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 by default (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.

rcond() computes an approximation of the reciprocal condition number, see the details.

Usage

kappa(z, ...)
## Default S3 method:
kappa(z, exact = FALSE,
norm = NULL, method = c("qr", "direct"),
inv_z = solve(z),
triangular = FALSE, uplo = "U", ...)

## S3 method for class 'lm'
kappa(z, ...)
## S3 method for class 'qr'
kappa(z, ...)

.kappa_tri(z, exact = FALSE, LINPACK = TRUE, norm = NULL, uplo = "U", ...)

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


Arguments

 z, x a numeric or complex matrix or a result of qr or a fit from a class inheriting from "lm". exact logical. Should the result be exact (up to small rounding error) as opposed to fast (but quite inaccurate)? norm character string, specifying the matrix norm with respect to which the condition number is to be computed, see the function norm(). For kappa(), the default is "2", for rcond() it is "O", and for .kappa_tri()), the default depends on exact: if that is true, the default is "2", otherwise "O", meaning the One- or 1-norm. For exact=FALSE, the currently only other possible value is "I" for the infinity norm. For exact=TRUE, norm may be "2", or any of the possible type values in norm(., type = *). method a partially matched character string specifying the method to be used; "qr" is the default for back-compatibility, mainly. inv_z for exact=TRUE, norm != "2", (an approximation of) solve(z); could be the pseudo inverse or a fast approximate inverse of the matrix z. By default, solve(z) is the most expensive part of the condition computation when exact is true. triangular logical. If true, the matrix used is just the upper or lower triangular part of z (or x), depending on uplo character string, either "U" or "L". Used only when triangular = TRUE, indicates if the upper or lower triangular part of the matrix is to be used. 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; for kappa.*(), notably LINPACK when norm is not "2".

Details

For kappa(), if exact = FALSE (the default) the condition number is estimated by a cheap approximation to the 1-norm of the triangular matrix R of the qr(x) decomposition z = QR. However, the exact 2-norm calculation (via svd) is also likely to be quick enough.

Note that the approximate 1- and Inf-norm condition numbers via method = "direct" are much faster to calculate, and rcond() computes these reciprocal condition numbers, also for complex matrices, using standard LAPACK routines. Currently, also the kappa*() functions compute these approximations whenever exact is false, i.e., by default.

kappa and rcond are different interfaces to partly identical functionality.

.kappa_tri is an internal function called by kappa.qr and kappa.default; tri is for triangular and its methods only consider the upper or lower triangular part of the matrix, depending on uplo = "U" or "L", where "U" was internally hard wired before R 4.4.0.

Unsuccessful results from the underlying LAPACK code will result in an error giving a positive error code: these can only be interpreted by detailed study of the FORTRAN code.

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).

Source

The LAPACK routines DTRCON and ZTRCON and the LINPACK routine DTRCO.

LAPACK and LINPACK are from https://netlib.org/lapack/ and https://netlib.org/linpack/ and their guides are listed in the references.

References

Anderson. E. and ten others (1999) LAPACK Users' Guide. Third Edition. SIAM.
Available on-line at https://netlib.org/lapack/lug/lapack_lug.html.

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

Dongarra, J. J., Bunch, J. R., Moler, C. B. and Stewart, G. W. (1978) LINPACK Users Guide. Philadelphia: SIAM Publications.

norm; 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))$d kappa(h9) # pretty high; by default {exact=FALSE, method="qr"} : kappa(h9) == kappa(qr.R(qr(h9)), norm = "1") all.equal(kappa(h9, exact = TRUE), # its definition: max(sv9) / min(sv9), tolerance = 1e-12) ## the same (typically down to 2.22e-16) kappa(h9, exact = TRUE) / kappa(h9) # 0.677 (i.e., rel.error = 32%) ## Exact kappa for rectangular matrix ## panmagic.6npm1(7) : pm7 <- rbind(c( 1, 13, 18, 23, 35, 40, 45), c(37, 49, 5, 10, 15, 27, 32), c(24, 29, 41, 46, 2, 14, 19), c(11, 16, 28, 33, 38, 43, 6), c(47, 3, 8, 20, 25, 30, 42), c(34, 39, 44, 7, 12, 17, 22), c(21, 26, 31, 36, 48, 4, 9)) kappa(pm7, exact=TRUE, norm="1") # no problem for square matrix m76 <- pm7[,1:6] (m79 <- cbind(pm7, 50:56, 63:57)) ## Moore-Penrose inverse { ~= MASS::ginv(); differing tol (value & meaning)}: ## pinv := p(seudo) inv(erse) pinv <- function(X, s = svd(X), tol = 64*.Machine$double.eps) {
if (is.complex(X))
s$u <- Conj(s$u)
dx <- dim(X)
## X = U D V' ==> Result =  V {1/D} U'
pI <- function(u,d,v) tcrossprod(v, u / rep(d, each = dx[1L]))
pos <- (d <- s$d) > max(tol * max(dx) * d[1L], 0) if (all(pos)) pI(s$u, d, s$v) else if (!any(pos)) array(0, dX[2L:1L]) else { # some pos, some not: i <- which(pos) pI(s$u[, i, drop = FALSE], d[i],
s\$v[, i, drop = FALSE])
}
}

## rectangular
kappa(m76, norm="1")
try( kappa(m76, exact=TRUE, norm="1") )# error in  solve().. must be square

## ==> use pseudo-inverse instead of solve() for rectangular {and norm != "2"}:
iZ <- pinv(m76)
kappa(m76, exact=TRUE, norm="1", inv_z = iZ)
kappa(m76, exact=TRUE, norm="M", inv_z = iZ)
kappa(m76, exact=TRUE, norm="I", inv_z = iZ)

iX <- pinv(m79)
kappa(m79, exact=TRUE, norm="1", inv_z = iX)
kappa(m79, exact=TRUE, norm="M", inv_z = iX)
kappa(m79, exact=TRUE, norm="I", inv_z = iX)


[Package base version 4.4.0 Index]