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Don’t Use Gaussians in Stochastic Trace Estimation

ethanepperly.com · published 28 January 2024

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https://en.wikipedia.org/wiki/Trace_(linear_algebra
en.wikipedia.org
https://doi.org/10.1007/BF01395775
doi.org
https://doi.org/10.1080/03610918908812806
doi.org
https://en.wikipedia.org/wiki/Independence_(probability_theory
en.wikipedia.org
https://en.wikipedia.org/wiki/Independent_and_identically_distributed_random_variables
en.wikipedia.org
https://math.stackexchange.com/questions/2233936/how-can-i-tell-when-a-random-a-vector-is-isotropic
math.stackexchange.com
https://en.wikipedia.org/wiki/Multivariate_normal_distribution
en.wikipedia.org
https://en.wikipedia.org/wiki/Normal_distribution
en.wikipedia.org
https://en.wikipedia.org/wiki/Rademacher_distribution
en.wikipedia.org
https://en.wikipedia.org/wiki/N-sphere
en.wikipedia.org
https://doi.org/10.1007/s00211-017-0880-z
doi.org
https://arxiv.org/abs/2301.07825
arxiv.org
Big Ideas in Applied Math: Concentration Inequalities Read at the source ↗
ethanepperly.com
https://arxiv.org/abs/2010.09649
arxiv.org
https://arxiv.org/abs/2109.10659
arxiv.org
https://arxiv.org/abs/2205.01736
arxiv.org
https://arxiv.org/abs/2311.07035
arxiv.org
https://tropp.caltech.edu
tropp.caltech.edu
https://rwebber.people.caltech.edu
rwebber.people.caltech.edu
https://en.wikipedia.org/wiki/Bias_of_an_estimator
en.wikipedia.org
https://en.wikipedia.org/wiki/Variance
en.wikipedia.org
https://en.wikipedia.org/wiki/Mean_squared_error
en.wikipedia.org
Stochastic Trace Estimation Read at the source ↗
ethanepperly.com
https://en.wikipedia.org/wiki/Spectral_theorem
en.wikipedia.org
https://nhigham.com/2020/04/22/what-is-a-random-orthogonal-matrix/
nhigham.com
https://nhigham.com/2021/04/08/what-is-a-diagonally-dominant-matrix/
nhigham.com