Ill-conditioning is measured by relative distance to singularity

Created almost 9 years ago, updated about 8 hours ago

An invertible matrix is ill-conditioned when its condition number is large in the chosen norm. A determinant close to zero is not a scale-independent test: $A=\varepsilon I_n$ has determinant $\varepsilon^n$ but $\kappa_2(A)=1$.

In the 2-norm, the distance to the nearest singular matrix is $\sigma_{\min}(A)$ and the relative distance is $\sigma_{\min}(A)/\sigma_{\max}(A)=1/\kappa_2(A)$. Thus “nearly singular” should mean small relative distance, with scale specified.

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