A sketch-and-select Arnoldi process

06/06/2023

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by   Stefan Güttel, et al.

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A sketch-and-select Arnoldi process to generate a well-conditioned basis of a Krylov space is proposed. At each iteration the procedure utilizes randomized sketching to select a limited number of previously computed basis vectors to project out of the current basis vector. The computational cost grows linearly with the dimension of the Krylov basis. The subset selection problem for the projection step is approximately solved with a number of heuristic algorithms and greedy methods used in statistical learning and compressive sensing.