De l’utilization en calcul matriciel de modèles probabilistes pour la simulation des erreurs de calcul. (On the use of probabilistic models for the simulation of round-off errors in matrix computations). (French) Zbl 0657.65059
We present a model to simulate round-off error propagation when solving a linear system or an eigenproblem via a stable algorithm. The main tools are backward error analysis, a version of the central limit theorem for the stability of the algorithm, and analytic perturbation theory for the condition of the problem.
MSC:
| 65G50 | Roundoff error |
| 65F35 | Numerical computation of matrix norms, conditioning, scaling |
| 65F05 | Direct numerical methods for linear systems and matrix inversion |
| 65F15 | Numerical computation of eigenvalues and eigenvectors of matrices |
