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sachinruk
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Trace of Inverse matrix from Cholesky

This question was somewhat answered here: Fast trace of inverse of a square matrix. However, I feel like there was no complete answer wrt the Cholesky case.

I have the matrix $\Sigma=LL^T$. Is there a way of getting $Tr(\Sigma)$ without using the SVD? I'm guessing eigen decomposition is just as costly as SVD.

The matrix is symmetric, positive definite and (unfortunately) dense.

sachinruk
  • 171
  • 1
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