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Julia Package for Trace Estimation of implicitly available matrix on a smooth function such as inverse and log determinant.

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TraceEstimation

Trace Estimation methods for implicitly available available matrix such as log determinant and inverse of a matrix.

Documentation update coming soon. For now these articles should be sufficient.

Initial Method with Examples

https://nextjournal.com/akshayjain/traceEstimator01

SLQ and Chebyhutch and speed comparison with examples

https://nextjournal.com/akshayjain/traceEstimator02/

Trace of Matrix Inverse

https://nextjournal.com/akshayjain/traceEstimator03

Sparse MVNormal

https://nextjournal.com/akshayjain/logdet-via-chebyhutch

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Julia Package for Trace Estimation of implicitly available matrix on a smooth function such as inverse and log determinant.

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