We establish an improved classical algorithm for solving linear systems in a model analogous to the QRAM that is used by quantum linear solvers. Precisely, for the linear system $Ax = b$, we show that there is a classical algorithm that outputs a data structure for $x$ allowing sampling and querying to the entries, where $x$ is such that $|x - A^{-1}b|leq epsilon |A^{-1}b|$. This output can be viewed as a classical analogue to the output of quantum linear solvers. The complexity of our algorithm is $widetilde{O}(kappa_F^6 kappa^2/epsilon^2 )$, where $kappa_F = |A|_F|A^{-1}|$ and $kappa = |A||A^{-1}|$. This improves the previous best algorithm [Gily{e}n, Song and Tang, arXiv:2009.07268] of complexity $widetilde{O}(kappa_F^6 kappa^6/epsilon^4)$. Our algorithm is based on the randomized Kaczmarz method, which is a particular case of stochastic gradient descent. We also find that when $A$ is row sparse, this method already returns an approximate solution $x$ in time $widetilde{O}(kappa_F^2)$, while the best quantum algorithm known returns $ket{x}$ in time $widetilde{O}(kappa_F)$ when $A$ is stored in the QRAM data structure. As a result, assuming access to QRAM and if $A$ is row sparse, the speedup based on current quantum algorithms is quadratic.
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