Monte Carlo Methods for Estimating the Diagonal of a Real Symmetric Matrix

DOI10.1137/22M1476277MaRDI QIDQ5885812

Eric Hallman, Ilse C. F. Ipsen, Arvind K. Saibaba

Publication date: 30 March 2023

Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2202.02887

zbMATH Keywords

Monte Carlo methodsrelative errorconcentration inequalitiesGaussian random vectorsRademacher random vectors

Mathematics Subject Classification ID

Computational methods for sparse matrices (65F50) Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50) Randomized algorithms (68W20)

Related Items

Randomized Low-Rank Approximation of Monotone Matrix Functions

Uses Software

• SparseMatrix

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