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From "greg sterijevski (JIRA)" <j...@apache.org>
Subject [jira] [Commented] (MATH-601) SingularValueDecompositionImpl psuedoinverse is not consistent with Rank calculation
Date Sat, 23 Jul 2011 15:35:11 GMT

    [ https://issues.apache.org/jira/browse/MATH-601?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13069983#comment-13069983
] 

greg sterijevski commented on MATH-601:
---------------------------------------

Sorry,

Sent the previous inadvertently,

f( FastMath.abs(tol) < FastMath.sqrt( MathUtils.SAFE_MIN) ){
 tol = FastMath.sqrt( MathUtils.SAFE_MIN);
}

That should guard against the case of a small matrix with small eigenvalues.

-Greg

On Sat, Jul 23, 2011 at 10:31 AM, Greg Sterijevski



> SingularValueDecompositionImpl psuedoinverse is not consistent with Rank calculation
> ------------------------------------------------------------------------------------
>
>                 Key: MATH-601
>                 URL: https://issues.apache.org/jira/browse/MATH-601
>             Project: Commons Math
>          Issue Type: Bug
>    Affects Versions: 2.2, 3.0
>         Environment: All
>            Reporter: greg sterijevski
>              Labels: Pseudoinverse
>         Attachments: SingularValueDecompositionImpl.patch
>
>   Original Estimate: 24h
>  Remaining Estimate: 24h
>
> In the SingularValueDecompositionImpl's internal private class Solver, a pseudo inverse
matrix is calculated:
> In lines 2600-264 we have:
>                 if (singularValues[i] > 0) {
>                  a = 1 / singularValues[i];
>                 } else {
>                  a = 0;
>                 }
> This is not consistent with the manner in which rank is determined (lines 225 to 233).
That is to say a matrix could potentially be rank deficient, yet the psuedoinverse would still
include the redundant columns... 
> Also, there is the problem of very small singular values which could result in overflow.
 

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