Estimate the Condition Number of a Matrix, QR Decomposition or Fit
Usage
kappa(z, ...)
kappa.lm (z, ...)
kappa.default(z, exact = FALSE)
kappa.qr (z, ...)
kappa.tri (z, exact = FALSE, ...)
Arguments
z
|
A matrix or a the result of qr or a fit from a class
inheriting from "lm" .
|
exact
|
Should the result be exact?
|
Description
An estimate of the condition number of a matrix or of the R matrix of a
QR decomposition, perhaps of a linear fit. The condition number is
defined as the ratio of the largest to the smallest non-zero
singular value of the matrix.Details
If exact = FALSE
(the default) the condition number is estimated
by a cheap approximation. Following S, this uses the LINPACK routine
`dtrco.f'. However, in R (or S) the exact calculation is also
likely to be quick enough.Value
The condition number, kappa, or an approximation if
exact=FALSE
.Author(s)
B.D. RipleySee Also
svd
for the singular value decomposition and
qr
for the QR one.Examples
kappa(x1 <- cbind(1,1:10))# 15.71
kappa(x1, exact=T) # 13.68
kappa(x2 <- cbind(x1,2:11))# high! [x2 is singular!]
hilbert <- function(n) { i <- 1:n; 1 / outer(i - 1, i, "+") }
sv9 <- svd(h9 <- hilbert(9))$ d
kappa(h9)# pretty high!
kappa(h9, exact=TRUE) == max(sv9) / min(sv9)
kappa(h9, exact=TRUE) / kappa(h9) # .677 (i.e. rel.error = 32%)