Krylov-Simplex method that minimizes the residual in $\ell_1$-norm or $\ell_\infty$-norm (2101.11416v1)

Abstract: The paper presents two variants of a Krylov-Simplex iterative method that combines Krylov and simplex iterations to minimize the residual $r = b-Ax$. The first method minimizes $|r|_\infty$, i.e. maximum of the absolute residuals. The second minimizes $|r|_1$, and finds the solution with the least absolute residuals. Both methods search for an optimal solution $x_k$ in a Krylov subspace which results in a small linear programming problem. A specialized simplex algorithm solves this projected problem and finds the optimal linear combination of Krylov basis vectors to approximate the solution. The resulting simplex algorithm requires the solution of a series of small dense linear systems that only differ by rank-one updates. The $QR$ factorization of these matrices is updated each iteration. We demonstrate the effectiveness of the methods with numerical experiments.