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The reciprocal spectral condition number is the relative distance to singularity
Statement
Let , let , let be its singular values, and let be the spectral (operator) norm. Then:
- Smallest singular value as a minimum. .
- Distance to singularity. and the minimum is attained.
- Relative distance. where is the condition number of The condition number kappa_p(A) = ||A||_p ||A^{-1}||_p of a nonsingular linear system. Equivalently, .
In words: the nearest singular matrix to lies at spectral distance , and that distance relative to the scale is exactly .
Facts & Assumptions
Given: An invertible real matrix with , its singular values , and a matrix .
There is a singular value decomposition with orthogonal and diagonal of the singular values (Every linear map between finite-dimensional real or complex inner product spaces admits a singular value decomposition).
The operator norm equals the largest singular value, attained at a right-singular vector (The operator norm is 0 on the zero domain and otherwise equals the largest singular value, attained at a right-singular vector).
The rank of a matrix is the number of its positive singular values (The rank of a linear map is the number of its nonzero singular values).
A square matrix is invertible exactly when it has rank (Invertible matrix theorem: invertibility, full pivot rank, RREF , trivial nullspace and unique solvability are equivalent).
Unitary invariance and the singular-value formulas of Spectral and Frobenius norms are unitarily invariant, are given by singular values, and satisfy the sharp rank comparison: for orthogonal the matrices and have the same singular values, and .
Proof
Write as in [L1]. For every unit vector , expanding in the right-singular basis gives , the last equality because is orthogonal.
Attainment. Let and be the last columns of and from [L1], and put . Then has a zero on its last diagonal position, so its smallest singular value is ; by [L3] its rank is at most , and by [L4] it is singular.
At the last right-singular vector, , so the lower bound of step 1.1 is attained and , which is claim 1.
Lower bound on the distance. If makes singular then has rank at most , and by [L3] its smallest singular value is . Every unit vector satisfies , using claim 1 and the operator-norm bound of [L2].
If then step 3.1 gives for every unit , so the minimum of claim 1 applied to is positive and every singular value of is positive; by [L3] its rank is , and by [L4] it is invertible. Hence no with makes singular: the distance is at least .
The rank-one matrix has the singular values , so [L2] gives ; combined with step 4.1, the minimum distance is exactly and is attained, which is claim 2.
By [L5], ; and by [L1], a matrix with singular values , so [L2] gives . Hence by The condition number kappa_p(A) = ||A||_p ||A^{-1}||_p of a nonsingular linear system, and claim 3 follows with claim 2.
Claims 1, 2 and 3 are steps 2.1, 5.1 and 6.1.
Depends on
- The condition number kappa_p(A) = ||A||_p ||A^{-1}||_p of a nonsingular linear system
- Spectral and Frobenius norms are unitarily invariant, are given by singular values, and satisfy the sharp rank comparison
- Every linear map between finite-dimensional real or complex inner product spaces admits a singular value decomposition
- The operator norm is 0 on the zero domain and otherwise equals the largest singular value, attained at a right-singular vector
- Invertible matrix theorem: invertibility, full pivot rank, RREF $I$, trivial nullspace and unique solvability are equivalent
- The rank of a linear map is the number of its nonzero singular values
Used by
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Sources
- James Demmel, Math 221 Lecture 3: Vector Norms, Matrix Norms, and Condition Numbers (standard reference, not scraped)
- L. N. Trefethen and D. Bau III, Numerical Linear Algebra, Lecture 12 (standard reference, not scraped)