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
.
f01kcc 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).
f01kcc uses the norm estimation function
f04zdc to estimate a quantity
, where
and
. For further details on the accuracy of norm estimation, see the documentation for
f04zdc.
f01kcc is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library. In these implementations, this function may make calls to the user-supplied functions from within an OpenMP parallel region. Thus OpenMP pragmas within the user functions can only be used if you are compiling the user-supplied function and linking the executable in accordance with the instructions in the
Users' Note for your implementation. 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
X06 Chapter Introduction for information on how to control and interrogate the OpenMP environment used within this function. Please also consult the
Users' Note for your implementation for any additional implementation-specific information.
Approximately
of complex allocatable memory is required by the routine, in addition to the memory used by the underlying matrix function routine
f01fmc.
f01kcc returns the matrix function
. This is computed using
f01fmc. If only
is required, without an estimate of the condition number, then it is far more efficient to use
f01fmc directly.
The real analogue of this function is
f01jcc.
This example estimates the absolute and relative condition numbers of the matrix function
where