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A Multilevel Approach to Variance Reduction in the Stochastic Estimation of the Trace of a Matrix.
Andreas Frommer
Mostafa Nasr Khalil
Gustavo Ramirez-Hidalgo
Published in:
CoRR (2021)
Keyphrases
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variance reduction
monte carlo
importance sampling
gradient estimation
bias variance decomposition
random numbers
sample size
quasi monte carlo
objective function
support vector
high dimensional
feature vectors
text categorization
estimation error
confidence intervals