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LSRN: A parallel iterative solver for strongly over- or underdetermined systems. (English) Zbl 1298.65053
The authors propose a random normal projection least squares solver for general linear least squares problems and their Tikhonov regularized versions. The method iteratively constructs a provably efficient preconditioner. It has a fully predictable run-time performance and scales well in parallel environments.

MSC:
65F08 Preconditioners for iterative methods
65F10 Iterative numerical methods for linear systems
65F20 Numerical solutions to overdetermined systems, pseudoinverses
65F22 Ill-posedness and regularization problems in numerical linear algebra
65F35 Numerical computation of matrix norms, conditioning, scaling
65F50 Computational methods for sparse matrices
15B52 Random matrices (algebraic aspects)
65Y05 Parallel numerical computation
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