Estimate the 2-norm of a real (or complex-valued) matrix.
2-norm is also the maximum absolute eigenvalue of M, computed here
using the power method.

Usage

normest(M, maxiter = 100, tol = .Machine$double.eps^(1/2))

Arguments

M

Numeric matrix; vectors will be considered as column vectors.

maxiter

Maximum number of iterations allowed; default: 100.

tol

Tolerance used for stopping the iteration.

Value

2-norm of the matrix as a positive real number.

Details

Estimate the 2-norm of the matrix M, typically used for large or
sparse matrices, where the cost of calculating the norm (A) is
prohibitive and an approximation to the 2-norm is acceptable.
Theoretically, the 2-norm of a matrix $M$ is defined as

$||M||_2 = max \frac{||M*x||_2}{||x||_2}$ for all $x \neq 0$

where $||.||_2$ is the Euclidean/Frobenius norm.

References

Trefethen, L. N., and D. Bau III. (1997). Numerical Linear Algebra. SIAM,
Philadelphia.