A multilevel approach to stochastic trace estimation
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Publication:2074958
DOI10.1016/j.laa.2021.12.010OpenAlexW4206613148MaRDI QIDQ2074958
Publication date: 11 February 2022
Published in: Linear Algebra and its Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2103.10516
spectral functionmultilevel Monte Carlotrace estimationChebyshev approximationHutchinson's trace estimator
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Related Items (3)
A Multilevel Approach to Variance Reduction in the Stochastic Estimation of the Trace of a Matrix ⋮ Optimizing shift selection in multilevel Monte Carlo for disconnected diagrams in lattice QCD ⋮ Krylov-Aware Stochastic Trace Estimation
Uses Software
Cites Work
- Improved bounds on sample size for implicit matrix trace estimators
- Faster stochastic trace estimation with a Chebyshev product identity
- A randomized algorithm for approximating the log determinant of a symmetric positive definite matrix
- Multilevel Monte Carlo for Continuous Time Markov Chains, with Applications in Biochemical Kinetics
- Multilevel Monte Carlo Methods
- The university of Florida sparse matrix collection
- Multilevel Monte Carlo Path Simulation
- Multilevel Estimation of Rare Events
- A Stochastic Estimator of the Trace of the Influence Matrix for Laplacian Smoothing Splines
- Fast Estimation of $tr(f(A))$ via Stochastic Lanczos Quadrature
- Barycentric Lagrange Interpolation
- Approximating Spectral Sums of Large-Scale Matrices using Stochastic Chebyshev Approximations
- Is Gauss Quadrature Better than Clenshaw–Curtis?
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