What part of a numerical problem is ill-conditioned?

Authors Nick Dewaele, Nick Vannieuwenhoven

Publication date 19 May 2023

Conditioning of matrices (15A12) Factorization of matrices (15A23) Multilinear algebra, tensor calculus (15A69) Sensitivity analysis for optimization problems on manifolds (49Q12) Local Riemannian geometry (53B20) Numerical computation of matrix norms, conditioning, scaling (65F35)

Abstract: Many numerical problems with input

x

and output

y

can be formulated as an system of equations

F (x, y) = 0

where the goal is to solve for

y

. The condition number measures the change of

y

for small perturbations to

x

. From this numerical problem, one can derive a (typically underdetermined) subproblem by omitting any number of constraints from

F

. We propose a condition number for underdetermined systems that relates the condition number of a numerical problem to those of its subproblems. We illustrate the use of our technique by computing the condition of two problems that do not have a finite condition number in the classic sense: any two-factor matrix decompositions and Tucker decompositions.

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