On the Sensitivity of Singular and Ill-Conditioned Linear Systems

DOI10.1137/18M1197990MaRDI QIDQ5232123zbMATH OpenOpenAlexFDO

Authors Zhonggang Zeng

Publication date 29 August 2019

Published in SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2102.09739

zbMATH Keywords

condition numberlinear systemGrassmannian

Mathematics Subject Classification ID

Ill-posedness and regularization problems in numerical linear algebra (65F22) Linear equations (linear algebraic aspects) (15A06) Numerical computation of matrix norms, conditioning, scaling (65F35) Conditioning of matrices (15A12)

Abstract: Solving a singular linear system for an individual vector solution is an ill-posed problem with a condition number infinity. From an alternative perspective, however, the general solution of a singular system is of a bounded sensitivity as a unique element in an affine Grassmannian. If a singular linear system is given through empirical data that are sufficiently accurate with a tight error bound, a properly formulated general numerical solution uniquely exists in the same affine Grassmannian, enjoys Lipschitz continuity and approximates the underlying exact solution with an accuracy in the same order as the data. Furthermore, any backward accurate numerical solution vector is an accurate approximation to one of the solutions of the underlying singular system.

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Cited in

(5)

• A Newton’s iteration converges quadratically to nonisolated solutions too
• A Sensitivity Analysis for Least-Squares Ill-Posed Problems Using the Haar Basis
• A probability argument in favor of ignoring small singular values
• Clustering, multicollinearity, and singular vectors
• On the Sensitivity of Solution Components in Linear Systems of Equations

Describes a project that uses

Uses Software

• RankRev
• NACLab
• UTV
• mctoolbox

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