most citedA Multilevel Approach to Variance Reduction in the Stochastic Estimation of the Trace of a Matrix

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math.NA2021★ 1 cited

A Multilevel Approach to Variance Reduction in the Stochastic Estimation of the Trace of a Matrix

Andreas Frommer, Mostafa Nasr Khalil, Gustavo Ramirez-Hidalgo

The trace of a matrix function f(A), most notably of the matrix inverse, can be estimated stochastically using samples< x,f(A)x> if the components of the random vectors x obey an a…