ContHutch++: Stochastic Trace Estimation For Implicit Integral Operators

Abstract

SIAM Journal on Numerical Analysis, Volume 63, Issue 1, Page 334-359, February 2025.
Abstract. Hutchinson’s estimator is a randomized algorithm that computes an [math]-approximation to the trace of any positive semidefinite matrix using [math] matrix-vector products. An improvement of Hutchinson’s estimator, known as [math], only requires [math] matrix-vector products. In this paper, we propose a generalization of [math], which we call [math], that uses operator-function products to efficiently estimate the trace of any trace-class integral operator. Our ContHutch++ estimates avoid spectral artifacts introduced by discretization and are accompanied by rigorous high-probability error bounds. We use ContHutch++ to derive a new high-order accurate algorithm for quantum density-of-states and also show how it can estimate electromagnetic fields induced by incoherent sources.