matrix-hilbert: Hilbert matrix

In fBasics: Rmetrics - Markets and Basic Statistics

Hilbert matrix

Description

Creates a Hilbert matrix.

Usage

hilbert(n)

Arguments

n	an integer value, the dimension of the square matrix.

Details

An n,n matrix with (i,j)th element equal to 1/(i+j-1) is said to be a Hilbert matrix of order n. Hilbert matrices are symmetric and positive definite.

They are canonical examples of ill-conditioned matrices, making them notoriously difficult to use in numerical computation. For example, the 2-norm condition number of a 5x5 Hilbert matrix above is about 4.8e5.

Value

a matrix

References

Hilbert D., Collected papers, vol. II, article 21.

Beckermann B, (2000); The condition number of real Vandermonde, Krylov and positive definite Hankel matrices, Numerische Mathematik 85, 553–577, 2000.

Choi, M.D., (1983); Tricks or Treats with the Hilbert Matrix, American Mathematical Monthly 90, 301–312, 1983.

Todd, J., (1954); The Condition Number of the Finite Segment of the Hilbert Matrix, National Bureau of Standards, Applied Mathematics Series 39, 109–116.

Wilf, H.S., (1970); Finite Sections of Some Classical Inequalities, Heidelberg, Springer.

Examples

## Create a Hilbert Matrix:
H = hilbert(5)
H                              

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