the aspect ratio of the system. Furthermore, this method serves as a building block for a second, quantile-based algorithm for the problem of solving linear systems with arbitrary sparse corruptions, which is able to efficiently exploit partial external knowledge about uncorrupted equations and achieve convergence in difficult settings such as in almost-square systems. Numerical experiments on synthetic and real-world data support our theoretical results and demonstrate the validity of the proposed methods for even more general data models than guaranteed by the theory.
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