A randomized algorithm for estimating the condition number of matrices

zbMATH Open1299.65088MaRDI QIDQ5412972FDOQ5412972

Authors: Farshid Mehrdoust 

Publication date: 28 April 2014

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zbMATH Keywords

Markov chaineigenvaluesnumerical resultsrandomized algorithmcondition numberquasi-Monte Carlo methodlarge matrices

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Numerical computation of matrix norms, conditioning, scaling (65F35) Conditioning of matrices (15A12)

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• Estimating Extremal Eigenvalues and Condition Numbers of Matrices
• FORTRAN codes for estimating the one-norm of a real or complex matrix, with applications to condition estimation
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• Generating extreme-scale matrices with specified singular values or condition number
• An investigation of feasible descent algorithms for estimating the condition number of a matrix
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• Efficient Monte Carlo option pricing under CEV model
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• A new data mining approach to predicting matrix condition numbers
• Componentwise Condition Numbers of Random Sparse Matrices
• Calculation and upper limit estimation for angle condition number of matrix

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