2.

13: How to compute matrix norms

Matrix norms are computed by applying the following formulas: 1-norm (Th. 2.8): A
1

= maxj =1:n

n i=1 |aij |

maximal column sum

-norm (Th. 2.7):

= maxi=1:n

n j =1 |aij |

maximal row sum

2-norm (Th. 2.9):

C. F uhrer: FMN081-2005

= maxi=1:n

i(ATA)

where i(ATA) is the ith eigenvalue of ATA.

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2.14: Condition of a Problem

A mathematical problem can be viewed as a function mapping in-data to out-data (solution): f :DVW Condition number is a measure for the sensitivity of the out-data with respect to perturbations in in-data. Scalar case: y = f (x) and y = f (x + x): 1 y y = f (x + x) f (x) = f (x)x + f (x + x)(x)2 2!
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2.15: Condition of a Problem (Cont.)

Scalar case, relative: y y = y xf (x) f (x) x + O(x2) x relative (local) condition number condx(f ) = xf (x) f (x)

absolut (local) condition number Condx = |f (x)|

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2.16: Condition of a Problem (Cont.)

In general absolut (local) condition number Condx = f (x) relative (local) condition number condx(f ) = x f (x) f (x)

and we get rel.output error condx(f ) rel.input error

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2.17: Examples
Example 1: (Summation)

Problem: f : R2 R1 with Jacobian: In 1-norm:

x1 x2

x1 + x2

f (x1, x2)T = 1, 1 Condx1,x2 (f ) = 1 condx1,x2 (f ) =

|x1| + |x2| |x1 + x2| Problem if two nearly identical numbers are subtracted.
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2.18: Examples (Cont.)

Example 2: (Linear Systems)

Problem: f : Rn Rn with b x = A1b Jacobian: In 1-norm: f b = A1 Condb(f ) = A1 b A1 A x A1 1 = A A =: (A) 1 A b x

50

condb(f ) =
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2.19: Examples (Cont.)

The estimate is sharp, i.e. there is a worst case perturbation Example:

A=

103 0 0 103

b=

1 0

b =

0 105

(see the exercises of the current week and Exercise 2.14 in the book.)
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Unit 3: Systems of nonlinear functions

Example (p. 107) f1(x1, x2) f2(x1, x2)
2 x2 1 + x2 1 2 5x2 1 + 21x2 9

F (x) =
1 0.5 0 -0.5 -1 -1 -0.5 0 0.5 1

=0

f1 f2

1 = ( 3/2, 1/2)T 2 = ( 3/2, 1/2)T 3 = ( 3/2, 1/2)T 4 = ( 3/2, 1/2)T

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3.1 Fixed Point Iteration in Rn

Denition. [4.1] Let g : D Rn Rn, D closed (cf. p. 105), x0 D and g (D) D. The iteration xk+1 = g (xk ) is called xed point iteration or simple iteration. and similar to the scalar case we dene Denition. [4.2] Let g : D Rn Rn, D closed (cf. p. 105). If there is a constant L < 1 such that g (x) g (y ) L x y then g is called contractive or contractive.
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3.2 Contractivity and norms

Contractivity depends on the choice of a norm. Here a function, which is contractive in one norm, but not in another 3/4 1/3 x 0 3/4

g (x) = It follows

g (x) g (y ) = A(x y ) A x y Thus L = A . But A = A =

13 12

and A

= 0.9350.

g is contractive in the 2-norm and dissipative and the others.

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3.3 Contractivity and norms (Cont.)

We start a xed point iteration in the last example with x = (1, 1)T and get the following norms:
2 1 1.5 2 1 0.5 0 0 1 2 3 4 5 6 7 8 9 10 inf different norms of fixed point iterates

(see also equivalence of norms)

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3.4 Fixed Point Theorem in Rn

Theorem. [4.1] Let g : D Rn Rn, D closed, g (D) D. If there is a norm such that g is contractive, then g has a unique xed point D and the xed point iteration converges.

Let J (x) be the Jacobian (functionalmatrix erdim) of g .

If J ( ) < 1 then xed point iterations converges in a neighborhood of . (Th. 4.2)

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