Monte Carlo Methods for Estimating the Diagonal of a Real Symmetric Matrix

DOI10.1137/22M1476277MaRDI QIDQ5885812zbMATH OpenFDO

Authors Eric Hallman, Ilse C. F. Ipsen, Arvind K. Saibaba

Publication date 30 March 2023

Published in SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2202.02887

zbMATH Keywords

concentration inequalitiesGaussian random vectorsMonte Carlo methodsRademacher random vectorsrelative error

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Monte Carlo methods (65C05) Computational methods for sparse matrices (65F50) Randomized algorithms (68W20)

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Cites work

• A probing method for computing the diagonal of a matrix inverse.
• A Stochastic Estimator of the Trace of the Influence Matrix for Laplacian Smoothing Splines
• An Asymptotic Expansion for the Tail Area of the t-Distribution
• An estimator for the diagonal of a matrix
• An introduction to matrix concentration inequalities
• Database-friendly random projections: Johnson-Lindenstrauss with binary coins.
• Domain-Decomposition-Type Methods for Computing the Diagonal of a Matrix Inverse
• High-dimensional probability. An introduction with applications in data science
• scientific article; zbMATH DE number 6159604 (Why is no real title available?)
• Improved bounds on sample size for implicit matrix trace estimators
• Multifidelity Dimension Reduction via Active Subspaces
• Preconditioning
• Probability and Computing
• Randomized algorithms for estimating the trace of an implicit symmetric positive semi-definite matrix
• The masked sample covariance estimator: an analysis using matrix concentration inequalities
• The University of Florida sparse matrix collection

Cited in

(8)

• An estimator for the diagonal of a matrix
• Randomized Low-Rank Approximation of Monotone Matrix Functions
• Stable rank and intrinsic dimension of real and complex matrices
• Neumann-Neumann type domain decomposition of elliptic problems on metric graphs
• Semidefinite diagonal directions Monte Carlo algorithms for detecting necessary linear matrix inequality constraints
• Fixed-sparsity matrix approximation from matrix-vector products
• Stochastic trace and diagonal estimator for tensors
• Uncertainty Quantification for Landweber Iteration with Randomized Normal-Operator Approximation

Describes a project that uses

Uses Software

• SparseMatrix

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