Numerical tool to compute the spectral radius or condition number of a big matrix

119 Views Asked by At

I am looking for a numerical tool to compute the (approximate) spectral radius or condition number of a large matrix. I used PETSc to do the same for 'smaller' matrices but for big matrices PETSc fails, probable due memory limitations of my laptop. Perhaps someone might know any other numerical tool?

1

There are 1 best solutions below

0
On

You can take the randomised Svd algorithm that samples a big matrix and take $k<\min(m,n)$ columns.From the output $\Sigma$ matrix take the ratio $\frac{\sigma_{1}}{\sigma_{k}}$ and you will have an very good approximation of the condition number. in this link you can find some easy to go functions implementing this algorithm.