Entropic Trace Estimates for Log Determinants

24 Apr 2017Jack FitzsimonsDiego GranziolKurt CutajarMichael OsborneMaurizio FilipponeStephen Roberts

The scalable calculation of matrix determinants has been a bottleneck to the widespread application of many machine learning methods such as determinantal point processes, Gaussian processes, generalised Markov random fields, graph models and many others. In this work, we estimate log determinants under the framework of maximum entropy, given information in the form of moment constraints from stochastic trace estimation... (read more)

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