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.
estimate.trace(A,tol=1E-6,samples=40,cores=1)(numeric), positive definite and symmetric matrix.
numeric tolerance, a very small number useful for checking convergenge in the Bai's algorithm.
integer, number of Monte Carlo replicates to estimate the trace of the inverse.
Number of cpu cores to use for calculations (only availible in UNIX-like operating systems).
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.
# NOT RUN {
library(brnn)
data(Jersey)
#Estimate the trace of the iverse of G matrix
estimate.trace(G)
#The TRUE value
sum(diag(solve(G)))
# }