Re: [eigen] Instability in LLT and LDLT methods.

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Probably it's better to do full pivoting. Apparently cholesky is
stable for semidefinite matrices when full pivoting is used:


On Tue, Jan 27, 2009 at 3:05 PM, Gael Guennebaud
<gael.guennebaud@xxxxxxxxx> wrote:
> Hi,
> yes, it seems the test to check whether the matrix is positive
> definite was too strict. I changed the absolute tolerance a bit, but
> we still need something better. Basically, in Cholesky we compute at
> each iteration 1/sqrt(x), and so x must be >0 with some epsilon...
> Gael.
> On Tue, Jan 27, 2009 at 7:35 PM, Keir Mierle <mierle@xxxxxxxxx> wrote:
>> Here is a testcase that fails with LLT and LDLT but works fine with
>> all of LU, SVD, and QR solving. Depends on my previous patch for QR
>> solver (or comment out the qr().solve line).
>> Keir

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