[R] Fast trace of inverse
ravi.varadhan at jhu.edu
Fri Jul 6 16:39:57 CEST 2012
There are algorithms that provide approximations to the trace of inverse of large SPD matrices. These use Gaussian quadrature. A couple of paper are worth noting: Bai & Golub, and a recent paper by Meurant (2009) that improves on the Bai-Golub quadrature method.
I have not implemented this in R, but it may be worth considering.
I am not sure if there are good solutions for general, unstructured square matrices.
Ravi Varadhan, Ph.D.
The Center on Aging and Health
Division of Geriatric Medicine & Gerontology
Johns Hopkins University
rvaradhan at jhmi.edu<mailto:rvaradhan at jhmi.edu>
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