nag_matop_real_gen_matrix_cond_num (f01jbc) computes an estimate of the absolute condition number of a matrix function at a real by matrix in the -norm. Numerical differentiation is used to evaluate the derivatives of when they are required.
The absolute condition number of
at
,
is given by the norm of the Fréchet derivative of
,
, which is defined by
where
is the Fréchet derivative in the direction
.
is linear in
and can therefore be written as
where the
operator stacks the columns of a matrix into one vector, so that
is
. nag_matop_real_gen_matrix_cond_num (f01jbc) computes an estimate
such that
, where
. The relative condition number can then be computed via
The algorithm used to find
is detailed in Section 3.4 of
Higham (2008).
nag_matop_real_gen_matrix_cond_num (f01jbc) uses the norm estimation function
nag_linsys_real_gen_norm_rcomm (f04ydc) to estimate a quantity
, where
and
. For further details on the accuracy of norm estimation, see the documentation for
nag_linsys_real_gen_norm_rcomm (f04ydc).
nag_matop_real_gen_matrix_cond_num (f01jbc) is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
nag_matop_real_gen_matrix_cond_num (f01jbc) makes calls to BLAS and/or LAPACK routines, which may be threaded within the vendor library used by this implementation. Consult the documentation for the vendor library for further information.
In these implementations, this may make calls to the user supplied functions from within an OpenMP parallel region. Thus OpenMP directives
within the user functions should be avoided, unless you are using the same OpenMP runtime library (which normally means using the same compiler) as that used to build your NAG Library implementation, as listed in the Installers' Note.
You must also ensure that you use the NAG communication argument
comm in a thread safe manner, which is best achieved by only using it to supply read-only data to the user functions.
Please consult the
Users' Note for your implementation for any additional implementation-specific information.
The matrix function is computed using the underlying matrix function routine
nag_matop_real_gen_matrix_fun_num (f01elc). Approximately
of real allocatable memory is required by the routine, in addition to the memory used by the underlying matrix function routine.
This example estimates the absolute and relative condition numbers of the matrix function
where