Hi Harold, 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 Ravi Varadhan, Ph.D. Assistant Professor The Center on Aging and Health Division of Geriatric Medicine & Gerontology Johns Hopkins University rvaradhan at jhmi.edu<mailto:rvaradhan at jhmi.edu> 410-502-2619 -------------- next part -------------- A non-text attachment was scrubbed... Name: Meurant_2009.pdf Type: application/pdf Size: 117720 bytes Desc: Meurant_2009.pdf URL: <https://stat.ethz.ch/pipermail/r-help/attachments/20120706/b44c8e8d/attachment.pdf>
Fast trace of inverse
1 message · Ravi Varadhan