SK

Topics in Numerical Linear Algebra

Date written Aug 5, 2020
Date updated Last updated: Oct 18, 2020
Filed under Linear Algebra in math

Contents
  • References

Numerical linear algebra is where rubber meets the road. This post collects some topics of interest to me. I aim to provide exposition better than standard textbooks whenever I can. Often times, ideas keep lying around deep inside 1000-page bibles.

  • Hutchinson Trace Estimator
  • Cholesky decomposition
    • Pivoted Cholesky decomposition
  • Preconditioning
  • Conjugate gradients
    • Modified Batched Conjugate Gradient Descent
  • Lanczos tridiagonalization
  • Kronecker-factored matrices
  • Toeplitz matrices
    • Szegö's theorem

References

An uncategorized list of references of high pedagogic value.

Textbooks


  1. Includes description, properties and an application of Kronecker-factored matrices.