Differentiation of matrix functionals using triangular factorization

DOI10.1090/S0025-5718-2011-02451-8MaRDI QIDQ3015047zbMATH OpenOpenAlexFDO

Authors Mark A. Lukas, F. R. De Hoog, Robert S. Anderssen

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

algorithmsmaximum likelihoodcovariance selectionalgorithmic differentiationsmoothing splinestriangular factorizationfirst and second derivativeslog determinantdifferentiation matrix functionalslog-det relationshipsrobust generalized cross validation

Mathematics Subject Classification ID

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

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Cited in

(4)

• 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
• Verified error bounds for matrix decompositions

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• tn

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