|Re: [eigen] LDLt and LLt fixes|
[ Thread Index |
| More lists.tuxfamily.org/eigen Archives
- To: eigen@xxxxxxxxxxxxxxxxxxx
- Subject: Re: [eigen] LDLt and LLt fixes
- From: Bill Greene <w.h.greene@xxxxxxxxx>
- Date: Mon, 30 Mar 2009 21:47:11 -0400
- Dkim-signature: v=1; a=rsa-sha256; c=relaxed/relaxed; d=gmail.com; s=gamma; h=domainkey-signature:mime-version:received:in-reply-to:references :date:message-id:subject:from:to:content-type; bh=RO2uYqZHminP3pxbLWIhlAy62/YTArmrcQvkd6qFGcs=; b=o5cneZ3QSd2znK984vGjXN32+5vPZtZt4PdLrTYUCe/DTS9Eqn2Ww0xkvg9z7NmvED wfmS0mmuPlQAYIPcte0tMYsoWD6+mSjsY7nYM2Q4h1t4BmYRXRFSB9ThWSteOhG4NPC8 hvbemmzSP57FYMBnU9c4NdFoG12Mn8dSlmUDE=
- Domainkey-signature: a=rsa-sha1; c=nofws; d=gmail.com; s=gamma; h=mime-version:in-reply-to:references:date:message-id:subject:from:to :content-type; b=uv6u8V/oqstNyDAevHmch2CY+Ol//R1hgQemW27dQs5vcYFyQvddh6zo6aMnikrLm5 98+PeeX2JPK4N/Lcig43+/jhIciYQBlmbwyeYJssvT8aym6RiqzrnIiY7n3yh1f3i8dh aKDiM2T+aWOdAQHHAVaT+p0NluyOPRWw6bgaU=
I think I accidentally sent you a test case that actually *requires* pivoting because the (0,0) term in the
matrix is zero. So please ignore it if you like.
On Mon, Mar 30, 2009 at 9:12 PM, Bill Greene <w.h.greene@xxxxxxxxx>
Wow, thanks for the quick work!
I just downloaded the latest code from svn and tried a quick test. Surprisingly, it didn't work. After some
debugging and investigation, I think this may be an unusual case. My other test cases work correctly--
exactly as I expect. Here is the code for my failed case
const int n = 2;
Eigen::Matrix2d K, M;
K << 6., -2., -2., 4.;
M << 2., 0., 0., 1.;
const double omega2 = 3.0;
Eigen::Matrix2d A = K - omega2*M;
std::cout << "Is invertible: " << factA.isInvertible() << std::endl;
Eigen::Vector2d b, x;
b << 0.0, 10.0;
The correct value for x, by the way, is [-5.0, 0].
The lapack routines dsytrf and dsytrs compute this solution. I promised to provide more details of the lapack
solution-- and I intend to-- but I'm somewhat puzzled by the factored matrix returned by dsytrf. Even though
the solution from dsytrs is correct, the factored matrix is not what I expected-- or perhaps its just that the
documentation is so cryptic I don't know what I'm seeing. At any rate, I'll provide more lapack details as
soon as I understand them.
On Mon, Mar 30, 2009 at 5:55 PM, Benoit Jacob <jacob.benoit.1@xxxxxxxxx>
the thread with Bill inspired me... so now (trunk revision 947097),
LDLt supports the negative semidefinite case.
There's a couple of things to discuss.
First, the floating-point comparisons in both LLt and LDLt had issues. LLt did
if(x < eps)
and LDLt did
if(Djj <= 0)
and replacing these by proper fuzzy comparisons (experimenting with a
few different ones) resulted in a big improvement in the accuracy of
some methods, like LDLt::rank() which used to be untested and had
typically 3% imprecision, and now is exact in 95% of cases (However
for an exact rank computation, it's still not nearly as reliable as
the full-pivoting LU which can be explained by the different between
bi-directional pivoting and the diagonal pivoting that's all one can
do with Cholesky).
The other issue is that LLt and LDLt have claims in their dox that
they use only a triangular half of the matrix and don't need the other
half to be initialized, well that's not currently the case, one can
check that by uncommenting a line I added to the cholesky.cpp
unit-test. Help fixing this welcome...