Stochastic estimates for the trace of functions of matrices via Hadamard matrices

DOI10.1080/03610918.2015.1096373MaRDI QIDQ4976541zbMATHOpenAlexFDO

Authors Paraskevi Fika, Christos Koukouvinos

Publication date 31 July 2017

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2015.1096373

zbMATH Keywords

tracematrix functionsymmetric matrixHadamard matrixstochastic estimate

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Response surface designs (62K20) Boolean and Hadamard matrices (15B34) Determinants, permanents, traces, other special matrix functions (15A15) Combinatorial aspects of matrices (incidence, Hadamard, etc.) (05B20) Matrix exponential and similar functions of matrices (15A16) Quadratic and bilinear forms, inner products (15A63) Extrapolation to the limit, deferred corrections (65B05) Numerical computation of matrix exponential and similar matrix functions (65F60)

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Cites work

• A Stochastic Estimator of the Trace of the Influence Matrix for Laplacian Smoothing Splines
• An estimator for the diagonal of a matrix
• Bounding matrix functionals via partial global block Lanczos decomposition
• Functions of Matrices
• Hierarchical probing for estimating the trace of the matrix inverse on toroidal lattices
• Matrices, moments and quadrature with applications
• Moments of a linear operator, with applications to the trace of the inverse of matrices and the solution of equations.
• Network properties revealed through matrix functions
• On the real convergence rate of the conjugate gradient method
• Randomized algorithms for estimating the trace of an implicit symmetric positive semi-definite matrix

Cited in

(3)

• Approximation of the Tikhonov regularization parameter through Aitken's extrapolation
• A Stochastic Characterization of Arov‐completable Matrix‐valued Schur Functions
• Estimates for the generalized cross-validation function via an extrapolation and statistical approach

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