Krylov-Aware Stochastic Trace Estimation (Q6094742): Difference between revisions

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scientific article; zbMATH DE number 7737637

Language	Label	Description	Also known as
English	Krylov-Aware Stochastic Trace Estimation	scientific article; zbMATH DE number 7737637

Statements

scholarly article

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Krylov-Aware Stochastic Trace Estimation (English)

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SIAM Journal on Matrix Analysis and Applications

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publication date

14 September 2023

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full work available at URL

https://arxiv.org/abs/2205.01736

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zbMATH Keywords

spectral function

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Hutchinson's method

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quadratic trace estimation

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low-rank approximation

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block-Lanczos method

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Krylov subspace method

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MaRDI profile type

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IRBL: An Implicitly Restarted Block-Lanczos Method for Large-Scale Hermitian Eigenproblems

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Some large-scale matrix computation problems

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An estimator for the diagonal of a matrix

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Error Bounds for Lanczos-Based Matrix Function Approximation

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On randomized trace estimates for indefinite matrices with an application to determinants

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The university of Florida sparse matrix collection

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Structural Convergence Results for Approximation of Dominant Subspaces from Block Krylov Spaces

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Error bounds in the simple Lanczos procedure for computing functions of symmetric matrices and eigenvalues

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Convergence of Restarted Krylov Subspace Methods for Stieltjes Functions of Matrices

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2-Norm Error Bounds and Estimates for Lanczos Approximations to Linear Systems and Rational Matrix Functions

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Error bounds and estimates for Krylov subspace approximations of Stieltjes matrix functions

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Stopping Criteria for Rational Matrix Functions of Hermitian and Symmetric Matrices

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Deflation as a Method of Variance Reduction for Estimating the Trace of a Matrix Inverse

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Improved Bounds for Small-Sample Estimation

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A Comparison of Limited-memory Krylov Methods for Stieltjes Functions of Hermitian Matrices

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An Algorithm for the Principal Component Analysis of Large Data Sets

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Finding structure with randomness: Probabilistic algorithms for constructing approximate matrix decompositions

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A multilevel approach to stochastic trace estimation

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Approximating Spectral Sums of Large-Scale Matrices using Stochastic Chebyshev Approximations

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Functions of Matrices

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A Stochastic Estimator of the Trace of the Influence Matrix for Laplacian Smoothing Splines

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A restarted Lanczos approximation to functions of a symmetric matrix

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The simple Lanczos procedure: Estimates of the error of the Gauss quadrature formula and their applications

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Randomized block Krylov subspace methods for trace and log-determinant estimators

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Randomized estimation of spectral densities of large matrices made accurate

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Randomized numerical linear algebra: Foundations and algorithms

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Stability of the Lanczos Method for Matrix Function Approximation

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Improved Variants of the Hutch++ Algorithm for Trace Estimation

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Randomized Low-Rank Approximation of Monotone Matrix Functions

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Assessing Stochastic Algorithms for Large Scale Nonlinear Least Squares Problems Using Extremal Probabilities of Linear Combinations of Gamma Random Variables

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Randomized matrix-free trace and log-determinant estimators

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Implicit Application of Polynomial Filters in a <i>k</i>-Step Arnoldi Method

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On the Perturbation of Pseudo-Inverses, Projections and Linear Least Squares Problems

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A Krylov--Schur Algorithm for Large Eigenproblems

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Fast Estimation of $tr(f(A))$ via Stochastic Lanczos Quadrature

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The kernel polynomial method

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Thick-Restart Lanczos Method for Large Symmetric Eigenvalue Problems

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Estimating the trace of the matrix inverse by interpolating from the diagonal of an approximate inverse

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Block Krylov-Schur method for large symmetric eigenvalue problems

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1137/22M1494257

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Sitelinks

Mathematics(1 entry)

mardi Publication:6094742

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