brnn (version 0.3)

estimate.trace: estimate.trace

Description

The estimate.trace function estimates the trace of the inverse of a possitive definite and symmetric matrix using the algorithm developed by Bai et al. (1996). It is specially useful when the matrix is huge.

Usage

estimate.trace(A,tol=1E-6,samples=40,cores=1)

References

Bai, Z. J., M. Fahey and G. Golub (1996). "Some large-scale matrix computation problems." Journal of Computational and Applied Mathematics 74(1-2): 71-89.

Examples

library(brnn)
data(Jersey)

#Estimate the trace of the iverse of G matrix
estimate.trace(G)

#The TRUE value
sum(diag(solve(G)))