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Code Listing by Haim Avron

Code 1-4 of 4   






This library implements a randomized algorithm for solving the least-squares equation x = arg min norm(A * x - b, 2) or the underdetermined system min(norm(x, 2)) s.t. Ax=b. With high probability the running this o(mn^2) for an m-by-n matrix.

For details of the solver see the paper at:
Blendenpik: Supercharging LAPACK's least-squares solver.
Authors: Haim Avron, Petar Maymounkov, and Sivan Toledo.

To build FFTW...



Implements sparse triangular solve as a MEX function, thus is much faster than . Useful for iterative methods (to apply a factored preconditioner).



Solve quadratically constrained overdetermined l1 minimization:
min ||K * x - f||_1 s.t. ||y - x||_2 <= epsilon
using a primal interior point method (using a log barrier).

Sparse linear systems are solved using a...



This small script modifies the files used by MATLAB to compile mex-functions within MATLAB so that CUDA is supported.

Once the script setup_cuda_mex.m is run you can just compile CUDA mex files with the function cuda_mex.m.