| Re: [eigen] Instability in LLT and LDLT methods. |
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- To: eigen@xxxxxxxxxxxxxxxxxxx
- Subject: Re: [eigen] Instability in LLT and LDLT methods.
- From: Gael Guennebaud <gael.guennebaud@xxxxxxxxx>
- Date: Wed, 28 Jan 2009 00:05:56 +0100
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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
>