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Stochastic diagonal estimation with adaptive parameter selection

15 October 2024
Zongyuan Han
Wenhao Li
Shengxin Zhu
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Abstract

In this paper, we investigate diagonal estimation for large or implicit matrices, aiming to develop a novel and efficient stochastic algorithm that incorporates adaptive parameter selection. We explore the influence of different eigenvalue distributions on diagonal estimation and analyze the necessity of introducing the projection method and adaptive parameter optimization into the stochastic diagonal estimator. Based on this analysis, we derive a lower bound on the number of random query vectors needed to satisfy a given probabilistic error bound, which forms the foundation of our adaptive stochastic diagonal estimation algorithm. Finally, numerical experiments demonstrate the effectiveness of the proposed estimator for various matrix types, showcasing its efficiency and stability compared to other existing stochastic diagonal estimation methods.

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