12,632 research outputs found

    Acceleration of Randomized Kaczmarz Method via the Johnson-Lindenstrauss Lemma

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    The Kaczmarz method is an algorithm for finding the solution to an overdetermined consistent system of linear equations Ax=b by iteratively projecting onto the solution spaces. The randomized version put forth by Strohmer and Vershynin yields provably exponential convergence in expectation, which for highly overdetermined systems even outperforms the conjugate gradient method. In this article we present a modified version of the randomized Kaczmarz method which at each iteration selects the optimal projection from a randomly chosen set, which in most cases significantly improves the convergence rate. We utilize a Johnson-Lindenstrauss dimension reduction technique to keep the runtime on the same order as the original randomized version, adding only extra preprocessing time. We present a series of empirical studies which demonstrate the remarkable acceleration in convergence to the solution using this modified approach

    Randomized Local Model Order Reduction

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    In this paper we propose local approximation spaces for localized model order reduction procedures such as domain decomposition and multiscale methods. Those spaces are constructed from local solutions of the partial differential equation (PDE) with random boundary conditions, yield an approximation that converges provably at a nearly optimal rate, and can be generated at close to optimal computational complexity. In many localized model order reduction approaches like the generalized finite element method, static condensation procedures, and the multiscale finite element method local approximation spaces can be constructed by approximating the range of a suitably defined transfer operator that acts on the space of local solutions of the PDE. Optimal local approximation spaces that yield in general an exponentially convergent approximation are given by the left singular vectors of this transfer operator [I. Babu\v{s}ka and R. Lipton 2011, K. Smetana and A. T. Patera 2016]. However, the direct calculation of these singular vectors is computationally very expensive. In this paper, we propose an adaptive randomized algorithm based on methods from randomized linear algebra [N. Halko et al. 2011], which constructs a local reduced space approximating the range of the transfer operator and thus the optimal local approximation spaces. The adaptive algorithm relies on a probabilistic a posteriori error estimator for which we prove that it is both efficient and reliable with high probability. Several numerical experiments confirm the theoretical findings.Comment: 31 pages, 14 figures, 1 table, 1 algorith
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