Quantile-Based Random Kaczmarz for corrupted linear systems of equations (2107.05554v1)

Abstract: We consider linear systems $Ax = b$ where $A \in \mathbb{R}^{m \times n}$ consists of normalized rows, $|a_i|_{\ell^2} = 1$, and where up to $\beta m$ entries of $b$ have been corrupted (possibly by arbitrarily large numbers). Haddock, Needell, Rebrova and Swartworth propose a quantile-based Random Kaczmarz method and show that for certain random matrices $A$ it converges with high likelihood to the true solution. We prove a deterministic version by constructing, for any matrix $A$, a number $\beta_A$ such that there is convergence for all perturbations with $\beta < \beta_A$. Assuming a random matrix heuristic, this proves convergence for tall Gaussian matrices with up to $\sim 0.5\%$ corruption (a number that can likely be improved).