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From wilbur <wil...@ieee.org>
Subject LU decomposition very SLOW (commons.math3.linear)
Date Thu, 27 Oct 2016 07:15:00 GMT
Hello all,

I am using LUDecomposition in a kriging application, where I noticed that
the Commons Math implementation slows down dramatically with growing matrix
size. E.g., on (symmetric) matrices of size ~1600 x 1600, LUDecomposition
takes about 10 times (!) longer than QRDecomposition or the Java
implementation of Crout's algorithm [1] in Smile [2]. 

Average figures are (Java 1.8.0_65, Win7, Intel i7-4790K, 4.00 GHz, 16 GB):
   Commons Math LUDecomposition: ~10,500 ms (!)
   Commons Math QRDecomposition:  ~1,350 ms
   Smile LUDecomposition: ~1,300 ms

Seems odd. Is this a known problem and can this behaviour be explained?

--Wilhelm

___
[1] Numerical Recipes, 3rd ed. (Sec. 2.3.1)
[2] https://github.com/haifengl/smile



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