M-IHS: An Accelerated Randomized Preconditioning Method Avoiding Costly Matrix Decompositions

Understand

Momentum Iterative Hessian Sketch (M-IHS) techniques, a group of solvers for large scale regularized linear Least Squares (LS) problems, are proposed and analyzed in detail.

• Proposed M-IHS techniques are obtained by incorporating the Heavy Ball Acceleration into the Iterative Hessian Sketch algorithm and they provide significant improvements over the randomized preconditioning techniques.
• By using approximate solvers along with the iterations, the proposed techniques are capable of avoiding all matrix decompositions and inversions, which is one of the main advantages over the alternative solvers such as the Blendenpik and the LSRN.
• Similar to the Chebyshev semi-iterations, the M-IHS variants do not use any inner products and eliminate the corresponding synchronization steps in hierarchical or distributed memory systems, yet the M-IHS converges faster than the Chebyshev Semi-iteration based solvers.