Linear Convergence of Reshuffling Kaczmarz Methods With Sparse Constraints (2304.10123v1)

Abstract: The Kaczmarz method (KZ) and its variants, which are types of stochastic gradient descent (SGD) methods, have been extensively studied due to their simplicity and efficiency in solving linear equation systems. The iterative thresholding (IHT) method has gained popularity in various research fields, including compressed sensing or sparse linear regression, machine learning with additional structure, and optimization with nonconvex constraints. Recently, a hybrid method called Kaczmarz-based IHT (KZIHT) has been proposed, combining the benefits of both approaches, but its theoretical guarantees are missing. In this paper, we provide the first theoretical convergence guarantees for KZIHT by showing that it converges linearly to the solution of a system with sparsity constraints up to optimal statistical bias when the reshuffling data sampling scheme is used. We also propose the Kaczmarz with periodic thresholding (KZPT) method, which generalizes KZIHT by applying the thresholding operation for every certain number of KZ iterations and by employing two different types of step sizes. We establish a linear convergence guarantee for KZPT for randomly subsampled bounded orthonormal systems (BOS) and mean-zero isotropic sub-Gaussian random matrices, which are most commonly used models in compressed sensing, dimension reduction, matrix sketching, and many inverse problems in neural networks. Our analysis shows that KZPT with an optimal thresholding period outperforms KZIHT. To support our theory, we include several numerical experiments.