In the last few years stochastic trace estimators have been proposed to alleviate this problem. This article demonstrates numerical approximation techniques that further reduce the computational complexity. The new approach employs Gauss quadrature to compute lower and upper bounds on the cross-validation function. It only requires the operator form of the system matrix that is, a subroutine to evaluate matrix-vector products. Thus, the factorization of large matrices can be avoided.
Numerical experiments confirm the remarkable accuracy of the stochastic trace estimator.
All rights reserved.