Fast estimation of tr(f(A)) via stochastic Lanczos quadrature
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Publication:4588935
DOI10.1137/16M1104974zbMATH Open1386.65125OpenAlexW2764280570MaRDI QIDQ4588935FDOQ4588935
Authors: Shashanka Ubaru, Jie Chen, Y. Saad 
Publication date: 6 November 2017
Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/16m1104974
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Gaussian processestrace estimationlog-determinantsLanczos algorithmSchatten normsfast approximate algorithms
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Cited In (37)
- Efficient Covariance Approximations for Large Sparse Precision Matrices
- Interpolating log-determinant and trace of the powers of matrix \(\mathbf{A}+ t\mathbf{B}\)
- Data Analytics on Graphs Part III: Machine Learning on Graphs, from Graph Topology to Applications
- A Multilevel Approach to Variance Reduction in the Stochastic Estimation of the Trace of a Matrix
- FANOK: knockoffs in linear time
- Locally induced Gaussian processes for large-scale simulation experiments
- Linear-Cost Covariance Functions for Gaussian Random Fields
- A general scheme for log-determinant computation of matrices via stochastic polynomial approximation
- Error Bounds for Lanczos-Based Matrix Function Approximation
- Randomized numerical linear algebra: Foundations and algorithms
- Estimates of the trace of the inverse of a symmetric matrix using the modified Chebyshev algorithm
- Approximating spectral sums of large-scale matrices using stochastic Chebyshev approximations
- Ranking edges by their impact on the spectral complexity of information diffusion over networks
- Krylov-Aware Stochastic Trace Estimation
- A posteriori error estimate for computing \(\operatorname{tr}(f(A))\) by using the Lanczos method.
- Numerical solution of a class of quasi-linear matrix equations
- On randomized trace estimates for indefinite matrices with an application to determinants
- Multiplicative perturbation bounds for multivariate multiple linear regression in Schatten \(p\)-norms
- XT<scp>race</scp>: Making the Most of Every Sample in Stochastic Trace Estimation
- Shifted extended global Lanczos processes for trace estimation with application to network analysis
- A literature survey of matrix methods for data science
- Randomized block Krylov subspace methods for trace and log-determinant estimators
- Randomized Low-Rank Approximation of Monotone Matrix Functions
- Analysis of Probing Techniques for Sparse Approximation and Trace Estimation of Decaying Matrix Functions
- Faster randomized partial trace estimation
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- The short-term rational Lanczos method and applications
- Bounding matrix functionals via partial global block Lanczos decomposition
- Monte Carlo estimators for the Schatten \(p\)-norm of symmetric positive semidefinite matrices
- The global Golub-Kahan method and Gauss quadrature for tensor function approximation
- Spectrum Approximation Beyond Fast Matrix Multiplication: Algorithms and Hardness
- A multilevel approach to stochastic trace estimation
- A Unifying Generative Model for Graph Learning Algorithms: Label Propagation, Graph Convolutions, and Combinations
- Faster stochastic trace estimation with a Chebyshev product identity
- Estimating the trace of the matrix inverse by interpolating from the diagonal of an approximate inverse
- Conditional gradient method for double-convex fractional programming matrix problems
- Kryging: geostatistical analysis of large-scale datasets using Krylov subspace methods
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