On 9/7/11 1:07 PM, Ted Dunning wrote: > Does the LUDecomposition not use pivots? Yes > 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.
Me to. > > Perhaps the only real difference between the two methods in this one case is > a difference in threshold. Yup. I think QR is effectively bugged because there is no 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 >> >> --------------------------------------------------------------------- >> To unsubscribe, e-mail: dev-unsubscr...@commons.apache.org >> For additional commands, e-mail: dev-h...@commons.apache.org >> >> --------------------------------------------------------------------- To unsubscribe, e-mail: dev-unsubscr...@commons.apache.org For additional commands, e-mail: dev-h...@commons.apache.org
