Trace The trace of a matrix \(A \in \mathbb{R}^{n \times n}\) is the sum of its diagonal entries: \begin{equation} \notag \text{tr}(A) = \sum_{i=1}^n a_{ii} = \sum_{i=1}^n e_i^T A e_i, \end{equation} where \(e_i\) is the $i$-th column of the identity matrix. Many scientific computing and machine learning applications require estimating the trace of a square linear … Continue reading Randomized Algorithm for Trace Estimation