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From "Luc Maisonobe (Commented) (JIRA)" <>
Subject [jira] [Commented] (MATH-664) Replace "LUDecompostionImpl" with "QRDecompositionImpl" in "AbstractLeastSquaresOptimizer"
Date Thu, 24 Nov 2011 20:10:39 GMT


Luc Maisonobe commented on MATH-664:

I would agree with using QR if we don't let the algorithm be chosen.
>From what I learned, least squares is one of the cases where numerical stability is really
needed and LU fails.
> 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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