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For questions about calculating or interpreting condition numbers. Most commonly refers to the condition number of a matrix, but can be applied generally to analyzing the error in a function based on error in the input.

3 votes
1 answer
1k views

Non-linear root finding when the Jacobian is almost singular

I'm trying to solve a system non linear-equations: $$ \frac{\partial K(\mathbf{\lambda})}{\partial \lambda_i} - c_i = 0 $$ for $i = 1, \dots, 15$, using Newton's method: $$ \lambda^{k + 1} = \lambda^k …
Jugurtha's user avatar
  • 707
5 votes
2 answers
290 views

Imposing invertibility on a Matrix

I have a symmetric positive semidefinite covariance matrix $A$, which is approximately computed as the output of a quadratic regression. I then need to invert $A$, but often it is close to singular. I …
Jugurtha's user avatar
  • 707