Linearly Convergent Randomized Iterative Methods for Computing the Pseudoinverse
Linearly Convergent Randomized Iterative Methods for Computing the Pseudoinverse
We develop the first stochastic incremental method for calculating the Moore-Penrose pseu-doinverse of a real matrix. By leveraging three alternative characterizations of pseudoinverse matrices, we design three methods for calculating the pseudoinverse: two general purpose methods and one specialized to symmetric matrices. The two general purpose methods are proven to …