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From "Gilles (Commented) (JIRA)" <j...@apache.org>
Subject [jira] [Commented] (MATH-664) Replace "LUDecompostionImpl" with "QRDecompositionImpl" in "AbstractLeastSquaresOptimizer"
Date Thu, 12 Jan 2012 13:49:39 GMT

    [ https://issues.apache.org/jira/browse/MATH-664?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13184963#comment-13184963
] 

Gilles commented on MATH-664:
-----------------------------

When changing from "LUDecomposition" to "QRDecomposition" in "AbstractLeastSquares", one unit
test fails: Method "testNonInvertible" does not throw the expected exception; i.e. "getCovariances()"
completes successfully and returns:
{noformat}
-1.6604945575270566E14  1.6604945575270566E14   5.534981858423523E13
 1.6604945575270566E14 -1.6604945575270544E14  -5.534981858423523E13
 5.534981858423521E13  -5.53498185842352E13    -1.84499395280784E13
{noformat}

Numerical problem? Perhaps the default should not be zero...

                
> Replace "LUDecompostionImpl" with "QRDecompositionImpl" in "AbstractLeastSquaresOptimizer"
> ------------------------------------------------------------------------------------------
>
>                 Key: MATH-664
>                 URL: https://issues.apache.org/jira/browse/MATH-664
>             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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