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math.NA2023
Suboptimal subspace construction for log-determinant approximation
Zongyuan Han, Wenhao Li, Yixuan Huang +1
Variance reduction is a crucial idea for Monte Carlo simulation and the stochastic Lanczos quadrature method is a dedicated method to approximate the trace of a matrix function. In…
math.NA2023
An analysis on stochastic Lanczos quadrature with asymmetric quadrature nodes
Wenhao Li, Yixuan Huang, Shengxin Zhu
This paper revisits the error analysis of the Stochastic Lanczos Quadrature (SLQ) method for approximating the trace of matrix functions, with a specific focus on asymmetric Lanczo…