The current project contains an implementation of the algorithm described in the research paper [1]. The Randomized Extended Kaczmarz algorithm is a randomized algorithm for solving least-squares/linear regression problems. The current project provides implementations of REK in C, C++, Java and Matlab (wriiten in C with mex-files integrations).
Randomized Extended Kaczmarz for Solving Least-Squares. SIAM. J. Matrix Anal. & Appl., 34(2), 773–793. (21 pages) Authors: Anastasios Zouzias and Nikolaos Freris