An EM based Iterative Method for Solving Large Sparse Linear Systems
Provides a new iterative solver for large sparse linear systems, offering guaranteed convergence properties and ease of implementation.
The paper proposes an EM-based iterative algorithm for solving large sparse linear systems, guaranteeing geometric convergence to the unique solution or a minimal Kullback-Leibler divergence point. The method is easy to implement and competitive with existing iterative solvers.
We propose a novel iterative algorithm for solving a large sparse linear system. The method is based on the EM algorithm. If the system has a unique solution, the algorithm guarantees convergence with a geometric rate. Otherwise, convergence to a minimal Kullback--Leibler divergence point is guaranteed. The algorithm is easy to code and competitive with other iterative algorithms.