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From Luc Maisonobe <Luc.Maison...@free.fr>
Subject Re: [Math] "LUDecomposition" in "AbstractLeastSquaresOptimizer"
Date Wed, 07 Sep 2011 13:12:19 GMT
Hi Gilles,

Le 07/09/2011 15:05, Gilles Sadowski a écrit :
> On Wed, Sep 07, 2011 at 02:46:59PM +0200, Luc Maisonobe wrote:
>> Le 07/09/2011 12:45, Gilles Sadowski a écrit :
>>> Hello.
>>>
>>> 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.

Luc

>
> Thanks,
> Gilles
>
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