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, ...)
    ## S3 method for class 'lm':
    kappa(z, ...)
    ## Default S3 method:
    kappa(z, exact = FALSE, ...)
    ## S3 method for class 'qr':
    kappa(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.

`kappa.tri` is an internal function called by `kappa.qr`.

### Value

The condition number, kappa, or an approximation if `exact = FALSE`.

### Author(s)

The design was inspired by (but differs considerably from) the S function of the same name described in Chambers (1992).

### References

Chambers, J. M. (1992) Linear models. Chapter 4 of Statistical Models in S eds J. M. Chambers and T. J. Hastie, Wadsworth & Brooks/Cole.

### 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%)

[Package base version 2.4.1 Index]