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[Feature Request] Hutch++ trace estimator #47

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mfinzi opened this issue Sep 7, 2023 · 1 comment 路 May be fixed by #52
Open

[Feature Request] Hutch++ trace estimator #47

mfinzi opened this issue Sep 7, 2023 · 1 comment 路 May be fixed by #52
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enhancement New feature or request good first issue Good for newcomers

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@mfinzi
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mfinzi commented Sep 7, 2023

馃殌 Feature Request

An implementation of the Hutch++ trace and diagonal estimator

Motivation

The $1/\sqrt{n}$ convergence of the Hutchinson estimator can be very slow and it would be nice to have some alternative algorithms here

Pitch

Implementation going in here:
https://github.com/wilson-labs/cola/tree/main/cola/algorithms
and to be wired up into the cola.linalg.trace and cola.linalg.diag function via the method arguments

@mfinzi mfinzi added enhancement New feature or request good first issue Good for newcomers labels Sep 7, 2023
@Fr0do
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Fr0do commented Sep 9, 2023

If we want to follow the original algorithm, option for Rademacher distribution should be available. It's possible to use xnp.sign(xnp.randn(...)), but adding xnp.rand to backends would make it less ambiguous.

@Fr0do Fr0do linked a pull request Sep 10, 2023 that will close this issue
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Labels
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