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Two 2x2 systems can have dramatically different condition numbers

Example

The diagonal system A1=diag(1,4) is well conditioned, while the nearly singular system

A2=(1111+ε),ε=1100,

is already severely ill conditioned, even though both matrices have the same 2×2 shape and entries of the same order.

Facts & Assumptions

Given: The matrices A1=diag(1,4) and A2=(1111+ε) with ε=1/100>0.

[L1]

κp(A)=ApA1p for p{1,} (The condition number kappa_p(A) = ||A||_p ||A^{-1}||_p of a nonsingular linear system).

[L2]

The induced 1-norm is the maximum column sum and the induced -norm the maximum row sum (The induced 1-norm is the maximum column sum and the induced infinity-norm is the maximum row sum).

[L3]

For a nonsingular 2×2 matrix M=(abcd), M1=(adbc)1(dbca).

Verification

technique · direct
1.1

For A1, the column sums and row sums are {1,4}, so [L2] gives A11=A1=4; its inverse is diag(1,1/4), with column and row sums {1,1/4}, so A111=A11=1.

L2algebra
1.2

For A2, the column sums are {2,2+ε} and the row sums {2,2+ε}, so [L2] gives A21=A2=2+ε.

L2algebra
1.3

By [L3], A21=ε1(1+ε111), whose column sums and row sums are both {(2+ε)/ε,2/ε}, the first being larger; so [L2] gives A211=A21=(2+ε)/ε.

L2L3algebra
2.1

By [L1] and step 1.1, κ1(A1)=κ(A1)=41=4: for every right-hand side b0 a relative perturbation of b changes the solution by at most four times as much.

L1step 1.1algebra
2.2

By [L1], κ1(A2)=κ(A2)=(2+ε)2/ε, and at ε=1/100 this is (201/100)2100=2012/100=40401/100.

L1step 1.2step 1.3algebra
3.1

The two systems of the same shape therefore have condition numbers 4 and 40401/100404: the nearly singular one amplifies relative data perturbations about a hundred times more, and the contrast comes from the small determinant ε, not from large entries.

step 2.1step 2.2

Depends on

Used by

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Dependency tree · two levels

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