A randomized algorithm for approximating the log determinant of a symmetric positive definite matrix
نویسندگان
چکیده
منابع مشابه
A Randomized Algorithm for Approximating the Log Determinant of a Symmetric Positive Definite Matrix
We introduce a novel algorithm for approximating the logarithm of the determinant of a symmetric positive definite matrix. The algorithm is randomized and proceeds in two steps: first, it finds an approximation to the largest eigenvalue of the matrix after running a few iterations of the so-called “power method” from the numerical linear algebra literature. Then, using this information, it appr...
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ژورنال
عنوان ژورنال: Linear Algebra and its Applications
سال: 2017
ISSN: 0024-3795
DOI: 10.1016/j.laa.2017.07.004