Improved variants of the Hutch++ algorithm for trace estimation

This contains the implementation of the algorithm proposed in [1] and scripts to reproduce the numerical experiments.

---

Numerical experiments

• Figure 1: minimum_plot.m
• Figure 2: adaptive_M.m
• Table 1: failure_probabilities.m
• Figures 3-7: test_A-Hutch++ and plotter_A-Hutch++
• Figure 8-11: test_Nystrom++ and plotter_Nystrom++

---

Reference

[1] D. Persson, A. Cortinovis, and D. Kressner. "Improved variants of the Hutch++ algorithm for trace estimation", 2021.