lanczos-trace-estimator

Matrix-free algorithms for computing $f(A)b$ or $Tr(f(A))$ via Lanczos iteration and Hutchinson.

The documentation can be found here.

Ideas mainly derived from the following two papers.

Musco, C., Musco, C., & Sidford, A. (2018). Stability of the Lanczos Method for Matrix Function Approximation. In Proceedings of the Twenty-Ninth Annual ACM-SIAM Symposium on Discrete Algorithms (pp. 1605–1624). Society for Industrial and Applied Mathematics. https://doi.org/10.1137/1.9781611975031.105

Ubaru, S., Chen, J., & Saad, Y. (2017). Fast Estimation of $tr(f(A))$ via Stochastic Lanczos Quadrature. In SIAM Journal on Matrix Analysis and Applications (Vol. 38, Issue 4, pp. 1075–1099). Society for Industrial & Applied Mathematics (SIAM). https://doi.org/10.1137/16m1104974