I offer the Mahout implementation from MAHOUT-792 (not yet committed) as a reference that does pivoting and has a settable threshold. It also uses vectorized view operations to avoid touching the internal representation if that helps.
On Thu, Sep 8, 2011 at 8:22 AM, Gilles Sadowski < gil...@harfang.homelinux.org> wrote: > > > I've tried it with my problem, and it also throws an exception. > > > However, I would like to obtain the covariance matrix anyway, because > I've > > > no other clue as to what might be wrong. > > > So I think that, at least, users should be able to set the positive > > > definiteness threshold in order to avoid raising an exception. >
