R: Estimate the Condition Number

kappa {base} | R Documentation

## Estimate the Condition Number

### 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.

### 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` | logical. Should the result be exact?
`...` | further arguments passed to or from other methods.

### 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. Ripley

### See 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 = TRUE)        # 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%)

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