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[Octave-bug-tracker] [bug #38875] strange errors using sqp
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From: |
Julien Bect |
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Subject: |
[Octave-bug-tracker] [bug #38875] strange errors using sqp |
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Date: |
Mon, 29 Feb 2016 13:13:10 +0000 |
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User-agent: |
Mozilla/5.0 (X11; Ubuntu; Linux i686; rv:39.0) Gecko/20100101 Firefox/39.0 |
Follow-up Comment #10, bug #38875 (project octave):
For the numerical example of comment #4, it turns out that a decent Cholesky
factorization can be obtained in two steps:
load qp_data.mat
% Find the largest eigenvalue (can be generalized to several)
[V, D] = eigs (H, 1, 'LM');
% Deflate
W = null (V');
H1 = W' * H * W;
% Now we can factorize using chol
R1 = chol (H1);
% Reconstruct a Cholesky factor for H
R = (sqrt (D)) * V * V' + W * R1 * W';
% Reconstruction
Hrec = R' * R;
% Error
err_rel = (H - Hrec) ./ (abs (H));
max (err_rel(:))
(I get a maximal relative error of approx 1.7e-15)
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