A Fast Monte Carlo algorithm for evaluating matrix functions with application in complex networks

Abstract

We propose a novel stochastic algorithm that randomly samples entire rows and columns of the matrix as a way to approximate an arbitrary matrix function. This contrasts with the "classical" Monte Carlo method which only works with one entry at a time, resulting in a significant better convergence rate than the "classical" approach. To assess the applicability of our method, we compute the subgraph centrality and total communicability of several large networks. In all benchmarks analyzed so far, the performance of our method was significantly superior to the competition, being able to scale up to 64 CPU cores with a remarkable efficiency.Comment: Submitted to the Journal of Scientific Computin