Differentiation of matrix functionals using triangular factorization

DOI10.1090/S0025-5718-2011-02451-8zbMath1219.65044MaRDI QIDQ3015047

Mark A. Lukas, Robert S. Anderssen, Frank R. de Hoog

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

algorithmssmoothing splinesmaximum likelihoodalgorithmic differentiationtriangular factorizationcovariance selectionfirst and second derivativeslog determinantdifferentiation matrix functionalslog-det relationshipsrobust generalized cross validation

Mathematics Subject Classification ID

15A15: Determinants, permanents, traces, other special matrix functions

65D25: Numerical differentiation

65F05: Direct numerical methods for linear systems and matrix inversion

Related Items

Efficient algorithms for robust generalized cross-validation spline smoothing, Practical use of robust GCV and modified GCV for spline smoothing, Fitting very large sparse Gaussian graphical models

Uses Software

• tn

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Efficient algorithms for robust generalized cross-validation spline smoothing
• Statistical learning from a regression perspective
• Large-scale geodetic least-squares adjustment by dissection and orthogonal decomposition
• Monte Carlo estimates of the log determinant of large sparse matrices
• Matrix inversion algorithms by means of automatic differentiation
• A survey of truncated-Newton methods
• High-dimensional covariance estimation by minimizing \(\ell _{1}\)-penalized log-determinant divergence
• The Elimination form of the Inverse and its Application to Linear Programming
• On computing the inverse of a sparse matrix
• Robust generalized cross-validation for choosing the regularization parameter
• The Evolution of the Minimum Degree Ordering Algorithm
• On computing certain elements of the inverse of a sparse matrix
• Numerical Linear Algebra for High-Performance Computers
• Compact Computation of the Inverse of a Matrix
• Smoothing noisy data with spline functions