Condition number estimate of a symmetric indefinite matrix

The algorithm which estimates the condition number of a symmetric positive definite matrix is similar to the algorithm which evaluates condition number of a general matrix, the only difference is that, during the evaluation, LDLT-decomposition is used instead of LU-decomposition. Therefore, we will not examine the principles of the algorithm here, since it can be found by following the link above.

This module consists of two subroutines: SMatrixLDLTRCond and SMatrixRCond. The first subroutine estimates the condition number of a matrix given by LDLT-decomposition, and the second one estimates the condition number of a matrix whose LDLT-decomposition hasn't been generated yet. Because 1-norm and ∞-norm of symmetric matrices are equal, there is no individual subroutine for each type of norm.

This algorithm is transferred from the LAPACK library.

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