Randomized Kaczmarz with tail averaging

Abstract

The randomized Kaczmarz (RK) method is a well-known approach for solving linear least-squares problems with a large number of rows. RK accesses and processes just one row at a time, leading to exponentially fast convergence for consistent linear systems. However, RK fails to converge to the least-squares solution for inconsistent systems. This work presents a simple fix: average the RK iterates produced in the tail part of the algorithm. The proposed tail-averaged randomized Kaczmarz (TARK) converges for both consistent and inconsistent least-squares problems at a polynomial rate, which is known to be optimal for any row-access method. An extension of TARK also leads to efficient solutions for ridge-regularized least-squares problems.