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.
Girard , A fast ‘Monte-Carlo cross-validation’ procedure for large least squares problems with noisy data, Numerische Mathematik, 56 (1989), pp
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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.