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From Dmitriy Lyubimov <dlie...@gmail.com>
Subject Is Cholesky too sensitive to rank deficiency?
Date Mon, 17 Mar 2014 18:31:57 GMT
I still seem to get signficant differences on the norm differences of
Householder QR and QR via Cholesky trick. our stock in-core QR seems to be
comfortable populating some R values (and therefore Q columns) with values
as small as 1e-16, whereas Cholesky computation for L seems to set these
things to 0. Norms on Q in this case differ more than trivially.

Are we sure we cannot decrease sensitivity of Cholesky decomposition to
small values? I have manipulated the limit there that controls the decision
for positive-definite-ness but I am not sure i understand algorithm well
enough to do a meaningful sensitivity reduction.

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