Sampling Kaczmarz Motzkin Method for Linear Feasibility Problems: Generalization & Acceleration

Abstract: Randomized Kaczmarz (RK), Motzkin Method (MM) and Sampling Kaczmarz Motzkin (SKM) algorithms are commonly used iterative techniques for solving a system of linear inequalities (i.e., $Ax \leq b$). As linear systems of equations represent a modeling paradigm for solving many optimization problems, these randomized and iterative techniques are gaining popularity among researchers in different domains. In this work, we propose a Generalized Sampling Kaczmarz Motzkin (GSKM) method that unifies the iterative methods into a single framework. In addition to the general framework, we propose a Nesterov type acceleration scheme in the SKM method called as Probably Accelerated Sampling Kaczmarz Motzkin (PASKM). We prove the convergence theorems for both GSKM and PASKM algorithms in the $L_2$ norm perspective with respect to the proposed sampling distribution. Furthermore, we prove sub-linear convergence for the Cesaro average of iterates for the proposed GSKM and PASKM algorithms.From the convergence theorem of the GSKM algorithm, we find the convergence results of several well-known algorithms like the Kaczmarz method, Motzkin method and SKM algorithm. We perform thorough numerical experiments using both randomly generated and real-world (classification with support vector machine and Netlib LP) test instances to demonstrate the efficiency of the proposed methods. We compare the proposed algorithms with SKM, Interior Point Method (IPM) and Active Set Method (ASM) in terms of computation time and solution quality. In the majority of the problem instances, the proposed generalized and accelerated algorithms significantly outperform the state-of-the-art methods.