Surrounding the solution of a Linear System of Equations from all sides

Stefan Steinerberger

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arXiv · 2009.01757

Surrounding the solution of a Linear System of Equations from all sides

Stefan Steinerberger

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Abstract

Suppose $A \in \mathbb{R}^{n \times n}$ is invertible and we are looking for the solution of $Ax = b$. Given an initial guess $x_1 \in \mathbb{R}$, we show that by reflecting through hyperplanes generated by the rows of $A$, we can generate an infinite sequence $(x_k)_{k=1}^{\infty}$ such that all elements have the same distance to the solution, i.e. $\|x_k - x\| = \|x_1 - x\|$. If the hyperplanes are chosen at random, averages over the sequence converge and $$ \mathbb{E} \left\| x - \frac{1}{m} \sum_{k=1}^{m}{ x_k} \right\| \leq \frac{1 + \|A\|_F \|A^{-1}\|}{\sqrt{m}} \cdot\|x-x_1\|.$$ The bound does not depend on the dimension of the matrix. This introduces a purely geometric way of attacking the problem: are there fast ways of estimating the location of the center of a sphere from knowing many points on the sphere? Our convergence rate (coinciding with that of the Random Kaczmarz method) comes from averaging, can one do better?

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Stefan Steinerberger. 2021-09-21. Surrounding the solution of a Linear System of Equations from all sides. https://arxiv.org/abs/2009.01757

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