Machine Learning Trick of the Day (3): Hutchinson's Trick 6

Machine Learning Trick of the Day (3): Hutchinson's Trick
Hutchinson's estimator  is a simple way to obtain a stochastic estimate of the trace of a matrix. This is a simple trick that uses randomisation to transform the algebraic problem of computing the trace into the statistical problem of computing an expectation of a quadratic function. The randomisation technique used in this trick is just one from a ...