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The study of the propagation of errors in a numerical algorithm.

3 votes
Accepted

Bounding error of float32 matrix multiplication

See for instance (3.13) in Higham's Accuracy and Stability of Numerical Algorithms: if $C=AB$ and $\hat{C}$ is its computed version, then $$ |C-\hat{C}| \leq \gamma_n |A|\,|B|, $$ where the absolute values …
Federico Poloni's user avatar
1 vote

Determine stability of an algorithm?

The first thing you can do is determining the convergence rate experimentally. To do it, it is enough to plot error vs. iteration in a log-log scale and check the slope of the line that connects the i …
Federico Poloni's user avatar
5 votes

Advantage of diagonal "jitter" for numerical stability?

Technically speaking, it does not affect the numerical stability of that algorithm, but it modifies the problem to a more well-conditioned one, from $\min \|\Phi \theta - y\|^2$ to $$\min \|\Phi \theta …
Federico Poloni's user avatar
12 votes
Accepted

Computing $\frac{x - y}{x - z}$ when $x,y,z$ are close to each other

If your inputs are $x,y,z$, this computation is not unstable, but ill-conditioned. That's worse, because it means that a small change in your input (such as a previous approximation as a floating-poin …
Federico Poloni's user avatar
2 votes
Accepted

Conditioning and Stability of generalized eigenvalue problem

(1) [EDIT: fixed significantly with respect to the first version] Let $\lambda$ be an eigenvalue of $A$, and $\tilde{\lambda}$ the closest eigenvalue of a perturbed matrix $A+E$. If $A=VDV^{-1}$ is di …
Federico Poloni's user avatar