Propagation of uncertainty in the context of Condition number

👉 Propagation of uncertainty in the context of Condition number

In numerical analysis, the condition number of a function measures how much the output value of the function can change for a small change in the input argument. This is used to measure how sensitive a function is to changes or errors in the input, and how much error in the output results from an error in the input. Very frequently, one is solving the inverse problem: given $f(x)=y,$ one is solving for x, and thus the condition number of the (local) inverse must be used.

The condition number is derived from the theory of propagation of uncertainty, and is formally defined as the value of the asymptotic worst-case relative change in output for a relative change in input. The "function" is the solution of a problem and the "arguments" are the data in the problem. The condition number is frequently applied to questions in linear algebra, in which case the derivative is straightforward but the error could be in many different directions, and is thus computed from the geometry of the matrix. More generally, condition numbers can be defined for non-linear functions in several variables.

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Propagation of uncertainty in the context of Numerical linear algebra

Numerical linear algebra, sometimes called applied linear algebra, is the study of how matrix operations can be used to create computer algorithms which efficiently and accurately provide approximate answers to questions in continuous mathematics. It is a subfield of numerical analysis, and a type of linear algebra. Computers use floating-point arithmetic and cannot exactly represent irrational data, so when a computer algorithm is applied to a matrix of data, it can sometimes increase the difference between a number stored in the computer and the true number that it is an approximation of. Numerical linear algebra uses properties of vectors and matrices to develop computer algorithms that minimize the error introduced by the computer, and is also concerned with ensuring that the algorithm is as efficient as possible.

Numerical linear algebra aims to solve problems of continuous mathematics using finite precision computers, so its applications to the natural and social sciences are as vast as the applications of continuous mathematics. It is often a fundamental part of engineering and computational science problems, such as image and signal processing, telecommunication, computational finance, materials science simulations, structural biology, data mining, bioinformatics, and fluid dynamics. Matrix methods are particularly used in finite difference methods, finite element methods, and the modeling of differential equations. Noting the broad applications of numerical linear algebra, Lloyd N. Trefethen and David Bau, III argue that it is "as fundamental to the mathematical sciences as calculus and differential equations", even though it is a comparatively small field. Because many properties of matrices and vectors also apply to functions and operators, numerical linear algebra can also be viewed as a type of functional analysis which has a particular emphasis on practical algorithms.

View the full Wikipedia page for Numerical linear algebra

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Propagation of uncertainty in the context of Condition number

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👉 Propagation of uncertainty in the context of Condition number

Propagation of uncertainty in the context of Numerical linear algebra