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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 …
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 …