A Multilevel Approach to Variance Reduction in the Stochastic Estimation of the Trace of a Matrix
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Publication:5097607
DOI10.1137/21M1441894OpenAlexW3195958026MaRDI QIDQ5097607FDOQ5097607
Authors: Andreas Frommer, Mostafa Nasr Khalil 
Publication date: 25 August 2022
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2108.11281
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Monte Carlo methods (65C05) Determinants, permanents, traces, other special matrix functions (15A15) Numerical computation of matrix exponential and similar matrix functions (65F60)
Cites Work
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- Fast estimation of \(\mathrm{tr}(f(A))\) via stochastic Lanczos quadrature
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- Analysis of Probing Techniques for Sparse Approximation and Trace Estimation of Decaying Matrix Functions
- Extending Hierarchical Probing for Computing the Trace of Matrix Inverses
Cited In (8)
- Multigrid deflation for lattice QCD
- Analysis of stochastic probing methods for estimating the trace of functions of sparse symmetric matrices
- A multilevel Monte Carlo estimator for matrix multiplication
- A multilevel approach to stochastic trace estimation
- Estimating the trace of the matrix inverse by interpolating from the diagonal of an approximate inverse
- Fast estimation of \(\mathrm{tr}(f(A))\) via stochastic Lanczos quadrature
- Deflation as a method of variance reduction for estimating the trace of a matrix inverse
- How accurately should I compute implicit matrix-vector products when applying the Hutchinson trace estimator?
Uses Software
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