On 09/13/2012 05:13 PM, l...@apache.org wrote:
> Author: luc
> Date: Thu Sep 13 15:13:03 2012
> New Revision: 1384363
>
> URL: http://svn.apache.org/viewvc?rev=1384363&view=rev
> Log:
> Fixed an error in rectangular Cholesky decomposition.
>
> JIRA: MATH-789
Hi Luc,
thanks for looking into this.
I think that there is still an error in the way the rank is calculated
in case diagonal values are below the threshold:
//all remaining diagonal elements are close to zero, we consider we have
// found the rank of the symmetric positive semidefinite matrix
//++r; <- commented out
loop = false;
Otherwise the resulting root Matrix may be rank deficient as can be seen
in the examples below.
Actually there is a unit test (CorrelatedRandomVectorGeneratorTest) that
tests for a wrong rank:
@Test
public void testRank() {
Assert.assertEquals(3, generator.getRank());
}
Should be 2, see the resulting root Matrix:
Array2DRowRealMatrix{
{2.0823861495,0.0605633926,0.0},
{2.6016090812,0.0403755951,0.0},
{3.1208320129,0.0201877975,0.0},
{3.6400549446,0.0,0.0}}
with the fix the result is the following:
Array2DRowRealMatrix{
{2.0823861495,0.0605633926},
{2.6016090812,0.0403755951},
{3.1208320129,0.0201877975},
{3.6400549446,0.0}}
Thomas
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