Differentiation of matrix functionals using triangular factorization

DOI10.1090/S0025-5718-2011-02451-8zbMath1219.65044OpenAlexW2007767479MaRDI QIDQ3015047

Mark A. Lukas, Robert S. Anderssen, Frank R. de Hoog

Publication date: 8 July 2011

Published in: Mathematics of Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/s0025-5718-2011-02451-8

zbMATH Keywords

algorithmssmoothing splinesmaximum likelihoodalgorithmic differentiationtriangular factorizationcovariance selectionfirst and second derivativeslog determinantdifferentiation matrix functionalslog-det relationshipsrobust generalized cross validation

Mathematics Subject Classification ID

Determinants, permanents, traces, other special matrix functions (15A15) Numerical differentiation (65D25) Direct numerical methods for linear systems and matrix inversion (65F05)

Related Items

Fitting very large sparse Gaussian graphical models, Efficient algorithms for robust generalized cross-validation spline smoothing, Practical use of robust GCV and modified GCV for spline smoothing

Uses Software

• tn

Cites Work

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