[R] Fast trace of inverse

[Ravi Varadhan]

Hi Harold,

There are algorithms that provide approximations to the trace of inverse of large SPD matrices.  These use Gaussian quadrature.  A couple of paper are worth noting:  Bai & Golub, and a recent paper by Meurant (2009) that improves on the Bai-Golub quadrature method.

I have not implemented this in R, but it may be worth considering.

I am not sure if there are good solutions for general, unstructured square matrices.

Ravi

Ravi Varadhan, Ph.D.
Assistant Professor
The Center on Aging and Health
Division of Geriatric Medicine & Gerontology
Johns Hopkins University
rvaradhan at jhmi.edu<mailto:rvaradhan at jhmi.edu>
410-502-2619

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