The relative error in the approximation of the true solution has a drawback: it often cannot be computed directly, because it depends on the unknown quantity . However, we can often instead estimate , since is known (it is the output of our algorithm). Fortunately, these two quantities are necessarily close together, provided either one is small, which is the only time they provide a useful bound anyway. For example, implies

so they can be used interchangeably.

Table 4.2 contains a variety of norms we will use to
measure errors.
These norms have the properties that
, and
, where `p` is one of
1, 2, , and `F`. These properties are useful for deriving
error bounds.

An error bound that uses a given norm may be changed into an error bound
that uses another norm. This is accomplished by multiplying the first
error bound by an appropriate function of the problem dimension.
Table 4.3 gives the
factors such that , where
`n` is the dimension of `x`.

**Table 4.3:** Bounding One Vector Norm in Terms of Another

Table 4.4 gives the
factors such that , where
`A` is `m`-by-`n`.

**Table 4.4:** Bounding One Matrix Norm in Terms of Another

The two-norm of `A`, , is also called the **spectral
norm** of `A`, and is equal to the **largest singular value**
of `A`.
We shall also need to refer to the **smallest singular value**
of `A`; its value can be defined in a similar way to
the definition of the two-norm in Table 4.2, namely as
when `A`
has at least as many rows as columns, and defined as
when `A` has more
columns than rows. The two-norm,
Frobenius norm ,
and singular values of a matrix do not change
if the matrix is multiplied by a real orthogonal (or complex unitary) matrix.

Now we define *subspaces* spanned by more than one vector,
and *angles between subspaces*.
Given a set of `k`
`n`-dimensional vectors , they determine
a subspace `S` consisting of all their possible linear combinations
, scalars . We also
say that *spans* `S`.
The difficulty in measuring the difference between subspaces is that
the sets of vectors spanning them are not unique.
For example, **{ x}**,

LAPACK routines which compute subspaces return
vectors spanning a subspace
which are *orthonormal*. This means the
`n`-by-`k` matrix
satisfies . Suppose also that
the vectors spanning `S`
are orthonormal, so also
satisfies .
Then there is a simple expression for the angle between
and `S`:

For example, if

then .

As stated above, all our bounds will contain a factor
`p`(`n`) (or `p`(`m`,`n`)), which measure how roundoff errors can grow
as a function of matrix dimension `n` (or `m` and `n`).
In practice, the true error usually grows just linearly with `n`,
but we can generally only prove much weaker bounds of the form .
This is because we can not rule out the extremely unlikely possibility of rounding
errors all adding together instead of canceling on average. Using
would give very pessimistic and unrealistic bounds, especially
for large `n`, so we content ourselves with describing `p`(`n`) as a
``modestly growing'' polynomial function of `n`. Using `p`(`n`) = 10`n` in
the error bound formulas will often give a reasonable bound.
For detailed derivations of various
`p`(`n`), see [78][45].

There is also one situation where `p`(`n`) can grow as large as :
Gaussian elimination. This typically occurs only on specially constructed
matrices presented in numerical analysis courses [p. 212]wilkinson1.
However, the expert drivers for solving linear systems, xGESVX and xGBSVX,
provide error bounds incorporating `p`(`n`), and so this rare possibility
can be detected.

Tue Nov 29 14:03:33 EST 1994