Accelerating Matrix Trace Estimation by Aitken’s Δ2 Process | IEEE Conference Publication | IEEE Xplore

Accelerating Matrix Trace Estimation by Aitken’s Δ2 Process


Abstract:

We present an algorithm to estimate the trace of symmetric matrices that are available only via Matrix-Vector multiplication. The proposed algorithm constructs a series o...Show More

Abstract:

We present an algorithm to estimate the trace of symmetric matrices that are available only via Matrix-Vector multiplication. The proposed algorithm constructs a series of trace estimates by applying the probing technique with an increasing number of vectors. These estimates are then treated as a converging sequence whose limit is the sought matrix trace, and we apply Aitken’s Δ2 process to accelerate its convergence to the trace limit. Numerical experiments performed on covariance matrices demonstrate the competitiveness of the proposed scheme versus probing and randomized trace estimators.
Date of Conference: 04-10 June 2023
Date Added to IEEE Xplore: 05 May 2023
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Conference Location: Rhodes Island, Greece

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