Randomized Block Adaptive Linear System Solvers (2204.01653v2)

Abstract: Randomized linear solvers randomly compress and solve a linear system with compelling theoretical convergence rates and computational complexities. However, such solvers suffer a substantial disconnect between their theoretical rates and actual efficiency in practice. Fortunately, these solvers are quite flexible and can be adapted to specific problems and computing environments to ensure high efficiency in practice, even at the cost of lower effectiveness (i.e., having a slower theoretical rate of convergence). While highly efficient adapted solvers can be readily designed by application experts, will such solvers still converge and at what rate? To answer this, we distill three general criteria for randomized adaptive solvers, which, as we show, will guarantee a worst-case exponential rate of convergence of the solver applied to consistent and inconsistent linear systems irrespective of whether such systems are over-determined, under-determined or rank-deficient. As a result, we enable application experts to design randomized adaptive solvers that achieve efficiency and can be verified for effectiveness using our theory. We demonstrate our theory on twenty-six solvers, nine of which are novel or novel block extensions of existing methods to the best of our knowledge.