ALS: Augmented Lagrangian Sketching Methods for Linear Systems. (arXiv:2208.06152v1 [math.OC])

We develop two fundamental stochastic sketching techniques; Penalty Sketching
(PS) and Augmented Lagrangian Sketching (ALS) for solving consistent linear
systems. The proposed PS and ALS techniques extend and generalize the scope of
Sketch & Project (SP) method by introducing Lagrangian penalty sketches. In
doing so, we recover SP methods as special cases and furthermore develop a
family of new stochastic iterative methods. By varying sketch parameters in the
proposed PS method, we recover novel stochastic methods such as Penalty Newton …

als arxiv linear math systems