Code for Hutch++: Optimal Stochastic Trace Estimation

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This is the public code for Hutch++, a paper on trace estimation, found online here.

This repo contains MATLAB code to recreate the paper's experiments, as well as simplified code that makes it easier to use Hutch++ for your next application (or translate it to your language of choice).

Simple Code

The simple directory contains minimized scripts for the algorithms presented, in appropriately named files:

• simple\simple_hutchinson.m: Hutchinson's Estimator
• simple\simple_hutchplusplus.m: The Hutch++ Algorithm (Algorithm 1 from the paper)
• simple\simple_na_hutchplusplus.m: The NA-Hutch++ Algorithm (Algorithm 2 from the paper)
• simple\simple_subspace_projection.m: The Subspace Projection Algorithm (with exactly one iteration; from "Randomized matrix-free trace and log-determinant estimators")

Core Code

The core directory contains more flexible and better commented scripts for the algorithms presented, in appropriately named files. These scripts accept both matrices and function handles as inputs. They also allow the user to specify certain optional parameters, like the exact distributions used in sketching or Hutchinson steps, and the number of subspace projection iterations to run.

• core\hutchinson.m: Hutchinson's Estimator
• Optional: Specify the distribution of random vectors
• core\hutchplusplus.m: The Hutch++ Algorithm (Algorithm 1 from the paper)
• Optional: Specify the fraction of queries used for sketching, the distribution of random Hutchinson vectors, and the distribution of random sketching vectors.
• core\na_hutchplusplus.m: The NA-Hutch++ Algorithm (Algorithm 2 from the paper)
• Optional: Specify the constants c1 and c2, the distribution of random Hutchinson vectors, and the distribution of random sketching vectors.
• core\subspace_projection.m: The Subspace Projection Algorithm (with exactly one iteration; from "Randomized matrix-free trace and log-determinant estimators")
• Optional: Specify the number of subspace iteration steps, and the distribution of random sketching vectors.

Experiment Code

The experiments directory has scripts that measure the error of these four stochastic trace estimators.

• experiments\compare_estimators_on_mat.m: Outputs the median, IQR, 25th quartile, and 75th quartile of the relative errors achieved by the four estimators on repeated trials. Only works for explicit matrices.
• experiments\compare_estimators_on_matvec_oracle.m: Outputs the median, IQR, 25th, and 75th quartiles of the relative errors achieved by the four estimators on repeated trials. Only works for function handles.
• If the true trace of the underlying matrix is not specified, this script will output the median, IQR, 25th quartile, and 75th quartile of the actual outputs of the estimators (instead of the errors).

We have three scripts that estimate the trace-of-a-function-of-a-matrix, using either Lanczos iteration or direct matrix-vector products. All three of the below scripts just call compare_estimators_on_matvec_oracle with slightly different inputs.

• experiments\compare_estimators_estrada_index.m: Uses Lanczos iteration to estimate the trace of the exponential of a matrix.
• experiments\compare_estimators_log_determinant.m: Uses Lanczos iteration to estimate the trace of the logarithm of a matrix.
• experiments\compare_estimators_number_of_triangles.m: Uses repeat matrix-vector products to estimate the trace of the cube of a matrix.
• experiments\lanczos.m: Runs Lanczos iteration to approximate matrix-vector products involving the function of a matrix. This is a slightly modified version of the Lanczos script from here.

We measure the relative error of estimated trace as the ratio |tracetrue - traceestimate| / tracetrue

LaTeX Styling

Aesthetically, LaTeX does not type "Hutch++" in a very nice way. It makes the plus symbols too large. For aesthetic reasons, we use the following script to define the Hutch++ LaTeX command, which shrinks and raises the + symbols:

\usepackage{relsize} % Relsize package needed

\newcommand{\hutchpp}{\text{Hutch\raisebox{0.35ex}{\relscale{0.75}++}}}


Code for Hutch++: Optimal Stochastic Trace Estimation

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