R: Compute or Estimate the Condition Number of a Matrix

kappa {base} | R Documentation

## Compute or Estimate the Condition Number of a Matrix

### Description

The condition number of a regular (square) matrix is the product of the norm of the matrix and the norm of its inverse (or pseudo-inverse), and hence depends on the kind of matrix-norm.

`kappa()` computes an estimate of the 2-norm condition number of a matrix or of the R matrix of a QR decomposition, perhaps of a linear fit. The 2-norm condition number can be shown to be the ratio of the largest to the smallest non-zero singular value of the matrix.

### Usage

    kappa(z, ...)
    ## Default S3 method:
    kappa(z, exact = FALSE,
          norm = NULL, method = c("qr", "direct"), ...)
    ## S3 method for class 'lm':
    kappa(z, ...)
    ## S3 method for class 'qr':
    kappa(z, ...)

    kappa.tri(z, exact = FALSE, LINPACK = TRUE, norm=NULL, ...)

    rcond(x, norm = c("O","I","1"), triangular = FALSE, ...)

### Arguments

`z,x` | A matrix or a the result of `qr` or a fit from a class inheriting from `"lm"`.
`exact` | logical. Should the result be exact?
`norm` | character string, specifying the matrix norm wrt to which the condition number is to be computed. `"O"`, the default, means the One- or 1-norm. The (currently only) other possible value is `"I"` for the infinity norm.
`method` | character string, specifying the method to be used; `"qr"` is default for back-compatibility, mainly.
`triangular` | logical. If true, the matrix used is just the lower triangular part of `z`.
`LINPACK` | logical. If true and `z` is not complex, the Linpack routine `dtrco()` is called; otherwise the relevant Lapack routine is.
`...` | further arguments passed to or from other methods.

### Details

For `kappa()`, if `exact = FALSE` (the default) the 2-norm condition number is estimated by a cheap approximation. Following S, by default, this uses the LINPACK routine `dtrco()`. However, in R (or S) the exact calculation (via `svd`) is also likely to be quick enough.

Note that the 1- and Inf-norm condition numbers are much faster to calculate, and `rcond()` computes these reciprocal condition numbers, also for complex matrices, using standard Lapack routines.

`kappa.tri` is an internal function called by `kappa.qr`.

### Value

The condition number, kappa, or an approximation if `exact = FALSE`.

### Author(s)

The design was inspired by (but differs considerably from) the S function of the same name described in Chambers (1992).

### References

Chambers, J. M. (1992) Linear models. Chapter 4 of Statistical Models in S eds J. M. Chambers and T. J. Hastie, Wadsworth & Brooks/Cole.

### See Also

`svd` for the singular value decomposition and `qr` for the QR one.

### Examples

    kappa(x1 <- cbind(1,1:10))# 15.71
    kappa(x1, exact = TRUE)        # 13.68
    kappa(x2 <- cbind(x1,2:11))# high! [x2 is singular!]

    hilbert <- function(n) { i <- 1:n; 1 / outer(i - 1, i, "+") }
    sv9 <- svd(h9 <- hilbert(9))$ d
    kappa(h9)# pretty high!
    kappa(h9, exact = TRUE) == max(sv9) / min(sv9)
    kappa(h9, exact = TRUE) / kappa(h9) # .677 (i.e., rel.error = 32%)

[Package base version 2.8.1 Index]