FlexTrace: Exchangeable Randomized Trace Estimation for Matrix Functions
arXiv:2603.05721v1 Announce Type: new Abstract: We consider the task of estimating the trace of a matrix function, ${rm tr}(f({bf A}))$, of a large symmetric positive semi-definite matrix ${bf A}$. This problem arises in multiple applications, including kernel methods and inverse problems. A key challenge across existing trace estimation methods is the need for matrix-vector products (matvecs) with $f({bf A})$, which can be very expensive. In this article, we introduce a novel trace estimator, FlexTrace, an exchangeable, single-pass method […]