• Corpus ID: 246285474

Stochastic diagonal estimation: probabilistic bounds and an improved algorithm

@article{Baston2022StochasticDE,
  title={Stochastic diagonal estimation: probabilistic bounds and an improved algorithm},
  author={Robert A. Baston and Yuji Nakatsukasa},
  journal={ArXiv},
  year={2022},
  volume={abs/2201.10684}
}
We study the problem of estimating the diagonal of an implicitly given matrix A. For such a matrix we have access to an oracle that allows us to evaluate the matrix vector product Av. For random variable v drawn from an appropriate distribution, this may be used to return an estimate of the diagonal of the matrix A. Whilst results exist for probabilistic guarantees relating to the error of estimates of the trace of A, no such results have yet been derived for the diagonal. We make two… 
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