Searching for Rare Growth Factors Using Multicanonical Monte Carlo Methods

  • Authors:
  • Tobin A. Driscoll;Kara L. Maki

  • Affiliations:
  • -;-

  • Venue:
  • SIAM Review
  • Year:
  • 2007

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Abstract

The growth factor of a matrix quantifies the amount of potential error growth possible when a linear system is solved using Gaussian elimination with row pivoting. While it is an easy matter [N. J. Higham and D. J. Higham, SIAM J. Matrix Anal. Appl., 10 (1989), pp. 155-164] to construct examples of $n\times n$ matrices having any growth factor up to the maximum of $2^{n-1}$, the weight of experience and analysis [N. J. Higham, Accuracy and Stability of Numerical Algorithms, SIAM, Philadelphia, 1996], [L. N. Trefethen and R. S. Schreiber, SIAM J. Matrix Anal. Appl., 11 (1990), pp. 335-360], [L. N. Trefethen and I. D. Bau, Numerical Linear Algebra, SIAM, Philadelphia, 1997] suggest that matrices with exponentially large growth factors are exceedingly rare. Here we show how to conduct numerical experiments on random matrices using a multicanonical Monte Carlo method to explore the tails of growth factor probability distributions. Our results suggest, for example, that the occurrence of an $8\times 8$ matrix with a growth factor of 40 is on the order of a once-in-the-age-of-the-universe event.