Sampling Algorithms

Tuesday, November 10, 2015 - 1:25pm - 2:25pm
Yousef Saad (University of Minnesota, Twin Cities)
A well-known technique used in statistical methods is to estimate the trace of some matrix via sampling. For example, one can estimate the trace of exp(A) by computing w=exp(A)v for many vectors v, and the mean of the inner products of v and w will yield an approximation of the trace under some conditions. This basic technique has found uses in areas as diverse as quantum physics, statistics, and numerical linear algebra.
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