Gradient Projection Iterative Sketch for Large-Scale Constrained Least-Squares

We propose a randomized first order optimization algorithm Gradient Projection Iterative Sketch (GPIS) and an accelerated variant for efficiently solving large scale constrained Least Squares (LS). We provide theoretical convergence analysis for both proposed algorithms and demonstrate our methods’ computational efficiency compared to classical accelerated gradient method, and the state of the art variance-reduced stochastic gradient methods through numerical experiments in various large synthetic/real data sets.