Introduces an optimized error reallocation for stochastic Lanczos quadrature that minimizes total matrix-vector multiplications by allocating more budget to the Lanczos process than to Monte Carlo sampling for a target accuracy.
Roosta-Khorasani and U
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An analysis on stochastic Lanczos quadrature with asymmetric quadrature nodes
Introduces an optimized error reallocation for stochastic Lanczos quadrature that minimizes total matrix-vector multiplications by allocating more budget to the Lanczos process than to Monte Carlo sampling for a target accuracy.