nag_dgecon (f07agc) estimates the condition number of a real matrix
, where
has been factorized by
nag_dgetrf (f07adc).
nag_dgecon (f07agc) estimates the condition number of a real matrix
, in either the
-norm or the
-norm:
The function should be preceded by a call to
nag_dge_norm (f16rac) to compute
or
, and a call to
nag_dgetrf (f07adc) to compute the
factorization of
. The function then uses Higham's implementation of Hager's method (see
Higham (1988)) to estimate
or
.
Higham N J (1988) FORTRAN codes for estimating the one-norm of a real or complex matrix, with applications to condition estimation ACM Trans. Math. Software 14 381–396
The computed estimate
rcond is never less than the true value
, and in practice is nearly always less than
, although examples can be constructed where
rcond is much larger.
A call to nag_dgecon (f07agc) involves solving a number of systems of linear equations of the form
or
; the number is usually
or
and never more than
. Each solution involves approximately
floating point operations but takes considerably longer than a call to
nag_dgetrs (f07aec) with one right-hand side, because extra care is taken to avoid overflow when
is approximately singular.
The complex analogue of this function is
nag_zgecon (f07auc).
This example estimates the condition number in the
-norm of the matrix
, where
Here
is nonsymmetric and must first be factorized by
nag_dgetrf (f07adc). The true condition number in the
-norm is
.