A randomized algorithm for estimating the condition number of matrices

zbMATH Open1299.65088MaRDI QIDQ5412972FDOQ5412972

Farshid Mehrdoust

Publication date: 28 April 2014

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)

Cited In (9)

• 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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• Efficient Monte Carlo option pricing under CEV model
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• Componentwise Condition Numbers of Random Sparse Matrices
• Calculation and upper limit estimation for angle condition number of matrix

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