Nuclear Norms of Rank 2 Matrices for Spectral Condition Numbers of Full Rank Linear Least Squares Solutions

Abstract

The condition number of solutions to full rank linear least-squares problem are shown to be given by an optimization problem that involves nuclear norms of rank 2 matrices. The condition number is with respect to the least-squares coefficient matrix and 2-norms. It depends on three quantities each of which can contribute ill-conditioning. The literature presents several estimates for this condition number with varying results; even standard reference texts contain serious overestimates. The use of the nuclear norm affords a single derivation of the best known lower and upper bounds on the condition number and shows why there is unlikely to be a closed formula.

arXiv comment15 pages, 1 figure, 1 table