Randomized matrix-free trace and log-determinant estimators (Q2408935)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Randomized matrix-free trace and log-determinant estimators |
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Randomized matrix-free trace and log-determinant estimators (English)
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10 October 2017
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The authors propose and analyse randomized algorithms for estimating the trace and determinant of Hermitian positive semi-definite matrices. Their estimators are are based on randomized subspace iteration and are accurate for many matrices of interest, which have a well-defined dominant eigenspace, with a large eigenvalue gap whose location is known. Comprehensive numerical experiments are also reported.
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randomized algorithms
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Hermitian positive definite matrix
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trace
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determinant
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subspace iteration
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large eigenvalue gap
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numerical experiments
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