blendenpik

python code for the "blendenpik" method

"blendenpik" is a fundamental "randomization" strategy for solving least squares problems. The basic idea is to form a preconditioner for LSQR using random mixing.

matlab/C code from two of the inventors, Haim Avron and Silvan Toledo, is available at https://github.com/haimav/Blendenpik.

I haven't seen a python version, so I thought I would make one to, at least, help me learn more about this sort of technique.