The estimate.trace function estimates the trace of the inverse of a possitive definite and symmetric matrix using the algorithm developed by Bai et al. (1996). It is specially useful when the matrix is huge.

1 | ```
estimate.trace(A,tol=1E-6,samples=40,cores=1)
``` |

`A` |
(numeric), positive definite and symmetric matrix. |

`tol` |
numeric tolerance, a very small number useful for checking convergenge in the Bai's algorithm. |

`samples` |
integer, number of Monte Carlo replicates to estimate the trace of the inverse. |

`cores` |
Number of cpu cores to use for calculations (only availible in UNIX-like operating systems). |

Bai, Z. J., M. Fahey and G. Golub (1996). "Some large-scale matrix computation problems."
*Journal of Computational and Applied Mathematics* 74(1-2): 71-89.

1 2 3 4 5 6 7 8 9 10 11 12 |

Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.

All documentation is copyright its authors; we didn't write any of that.