commons-dev mailing list archives

Site index · List index
Message view « Date » · « Thread »
Top « Date » · « Thread »
From Greg Sterijevski <gsterijev...@gmail.com>
Subject Re: [Math] "LUDecomposition" in "AbstractLeastSquaresOptimizer"
Date Wed, 07 Sep 2011 20:16:30 GMT
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.dunning@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 <
> gilles@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-unsubscribe@commons.apache.org
> > For additional commands, e-mail: dev-help@commons.apache.org
> >
> >
>

Mime
  • Unnamed multipart/alternative (inline, None, 0 bytes)
View raw message