Computing trace of function of matrix

MaRDI QIDQ2721776zbMATH OpenFDO

Authors Hongbin Guo

Publication date 10 July 2001

Published in Numerical Mathematics (Search for Journal in Brave)

zbMATH Keywords

algorithmquadratic formtrace functioncondition numberMonte Carlo methodlarge scale matricesLanczos procedureGauss type quadrature rule

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32) Numerical computation of matrix norms, conditioning, scaling (65F35)

Recommendations

• Fast estimation of \(\mathrm{tr}(f(A))\) via stochastic Lanczos quadrature
• A posteriori error estimate for computing \(\operatorname{tr}(f(A))\) by using the Lanczos method.
• Estimating the condition number of \(f(A)b\)
• Estimates of the trace of the inverse of a symmetric matrix using the modified Chebyshev algorithm
• The extended global Lanczos method for matrix function approximation

Cited in

(3)

• UPRE method for total variation parameter selection
• Probing for the Trace Estimation of a Permuted Matrix Inverse Corresponding to a Lattice Displacement
• Estimating the trace of the matrix inverse by interpolating from the diagonal of an approximate inverse

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