Probabilistic bounds for the matrix condition number with extended Lanczos bidiagonalization

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Samenvatting

Reliable estimates for the condition number of a large, sparse, real matrix A are important in many applications. To get an approximation for the condition number ¿(A), an approximation for the smallest singular value is needed. Standard Krylov subspaces are usually unsuitable for finding a good approximation to the smallest singular value. Therefore, we study extended Krylov subspaces which turn out to be ideal for the simultaneous approximation of both the smallest and largest singular value of a matrix. First, we develop a new extended Lanczos bidiagonalization method. With this method we obtain a lower bound for the condition number. Moreover, the method also yields probabilistic upper bounds for ¿(A). The user can select the probability with which the upper bound holds, as well as the ratio of the probabilistic upper bound and the lower bound. Keywords: Extended Lanczos bidiagonalization, extended Krylov method, matrix condition number, lower bound, probabilistic upper bound.
Originele taal-2Engels
Plaats van productieEindhoven
UitgeverijTechnische Universiteit Eindhoven
Aantal pagina's21
StatusGepubliceerd - 2015

Publicatie series

NaamCASA-report
Volume1530
ISSN van geprinte versie0926-4507

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