Randomized block Krylov subspace methods for trace and log-determinant estimators

DOI10.1007/S10543-021-00850-7OpenAlexW3138124916MaRDI QIDQ2045172FDOQ2045172

Authors: Hanyu Li, Yuanyang Zhu 

Publication date: 12 August 2021

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2003.00212

Recommendations

• Randomized matrix-free trace and log-determinant estimators
• Approximating spectral sums of large-scale matrices using stochastic Chebyshev approximations
• Randomized algorithms for estimating the trace of an implicit symmetric positive semi-definite matrix
• On randomized trace estimates for indefinite matrices with an application to determinants
• Fast estimation of \(\mathrm{tr}(f(A))\) via stochastic Lanczos quadrature

zbMATH Keywords

randomized algorithmChebyshev polynomialsKrylov subspace methodtrace estimatorlog-determinant estimator

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Randomized algorithms (68W20) Approximation algorithms (68W25) Determinants, permanents, traces, other special matrix functions (15A15)

Cites Work

• Title not available (Why is that?)
• Randomized matrix-free trace and log-determinant estimators
• Improved matrix algorithms via the subsampled randomized Hadamard transform
• Finding structure with randomness: probabilistic algorithms for constructing approximate matrix decompositions
• Numerical methods for large eigenvalue problems
• Title not available (Why is that?)
• Accuracy and Stability of Numerical Algorithms
• Schur complements and statistics
• Randomized algorithms for estimating the trace of an implicit symmetric positive semi-definite matrix
• A stochastic estimator of the trace of the influence matrix for laplacian smoothing splines
• Improved bounds on sample size for implicit matrix trace estimators
• Monte Carlo estimates of the log determinant of large sparse matrices
• Improved analysis of the subsampled randomized Hadamard transform
• Convergence of the block Lanczos method for eigenvalue clusters
• Efficient randomized algorithms for the fixed-precision low-rank matrix approximation
• Title not available (Why is that?)
• Randomized estimation of spectral densities of large matrices made accurate
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• Parameter estimation in high dimensional Gaussian distributions
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• Approximating spectral sums of large-scale matrices using stochastic Chebyshev approximations
• Chebyshev approximation of log-determinants of spatial weight matrices
• A randomized blocked algorithm for efficiently computing rank-revealing factorizations of matrices
• Subspace Iteration Randomization and Singular Value Problems
• A randomized algorithm for approximating the log determinant of a symmetric positive definite matrix
• Randomized LU decomposition using sparse projections
• Single-pass randomized algorithms for LU decomposition
• Matrix decompositions using sub-Gaussian random matrices
• Structural Convergence Results for Approximation of Dominant Subspaces from Block Krylov Spaces

Cited In (12)

• Interpolating log-determinant and trace of the powers of matrix \(\mathbf{A}+ t\mathbf{B}\)
• SVD-based algorithms for fully-connected tensor network decomposition
• Randomized block Krylov methods for approximating extreme eigenvalues
• Randomized block Krylov space methods for trace and log-determinant estimators
• Computation of the von Neumann entropy of large matrices via trace estimators and rational Krylov methods
• Randomized matrix-free trace and log-determinant estimators
• Krylov-Aware Stochastic Trace Estimation
• On randomized trace estimates for indefinite matrices with an application to determinants
• Randomized Low-Rank Approximation of Monotone Matrix Functions
• Monte Carlo estimators for the Schatten \(p\)-norm of symmetric positive semidefinite matrices
• Randomized algorithms for estimating the trace of an implicit symmetric positive semi-definite matrix
• A multilevel approach to stochastic trace estimation

Uses Software

• mctoolbox
• Krylstat

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