Mercurial > octave
annotate scripts/linear-algebra/cond.m @ 23220:092078913d54
maint: Merge stable to default.
author | John W. Eaton <jwe@octave.org> |
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date | Wed, 22 Feb 2017 12:58:07 -0500 |
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1 ## Copyright (C) 1993-2017 John W. Eaton |
2313 | 2 ## |
3 ## This file is part of Octave. | |
4 ## | |
5 ## Octave is free software; you can redistribute it and/or modify it | |
6 ## under the terms of the GNU General Public License as published by | |
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7 ## the Free Software Foundation; either version 3 of the License, or |
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8 ## (at your option) any later version. |
2313 | 9 ## |
10 ## Octave is distributed in the hope that it will be useful, but | |
11 ## WITHOUT ANY WARRANTY; without even the implied warranty of | |
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12 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the |
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13 ## GNU General Public License for more details. |
2313 | 14 ## |
15 ## You should have received a copy of the GNU General Public License | |
7016 | 16 ## along with Octave; see the file COPYING. If not, see |
17 ## <http://www.gnu.org/licenses/>. | |
245 | 18 |
3372 | 19 ## -*- texinfo -*- |
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20 ## @deftypefn {} {} cond (@var{A}) |
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21 ## @deftypefnx {} {} cond (@var{A}, @var{p}) |
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22 ## Compute the @var{p}-norm condition number of a matrix with respect to |
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23 ## inversion. |
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24 ## |
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25 ## @code{cond (@var{A})} is defined as |
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26 ## @tex |
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27 ## $ {\parallel A \parallel_p * \parallel A^{-1} \parallel_p .} $ |
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28 ## @end tex |
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29 ## @ifnottex |
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30 ## @code{norm (@var{A}, @var{p}) * norm (inv (@var{A}), @var{p})}. |
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31 ## @end ifnottex |
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32 ## |
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33 ## By default, @code{@var{p} = 2} is used which implies a (relatively slow) |
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34 ## singular value decomposition. Other possible selections are |
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35 ## @code{@var{p} = 1, Inf, "fro"} which are generally faster. See @code{norm} |
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36 ## for a full discussion of possible @var{p} values. |
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37 ## |
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38 ## The condition number of a matrix quantifies the sensitivity of the matrix |
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39 ## inversion operation when small changes are made to matrix elements. Ideally |
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40 ## the condition number will be close to 1. When the number is large this |
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41 ## indicates small changes (such as underflow or round-off error) will produce |
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42 ## large changes in the resulting output. In such cases the solution results |
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43 ## from numerical computing are not likely to be accurate. |
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44 ## @seealso{condest, rcond, condeig, norm, svd} |
3372 | 45 ## @end deftypefn |
4 | 46 |
2314 | 47 ## Author: jwe |
48 | |
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49 function retval = cond (A, p = 2) |
4 | 50 |
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51 if (nargin < 1 || nargin > 2) |
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52 print_usage (); |
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53 endif |
7484 | 54 |
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55 if (ndims (A) > 2) |
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56 error ("cond: A must be a 2-D matrix"); |
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57 endif |
4890 | 58 |
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59 if (p == 2) |
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60 if (isempty (A)) |
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61 retval = 0.0; |
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62 elseif (any (! isfinite (A(:)))) |
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63 error ("cond: A must not contain Inf or NaN values"); |
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64 else |
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65 sigma = svd (A); |
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66 sigma_1 = sigma(1); |
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67 sigma_n = sigma(end); |
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68 if (sigma_1 == 0 || sigma_n == 0) |
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69 retval = Inf; |
7484 | 70 else |
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71 retval = sigma_1 / sigma_n; |
7484 | 72 endif |
3250 | 73 endif |
4 | 74 else |
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75 retval = norm (A, p) * norm (inv (A), p); |
4 | 76 endif |
77 | |
78 endfunction | |
7411 | 79 |
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80 |
7484 | 81 %!test |
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82 %! y = [7, 2, 3; 1, 3, 4; 6, 4, 5]; |
7484 | 83 %! tol = 1e-6; |
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84 %! type = {1, 2, "fro", "inf", inf}; |
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85 %! for n = 1:numel (type) |
7484 | 86 %! rcondition(n) = 1 / cond (y, type{n}); |
87 %! endfor | |
88 %! assert (rcondition, [0.017460, 0.019597, 0.018714, 0.012022, 0.012022], tol); | |
7411 | 89 |
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90 %!assert (cond ([1, 2; 2, 1]), 3, sqrt (eps)) |
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91 %!assert (cond ([1, 2, 3; 4, 5, 6; 7, 8, 9]) > 1.0e+16) |
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93 %!error cond () |
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94 %!error cond (1, 2, 3) |
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95 %!error <A must be a 2-D matrix> cond (ones (1,3,3)) |
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96 %!error <A must not contain Inf or NaN value> cond ([1, 2;Inf 4]) |
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97 %!error <A must not contain Inf or NaN value> cond ([1, 2;NaN 4]) |