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

algorithmic differentiationalgorithmscovariance selectiondifferentiation matrix functionalsfirst and second derivativeslog determinantlog-det relationshipsmaximum likelihoodrobust generalized cross validationsmoothing splinestriangular factorization

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)

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Cited in

(4)

• Fitting very large sparse Gaussian graphical models
• Verified error bounds for matrix decompositions
• Efficient algorithms for robust generalized cross-validation spline smoothing
• Practical use of robust GCV and modified GCV for spline smoothing

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Uses Software

• tn

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