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From "Phil Steitz (JIRA)" <>
Subject [jira] [Commented] (MATH-664) Replace "LUDecompostionImpl" with "QRDecompositionImpl" in "AbstractLeastSquaresOptimizer"
Date Thu, 08 Sep 2011 13:50:08 GMT


Phil Steitz commented on MATH-664:

At the expense of returning nonsense if the problem is singular.  The only positive rationale
for this change is that QR is more stable numerically for near-singular positive definite
matrices.  It would be great to add some references supporting that statement.  While the
covariance matrices are generally going to be small, performance should also be considered.
 Cholesky should also be considered as a possible replacement for LU.

I will open a separate issue on QR's lack of a meaningful singularity test.

> Replace "LUDecompostionImpl" with "QRDecompositionImpl" in "AbstractLeastSquaresOptimizer"
> ------------------------------------------------------------------------------------------
>                 Key: MATH-664
>                 URL:
>             Project: Commons Math
>          Issue Type: Improvement
>            Reporter: Gilles
>            Assignee: Gilles
>            Priority: Minor
>             Fix For: 3.0
> In some cases, the "getCovariances()" method throws a "SingularMatrixException". This
can be avoided by using "QR" instead of "LU" decomposition.

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