Problems and conditioning

Let’s think a bit about what must be the easiest math problem you’ve dealt with in quite some time: adding one to a number. Formally, we describe this problem as a function \(f(x)=x+1\), where \(x\) is any real number. On a computer, \(x\) will be represented by its floating point counterpart, \(\fl(x)\). Given the property (3), we have \(\fl(x)=x(1+\epsilon)\), for some \(\epsilon\) satisfying \(|\epsilon| < \macheps/2\). There is no error in representing the value 1. Let’s suppose that we are fortunate and that the addition proceeds exactly, with no additional errors. Then the machine result is just

(7)\[ {y} = x(1+\epsilon)+1.\]

We can compute (in exact arithmetic) the relative error in this result:

(8)\[ \frac{|{y}-f(x)|}{|f(x)|} = \frac{| (x+\epsilon x+1) - (x+1) |}{|x+1|} = \frac{|\epsilon x|}{|x+1|} .\]

This error could be quite large if the denominator is small. In fact, we can make the relative error as large as we please by taking \(x\) very close to \(-1\). This is essentially what happened in Surprising arithmetic.

You may have encountered this situation before when using significant digits for scientific calculations. Suppose we round all results to five decimal digits, and we add \(-1.0012\) to \(1.0000\). The result is \(-0.0012\), or \(-1.2\times 10^{-3}\) in scientific notation. Notice that even though both operands are specified to five digits, it makes no sense to write more than two digits in the answer, because there is no information in the problem beyond their decimal places. This phenomenon is known as subtractive cancellation, or loss of significance. We may say that three digits were “lost” in the mapping from \(-1.0012\) to \(-0.0012\). There’s no way the loss could be avoided, regardless of the algorithm, once we decided to round off everything to a fixed number of digits.


Subtractive cancellation is one of the most common mechanisms introducing dramatic growth of errors in floating point computation.

In double precision, all of the values are represented to about 16 significant decimal digits, but it’s understood that subtractive cancellation may render some of those digits essentially meaningless.

Condition numbers

Now we consider problems more generally. As above, we represent a problem as a function \(f\) that maps a real data value \(x\) to a real result \(f(x)\). We abbreviate this situation by the notation \(f:\real \mapsto \real\), where \(\real\) represents the real number set.

When the problem \(f\) is approximated in floating point on a computer, the data \(x\) is represented as a floating point value \(\tilde{x}=\fl(x)\). Ignoring all other sources of error, we define the quantitative measure

(9)\[ \frac{ \vphantom{\dfrac{\bigl|}{\bigl|}}\dfrac{|f(x)-f(\tilde{x})|}{|f(x)|} }{% \vphantom{\dfrac{\bigl|}{\bigl|}}\dfrac{|x-\tilde{x}|}{|x|} },\]

which is the ratio of the relative changes in result and data. We make this expression more convenient if we recall that floating-point arithmetic gives \(\tilde{x}=x(1+\epsilon)\), for some value \(|\epsilon|\le \macheps/2\):

(10)\[ \dfrac{\left|f(x)-f\bigl(x(1+\epsilon)\bigr)\right|} {|\epsilon f(x)|}.\]

Finally, we imagine what happens in the ideal case of a perfect computer by taking a limit as \(\macheps\to 0\):

(11)\[ \kappa_f(x) = \lim_{\epsilon\to 0} \dfrac{|f(x)-f(x(1+\epsilon))|}{|\epsilon f(x)|}.\]

This quantity, which we call the relative condition number of the problem \(f(x)\), is an idealized ratio of the relative error of the output to the relative error of the input. It depends only on the problem and the data, not the computer or the algorithm.

Assuming that \(f\) has at least one continuous derivative, we can simplify the expression (11) through some straightforward manipulations:

(12)\[\begin{split}\begin{split} \kappa_f(x) &= \lim_{\epsilon\to 0} \left| \dfrac{ f(x+\epsilon x) - f(x) }{ \epsilon f(x)} \right| \\ &= \lim_{\epsilon\to 0} \left| \dfrac{ f(x+\epsilon x) - f(x) }{ \epsilon x} \cdot \frac{x}{f(x)} \right| \\ &= \left| \dfrac{ x f'(x)} {f(x)} \right|. \end{split}\end{split}\]

In retrospect it should come as no surprise that the change in values of \(f(x)\) due to small changes in \(x\) involves the derivative of \(f\). In fact, if we were making measurements of changes in absolute rather than relative terms, the condition number would simply be \(|f'(x)|\).

Example 2

Let’s return to our “add one” problem and generalize it slightly to \(f(x)=x-c\) for constant \(c\) (previously, we had \(c=-1\)). We easily compute, using (12),

(13)\[\kappa_f(x)=\left| \frac{(x)(1)}{x-c} \right| = \left| \frac{x}{x-c}\right|.\]

The result is simply the relative change (8) normalized by the size of the perturbation \(\epsilon\). The condition number is large when \(|x|\gg |x-c|\). There is of course no meaningful difference between addition and subtraction over real numbers. Furthermore, the situation is symmetric in \(x\) and \(c\); that is, if we perturbed \(c\) and not \(x\), the result would be \(|c|/|x-c|\).

Example 3

Another elementary operation is to multiply by a constant: \(f(x)=cx\) for nonzero \(c\). We compute

(14)\[\kappa_f(x) = \left| \dfrac{ x f'(x)} {f(x)} \right| = \left| \frac{(x)(c)}{cx} \right| = 1.\]

We conclude that multiplication by a real number leads to the same relative error in the result as in the data. In other words, multiplication does not have the potential for cancellation error that addition does.

Condition numbers of the major elementary functions are given in the following table.


Condition number

\(f(x) = x + c\)

\(\kappa_f(x) = \dfrac{\lvert x \rvert}{\lvert x+c\rvert}\)

\(f(x) = cx\)

\(\kappa_f(x) = 1\)

\(f(x) = x^p\)

\(\kappa_f(x) = \lvert p \rvert\)

\(f(x) = e^x\)

\(\kappa_f(x) = \lvert x \rvert\)

\(f(x) = \sin(x)\)

\(\kappa_f(x) = \lvert x\cot(x) \rvert\)

\(f(x) = \cos(x)\)

\(\kappa_f(x) = \lvert x\tan(x) \rvert\)

\(f(x) = \log(x)\)

\(\kappa_f(x) = \dfrac{1}{\lvert \log(x) \rvert}\)

As you are asked to show in an exercise, when two functions \(f\) and \(g\) are combined in a chain \(h(x)=f\bigl(g(x)\bigr)\), the composite condition number is

(15)\[\kappa_h(x) = \kappa_f(g(x)) \cdot \kappa_g(x).\]

Roughly speaking, if \(|\epsilon|\) is small, we expect (refer to (11))

\[\left| \dfrac{ f(x+\epsilon x) - f(x) }{ f(x)} \right| \approx \kappa_f(x)\, |\epsilon|.\]

That is, whenever the data \(x\) is perturbed by a small amount, we expect the relative change to be magnified by a factor of \(\kappa_f(x)\) in the result. Large condition numbers signal when errors cannot be expected to remain comparable in size to roundoff error. We call a problem poorly conditioned or ill-conditioned when \(\kappa_f(x)\) is large. If \(\kappa_f \approx 10^d\), then we expect to “lose” up to \(d\) decimal digits of accuracy in computing \(f(x)\) from \(x\). If \(\kappa_f \approx 1/\macheps\), then we can expect the result to be changed by as much as 100% simply by expressing \(x\) in finite precision.

Example 4

Consider the problem \(f(x)= \cos(x)\). By the table above, \(\kappa_f(x) = |x \tan x|\). There are two different ways in which \(\kappa\) might become large:

  • If \(|x|\) is very large, then perturbations that are small relative to \(x\) may still be large compared to \(1\). Because \(|f(x)|\le 1\) for all \(x\), this implies that the perturbation will be large relative to the result, too.

  • The condition number grows without bound as \(x\) approaches an odd integer multiple of \(\pi/2\), where \(f(x)=0\). A perturbation which is small relative to a nonzero \(x\) may not be small relative to \(f(x)\) in such a case.

You may have noticed that for some functions, such as the square root, the condition number can be less than one. This means that relative changes get smaller in the passage from input to output. However, every result in floating point arithmetic is still subject to rounding error at the relative level of \(\macheps\), so \(\kappa<1\) is no better than \(\kappa=1\) in context.

Multidimensional problems

Most problems have multiple input and output values. These introduce some complications into the formal definition of the condition number. Rather than worry over those details here, we can still look at variations in only one output and one input value at a time.

Example 5

Consider the problem of finding the roots of a quadratic polynomial; that is, the values of \(t\) for which \(at^2+bt+c=0\). Here the data are the coefficients \(a\), \(b\), and \(c\) that define the polynomial, and the solution to the problem are the two (maybe complex-valued) roots \(t_1\) and \(t_2\). Formally, we might write \(f([a,b,c])=[t_1,t_2]\) using vector notation.

In order to simplify matters, we will pick one root called \(r\), and first consider what happens as we vary just the leading coefficient \(a\). This suggests a scalar function \(f(a)=r\). We could use the quadratic formula to express \(f\) explicitly, but it’s a bit easier to start from $ ar^2 + br + c = 0$ and use the technique of implicit differentiation to find \(dr/da\), while \(b\) and \(c\) are held fixed. Taking \(d/da\) of both sides and applying the chain rule, we get

\[r^2 + 2a r \left(\frac{dr}{da}\right) + b \,\frac{dr}{da} = 0.\]

Solving for the derivative, we obtain

(16)\[\frac{dr}{da} = \frac{-r^2}{2a r + b} = \frac{-r^2}{\pm \sqrt{b^2-4ac}},\]

where in the last step we have applied the quadratic formula for the root \(r\). Finally, the condition number for the problem \(f(a)=r\) is

(17)\[\kappa(a) = \left|\frac{a}{r} \cdot \frac{dr}{da} \right| = \left| \frac{a r}{ \sqrt{b^2-4ac}} \right| = \left| \frac{r}{ t_1-t_2} \right|,\]

where we used the fact that the two roots of the original polynomial satisfy \(|t_1-t_2|=|\sqrt{b^2-4ac}/a|\). Thus, we can expect poor conditioning in the rootfinding problem if and only if \(|r| \gg |t_1-t_2|\); i.e., if the two roots of the quadratic are much closer to each other than to the origin. Similar conclusions apply for variations with respect to the coefficients \(b\) and \(c\) while the others are held fixed.

Note that the condition number of a root of a quadratic polynomial, as a function of its leading coefficient, can be arbitrarily large. In the extreme case of a double root, the condition number is formally infinite, which implies that the ratio of changes in the root to change in the coefficient \(a\) cannot be bounded. While we usually think about these sensitivities in terms of numerical roundoff error, they apply to all sources of error, including measurement error or model uncertainty.


  1. ✍ Use (12) to derive the relative condition numbers of the following functions appearing in the table in this section.

    (a) \(f(x) = x^p,\quad\) (b) \(f(x) = \log(x),\quad\) (c) \(f(x) = \cos(x),\quad\) (d) \(f(x) = e^x\).

  2. ✍ Use the chain rule (15) to find the condition number of the given function. Then check your result by applying (12) directly.

    (a) \(f(x) = \sqrt{x+5},\quad\) (b) \(f(x) = \cos(2\pi x),\quad\) (c) \(f(x) = e^{-x^2}.\)

  3. ✍ Calculate the condition number of each function, and identify all values of \(x\) at which \(\kappa_{f}(x)\to\infty\) (including limits as \(x\to\pm\infty\)).

    (a) \(f(x) = \tanh(x),\quad\) (b) \(f(x) = \dfrac{e^x-1}{x},\quad\) (c) \(f(x) = \dfrac{1-\cos(x)}{x}.\)

  4. ✍ Suppose that \(f\) and \(g\) are real-valued functions that have condition numbers \(\kappa_f\) and \(\kappa_g\), respectively. Define a new function \(h(x)=f\bigl(g(x)\bigr)\). Show that for \(x\) in the domain of \(h\), the condition number of \(h\) satisfies (15).

  5. ✍ Suppose that \(f\) is a function with condition number \(\kappa_f\), and that \(f^{-1}\) is its inverse function. Show that the condition number of \(f^{-1}\) satisfies

    \[\kappa_{f^{-1}}(x) = \frac{1}{\kappa_f\Bigl( f^{-1}(x) \Bigr)},\]

    provided the denominator is nonzero.

  6. ✍ Referring to the derivation of (17), derive an expression for the relative condition number of a root of \(ax^2+bx+c=0\) due to perturbations in \(b\) only.

  7. The polynomial \(x^2-2x+1\) has a double root \(r=1\).

    (a) ✍ Using a computer or calculator, make a table of the roots of \(x^2-(2+\epsilon)x+1\) for \(\epsilon = 10^{-4}\), \(10^{-6}\), \(\ldots\), \(10^{-12}\).

    (b) ✍ What do the results of part (a) seem to imply about the condition number of the root?

  8. ✍ Generalize (17) to finding a root of the \(n\)th degree polynomial \(p(x) = a_nx^n + \cdots + a_1 x + a_0\), and show that the relative condition number of a root \(r\) with respect to perturbations only in \(a_k\) is

    \[\kappa_r(a_k) = \left| \frac{a_k r^{k-1}}{p'(r)} \right|.\]