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Note to Self: Hanson–Wright and Trace Estimation with Random Vectors on the Sphere

ethanepperly.com · published 4 November 2024

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https://chen.pw
chen.pw
https://arxiv.org/abs/2410.11090
arxiv.org
https://en.wikipedia.org/wiki/Lanczos_algorithm
en.wikipedia.org
Stochastic Trace Estimation Read at the source ↗
ethanepperly.com
How Good Can Stochastic Trace Estimates Be? Read at the source ↗
ethanepperly.com
Don’t Use Gaussians in Stochastic Trace Estimation Read at the source ↗
ethanepperly.com
https://en.wikipedia.org/wiki/Trace_(linear_algebra
en.wikipedia.org
https://en.wikipedia.org/wiki/Matrix_norm
en.wikipedia.org
https://en.wikipedia.org/wiki/Multivariate_normal_distribution
en.wikipedia.org
https://en.wikipedia.org/wiki/Normal_distribution
en.wikipedia.org
https://proofwiki.org/wiki/Tower_Property_of_Conditional_Expectation
proofwiki.org
https://en.wikipedia.org/wiki/Jensen's_inequality
en.wikipedia.org
https://stephane-v-boucheron.fr/
stephane-v-boucheron.fr
http://www.econ.upf.edu/~lugosi/
econ.upf.edu
http://massart.pascal.free.fr/Site/Home.html
massart.pascal.free.fr
https://academic.oup.com/book/26549
academic.oup.com
https://en.wikipedia.org/wiki/Boole%27s_inequality
en.wikipedia.org
Note to Self: Hanson–Wright Inequality Read at the source ↗
ethanepperly.com
https://en.wikipedia.org/wiki/Hausdorff_measure
en.wikipedia.org
https://en.wikipedia.org/wiki/Chi_distribution
en.wikipedia.org