naginterfaces.library.matop.real_​gen_​matrix_​cond_​num

naginterfaces.library.matop.real_gen_matrix_cond_num(a, f, data=None)

real_gen_matrix_cond_num computes an estimate of the absolute condition number of a matrix function $f$ at a real $n\times n$ matrix $A$ in the $1$-norm. Numerical differentiation is used to evaluate the derivatives of $f$ when they are required.

For full information please refer to the NAG Library document for f01jb

https://support.nag.com/numeric/nl/nagdoc_30.1/flhtml/f01/f01jbf.html

Parameters

afloat, array-like, shape $(n,n)$

The $n\times n$ matrix $A$.

fcallable fz = f(z, data=None)

The function $f$ evaluates $f\left(z_i\right)$ at a number of points $z_i$.

Parameters

zcomplex, ndarray, shape $\left(\text{nz}\right)$

The $n_z$ points $z_1,z_2,\dots ,z_{n_z}$ at which the function $f$ is to be evaluated.

dataarbitrary, optional, modifiable in place

User-communication data for callback functions.

Returns

fzcomplex, array-like, shape $\left(\text{nz}\right)$

The $n_z$ function values. $fz[\text{i}-1]$ should return the value $f\left(z_{\text{i}}\right)$, for $\text{i}=1,2,\dots ,n_z$. If $z_i$ lies on the real line, then so must $f\left(z_i\right)$.

dataarbitrary, optional

User-communication data for callback functions.

Returns

afloat, ndarray, shape $(n,n)$

The $n\times n$ matrix, $f\left(A\right)$.

condafloat

An estimate of the absolute condition number of $f$ at $A$.

normafloat

The $1$-norm of $A$.

normfafloat

The $1$-norm of $f\left(A\right)$.

Raises

NagValueError

(errno $-1$)

On entry, $n=⟨value⟩$.

Constraint: $n\ge 0$.

(errno $1$)

An internal error occurred when estimating the norm of the Fréchet derivative of $f$ at $A$. Please contact NAG.

(errno $2$)

An internal error occurred when evaluating the matrix function $f\left(A\right)$. You can investigate further by calling real_gen_matrix_fun_num() with the matrix $A$ and the function $f$.

Warns

NagCallbackTerminateWarning

(errno $3$)

Termination requested in $f$.

Notes

The absolute condition number of $f$ at $A$, ${cond}_{abs}(f,A)$ is given by the norm of the Fréchet derivative of $f$, $L\left(A\right)$, which is defined by

$$\parallel L\left(X\right)\parallel :={max}_{E\ne 0}\frac{\parallel L(X,E)\parallel }{\parallel E\parallel }\text{,}$$

where $L(X,E)$ is the Fréchet derivative in the direction $E$. $L(X,E)$ is linear in $E$ and can, therefore, be written as

$$vec\left(L(X,E)\right)=K\left(X\right)vec\left(E\right)\text{,}$$

where the $vec$ operator stacks the columns of a matrix into one vector, so that $K\left(X\right)$ is $n^2\times n^2$. real_gen_matrix_cond_num computes an estimate $\gamma$ such that $\gamma \le {\parallel K\left(X\right)\parallel }_1$, where ${\parallel K\left(X\right)\parallel }_1\in [n^{-1}{\parallel L\left(X\right)\parallel }_1,n{\parallel L\left(X\right)\parallel }_1]$. The relative condition number can then be computed via

$${cond}_{rel}(f,A)=\frac{{cond}_{abs}(f,A){\parallel A\parallel }_1}{{\parallel f\left(A\right)\parallel }_1}\text{.}$$

The algorithm used to find $\gamma$ is detailed in Section 3.4 of Higham (2008).

The function $f$ is supplied via function $f$ which evaluates $f\left(z_i\right)$ at a number of points $z_i$.

References

Higham, N J, 2008, Functions of Matrices: Theory and Computation, SIAM, Philadelphia, PA, USA