Linearly convergent adjoint free solution of least squares problems by random descent

06/02/2023
by   Dirk A. Lorenz, et al.
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We consider the problem of solving linear least squares problems in a framework where only evaluations of the linear map are possible. We derive randomized methods that do not need any other matrix operations than forward evaluations, especially no evaluation of the adjoint map is needed. Our method is motivated by the simple observation that one can get an unbiased estimate of the application of the adjoint. We show convergence of the method and then derive a more efficient method that uses an exact linesearch. This method, called random descent, resembles known methods in other context and has the randomized coordinate descent method as special case. We provide convergence analysis of the random descent method emphasizing the dependence on the underlying distribution of the random vectors. Furthermore we investigate the applicability of the method in the context of ill-posed inverse problems and show that the method can have beneficial properties when the unknown solution is rough. We illustrate the theoretical findings in numerical examples. One particular result is that the random descent method actually outperforms established transposed-free methods (TFQMR and CGS) in examples.

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