Nasr's blog

Stochastic trace estimation for newbies

In this post we are going to discuss an essetially important method for estimating the trace of the inverse matrix. Our target is to overview the stochastic approach for computation of the trace inverse of large sparse matrices.

Definitions

Note: this paragraph will introduce some concepts of matrix calculations. It is in no way intended to explain everything that is going on, but rather just to convey some ideas to the reader that should help them understand the rest of the entry.