, Volume 85, Issue 4, pp 553-577

The condition number of real Vandermonde, Krylov and positive definite Hankel matrices

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Summary.

We show that the Euclidean condition number of any positive definite Hankel matrix of order \(n\geq 3\) may be bounded from below by \(\gamma^{n-1}/(16n)\) with \(\gamma=\exp(4 \cdot{\it Catalan}/\pi) \approx 3.210\) , and that this bound may be improved at most by a factor \(8 \gamma n\) . Similar estimates are given for the class of real Vandermonde matrices, the class of row-scaled real Vandermonde matrices, and the class of Krylov matrices with Hermitian argument. Improved bounds are derived for the case where the abscissae or eigenvalues are included in a given real interval. Our findings confirm that all such matrices – including for instance the famous Hilbert matrix – are ill-conditioned already for “moderate” order. As application, we describe implications of our results for the numerical condition of various tasks in Numerical Analysis such as polynomial and rational i nterpolation at real nodes, determination of real roots of polynomials, computation of coefficients of orthogonal polynomials, or the iterative solution of linear systems of equations.

Received December 1, 1997 / Revised version received February 25, 1999 / Published online 16 March 2000