It shouldn't be all that different from QR (at most about 2x different).

On Wed, Sep 7, 2011 at 1:16 PM, Greg Sterijevski <gsterijev...@gmail.com>wrote:

> It is also my recollection that LU is very quick to calculate. Would it be
> possible to allow users to choose?
>
> On Wed, Sep 7, 2011 at 3:07 PM, Ted Dunning <ted.dunn...@gmail.com> wrote:
>
> > Does the LUDecomposition not use pivots?  LU should always do so since it
> > is
> > numerically unstable otherwise.  I would be surprised if it doesn't given
> > the normal level of quality in commons math.
> >
> > QR is, of course, almost always preferable to LU as you note.  But I
> would
> > be surprised at radically different answers.
> >
> > Perhaps the only real difference between the two methods in this one case
> > is
> > a difference in threshold.
> >
> > What is the condition number of your matrix?
> >
> > On Wed, Sep 7, 2011 at 6:34 AM, Gilles Sadowski <
> > gil...@harfang.homelinux.org> wrote:
> >
> > > Hi.
> > >
> > > > >>>
> > > > >>>In class "AbstractLeastSquaresOptimizer" (in
> > > "o.a.c.m.optimization.general"),
> > > > >>>the method "getCovariances()" uses "LUDecompositionImpl" to
> compute
> > > the
> > > > >>>inverse of a matrix.
> > > > >>>In my application, this leads to a "SingularMatrixException". If I
> > > change
> > > > >>>"LUDecompositionImpl" to "QRDecompositionImpl", no exception is
> > > raised.
> > > > >>>Also, keeping "LUDecompositionImpl" but passing a much lower
> > > singularity
> > > > >>>threshold, does not raise the exception either.
> > > > >>>
> > > > >>>Thus, I wonder whether there was a reason for using "LU", and if
> > not,
> > > > >>>whether I could change the decomposition solver to "QR" (as this
> is
> > a
> > > > >>>cleaner solution than guessing a good value for the threshold).
> > > > >>
> > > > >>There are no reason for LU decomposition, and QR decomposition is
> > > > >>known to be more stable. So I would also consider switching to this
> > > > >>algorithm is a cleaner solution.
> > > > >
> > > > >Fine. I'll open a JIRA issue.
> > > > >
> > > > >A unit test "testNonInvertible" in "LevenbergMarquardtOptimizerTest"
> > > fails
> > > > >with the change to "QRDecomposition" because no
> > > "SingularMatrixException"
> > > > >is raised anymore.
> > > > >What was the purpose of that test?
> > > >
> > > > The purpose was to check that impossible problems were detected
> > properly.
> > >
> > > My question should have been clearer: Was the previous behaviour
> correct
> > > (i.e. an exception *must* be raised somehow)?
> > > The switch to "QR" seems to imply that a previously impossible problem
> is
> > > now quite possible.  So, is the problem really impossible or was the
> test
> > > actually testing a fragile implementation of "getCovariances()"?
> > >
> > >
> > > Regards,
> > > Gilles
> > >
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> > >
> >
>

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