论文标题
采样kaczmarz motzkin方法线性可行性问题:概括与加速度
Sampling Kaczmarz Motzkin Method for Linear Feasibility Problems: Generalization & Acceleration
论文作者
论文摘要
随机Kaczmarz(RK),Motzkin方法(MM)和采样Kaczmarz Motzkin(SKM)算法通常使用迭代技术来求解线性不平等的系统(即$ ax \ ax \ leq b $)。由于方程式的线性系统代表用于解决许多优化问题的建模范式,因此这些随机和迭代技术在不同领域的研究人员中越来越受欢迎。在这项工作中,我们提出了一种广义采样Kaczmarz Motzkin(GSKM)方法,该方法将迭代方法统一到单个框架中。除了一般框架外,我们还提出了一种Nesterov类型加速度方案,称为可能加速采样Kaczmarz Motzkin(PASKM)。我们证明了GSKM和Paskm算法的收敛定理,相对于所提出的采样分布,在$ L_2 $ NORM透视图中。此外,我们证明了建议的GSKM和paskm算法的Cesaro平均值的子线性收敛。从GSKM算法的收敛定理中,我们发现了几种众所周知的算法结果,例如Kaczmarz方法,Motmzkke方法和Skm Algorith。我们使用随机生成和现实世界(用支持向量机和Netlib LP的分类)测试实例进行彻底的数值实验,以证明所提出的方法的效率。我们将所提出的算法与SKM,内部点方法(IPM)和活动集方法(ASM)进行比较,以计算时间和解决方案质量进行比较。在大多数问题实例中,提出的广义和加速算法的表现显着超过了最新方法。
Randomized Kaczmarz (RK), Motzkin Method (MM) and Sampling Kaczmarz Motzkin (SKM) algorithms are commonly used iterative techniques for solving a system of linear inequalities (i.e., $Ax \leq b$). As linear systems of equations represent a modeling paradigm for solving many optimization problems, these randomized and iterative techniques are gaining popularity among researchers in different domains. In this work, we propose a Generalized Sampling Kaczmarz Motzkin (GSKM) method that unifies the iterative methods into a single framework. In addition to the general framework, we propose a Nesterov type acceleration scheme in the SKM method called as Probably Accelerated Sampling Kaczmarz Motzkin (PASKM). We prove the convergence theorems for both GSKM and PASKM algorithms in the $L_2$ norm perspective with respect to the proposed sampling distribution. Furthermore, we prove sub-linear convergence for the Cesaro average of iterates for the proposed GSKM and PASKM algorithms.From the convergence theorem of the GSKM algorithm, we find the convergence results of several well-known algorithms like the Kaczmarz method, Motzkin method and SKM algorithm. We perform thorough numerical experiments using both randomly generated and real-world (classification with support vector machine and Netlib LP) test instances to demonstrate the efficiency of the proposed methods. We compare the proposed algorithms with SKM, Interior Point Method (IPM) and Active Set Method (ASM) in terms of computation time and solution quality. In the majority of the problem instances, the proposed generalized and accelerated algorithms significantly outperform the state-of-the-art methods.