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Which constraints of a numerical problem cause ill-conditioning?

  • Nick Dewaele,
  • Nick Vannieuwenhoven

摘要

Many numerical problems with input \({x}\) x and output \({y}\) y can be formulated as a system of equations \(F({x}, {y}) = 0\) F ( x , y ) = 0 where the goal is to solve for \({y}\) y . The condition number measures the change of \({y}\) y for small perturbations to \({x}\) x . From this numerical problem, one can derive a (typically underdetermined) relaxation by omitting any number of equations from F. We propose a condition number for underdetermined systems that relates the condition number of a numerical problem to those of its relaxations, thereby detecting the ill-conditioned constraints. We illustrate the use of our technique by computing the condition of two problems that do not have a finite condition number in the classic sense: two-factor matrix decompositions and Tucker decompositions.