A multilevel sketch-and-solve estimator reduces variance faster than averaging independent sketches but incurs slightly higher computational cost, making the approach unattractive for least squares problems.
Subapsnap: Solving par ameter-dependent linear systems with a snapshot and subsampling
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A multilevel sketch-and-solve method for overdetermined least squares problems
A multilevel sketch-and-solve estimator reduces variance faster than averaging independent sketches but incurs slightly higher computational cost, making the approach unattractive for least squares problems.