Solution Matrix Conditioning


Description Method See Also

Description

To perform most regression types, the software must perform a true matrix inversion to obtain results.  The condition number provides a measure of how well-suited a problem is for numerical computations.  A matrix with a low condition number is well-suited for inversion; a matrix with a high condition number may cause problems when being inverted.

The software calculates a reciprocal condition number for all regression prior to proceeding to steps where inverse operations will be performed.  The reciprocal condition is compared to a threshold value; if the reciprocal condition number falls below the threshold, the calculation is stopped to avoid any numerical problems, including possible software failure.

Method

The software uses the LAPACK function DGECON to compute the reciprocal condition number.  Most classes in the software make use of 1.0E-15 as the minimum reciprocal condition number to check for numerical safety.  

See Also

Condition Number (Wikipedia)
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