estimate.trace {brnn} | R Documentation |
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)
A |
(numeric), positive definite and symmetric matrix. |
tol |
numeric tolerance, a very small number useful for checking convergenge in the Bai's algorithm. |
samples |
integer, number of Monte Carlo replicates to estimate the trace of the inverse. |
cores |
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))) ## End(Not run)