Norm and condition number of a matrix

Norm and condition number of a matrix

In a numerical analysis with a vector involvement, norms are essential to predict the various errors involved in the numerical analysis. A norm is a function ||.|| in a vector space V. If A is a n*n matrix, then its norm is a real number and denoted by ||A||. A norm satisfies the following properties:

  1. $||A|| \geq 0$ for any square matrix $A$
  2. $||A||=0$; for null matrix
  3. $||kA||=|k| ||A||$; $k$ is any scalar
  4. $||A+B|| \leq||A||+||B||$
  5. $||AB|| \leq||A|| \quad||B||$

Types of norm:

  1. 1- Norm or column norm: This norm is a maximum absolute sum of column and is defined as:
    $$
    \|A\|_{1}=\max _{1 \leq j \leq n}\left(\sum_{i=1}^{n}\left|a_{i j}\right|\right)
    $$
  2. Infinity norm: This norm is a maximum absolute sum of row and is defined as:
    $$
    \|A\|_{\infty}=\max _{1 \leq i \leq n}\left(\sum_{j=1}^{n}\left|a_{i j}\right|\right)
    $$
  3. 2- Norm or Eucledian norm: This norm is computed by taking square root of sum of squares of all the entities and it is defined as:
    $$
    \|A\|_{E}=\sqrt{\sum_{i=1}^{n} \sum_{j=1}^{n}\left(a_{i j}\right)^{2}}
    $$

    Consider a matrix A and its various norms are computed as:
    $$
    A=\left[\begin{array}{rrr}
    5 & -4 & 2 \\
    -1 & 3 & 2 \\
    1 & -2 & 0
    \end{array}\right]
    $$
    $$
    \begin{aligned}
    \|A\|_{1} &=\max (5+1+1,4+3+2,2+2+0) \\
    &=\max (7,9,4) \\
    &=9
    \end{aligned}
    $$
    $$
    \begin{aligned}
    \|A\|_{\infty} &=\max (5+4+2,1+3+2,1+2+0) \\
    &=\max (11,6,3) \\
    &=11
    \end{aligned}
    $$
    $$
    \begin{aligned}
    \|A\|_{E} &=\sqrt{25+16+4+1+4+9+4+1+0} \\
    &=\sqrt{64} \\
    &=8
    \end{aligned}
    $$

    Condition number:

 In the numerical analysis, the condition number of a matrix is very important since it represents how much change reflects in the output with a minor change in the input. If a condition number  of  a matrix is small, it is well conditioned problem and that can be handled efficiently and accurately while if the condition number is large, the problem is ill-conditioned and cannot be handled accurately.  In that case, some preconditioners can be used. For a singular matrix, condition number is infinite since its determinant is zero and inverse is not possible. The condition number of an invertible matrix A is defined as:

$$
\kappa(A)=||A|| \quad\left||A^{-1}\right||
$$

The value of the condition number of a matrix is always greater than or equal to one. Also, it is noted that when we calculate the condition number of a matrix, same type of norm is considered both for the matrix and its inverse.

$$
A=\left[\begin{array}{rr}
2 & 3 \\
1 & -1
\end{array}\right]
$$$$
\begin{gathered}
\|A\|_{1}=\max (2+1,3+1)=4 \\
A^{-1}=\frac{1}{-2-3}\left[\begin{array}{rr}
-1 & -3 \\
-1 & 2
\end{array}\right]=\left[\begin{array}{cc}
\frac{1}{5} & \frac{3}{5} \\
\frac{1}{5} & \frac{-2}{5}
\end{array}\right] \\
\left\|A^{-1}\right\|_{1}=\max \left(\frac{1}{5}+\frac{1}{5}, \frac{3}{5}+\frac{2}{5}\right)=1 
\end{gathered}
$$$$
\text { Therefore } \kappa_{1}(A)=\|A\|_{1}\left\|A^{-1}\right\|_{1}=4 \times 1=4
$$

The convergence of an iterative process depends on the condition number of a matrix.  If the square matrix of the linear algebraic equation $A x=b$ is singular, then this system does not have a solution. On the other hand, when the matrix is non-singular, it is the condition number of a matrix that decides about the convergence of the approximate solution obtained in the iteration process.

1. If the condition number is ~10^k, then any numerical method will lose k significant digits in the solution in addition to precision losses due to the algorithm itself (for instance, rounding errors).
2. If we find that the condition number of some problem is ~10^7, then we can’t use single precision and the solution will lose as many digits as there is precision in the type. That’s a nice thing we have to know before doing any simulation.

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