Applications of trace estimation techniques

We discuss various applications of trace estimation techniques for evaluating functions of the form tr(f(A)) where f is certain function. The first problem we consider that can be cast in this form is that of approximating the Spectral density or Density of States (DOS) of a matrix. The DOS is a probability density distribution that measures the likelihood of finding eigenvalues of the matrix at a given point on the real line, and it is an important function in solid state physics. We also present a few non-standard applications of spectral densities. Other trace estimation problems we discuss include estimating the trace of a matrix inverse tr(A^-1), the problem of counting eigenvalues and estimating the rank, and approximating the log-determinant (trace of log function). We also discuss a few similar computations that arise in machine learning applications. We review two computationally inexpensive methods to compute traces of matrix functions, namely, the Chebyshev expansion and the Lanczos Quadrature methods. A few numerical examples are presented to illustrate the performances of these methods in different applications.