Analysis of stochastic Lanczos quadrature for spectrum approximation

Tyler Chen, Thomas Trogdon, Shashanka Ubaru

The cumulative empirical spectral measure (CESM) $\Phi [\mathbf{A}]:\mathbb{R}\to [0,1]$ of a $n\times n$ symmetric matrix $\mathbf{A}$ is defined as the fraction of eigenvalues of…