A FAST RANDOMIZED ALGORITHM FOR ORTHOGONAL PROJECTION

E. S. Coakley

doi:10.1137/090779656

A FAST RANDOMIZED ALGORITHM FOR ORTHOGONAL PROJECTION

2011-01-01

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AI

DOI：10.1137/090779656

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We describe an algorithm that, given any full-rank matrix A having fewer rows than columns, can rapidly compute the orthogonal projection of any vector onto the null space of A, as well as the orthogonal projection onto the row space of A, provided that both A and its adjoint A* can be applied rapidly to arbitrary vectors. As an intermediate step, the algorithm solves the overdetermined linear least-squares regression involving A* and may therefore be used for this purpose as well. In many circumstances, the technique can accelerate interior-point methods for convex optimization, including linear programming (see, for example, Chapter 11 of [ S. J. Wright, Primal-Dual Interior-Point Methods, SIAM, Philadelphia, 1997]). The basis of the algorithm is an obvious but numerically unstable scheme (typically known as the method of normal equations); suitable use of a preconditioner yields numerical stability. We generate the preconditioner rapidly via a randomized procedure that succeeds with extremely high probability. We provide numerical examples demonstrating the superior accuracy of the randomized method over direct use of the normal equations.

Keyword:

least squares

regression

numerical stability

normal equations

A FAST RANDOMIZED ALGORITHM FOR ORTHOGONAL PROJECTION

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