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[Octave-bug-tracker] [bug #38875] strange errors using sqp
From: |
Julien Bect |
Subject: |
[Octave-bug-tracker] [bug #38875] strange errors using sqp |
Date: |
Mon, 29 Feb 2016 13:27:28 +0000 |
User-agent: |
Mozilla/5.0 (X11; Ubuntu; Linux i686; rv:39.0) Gecko/20100101 Firefox/39.0 |
Follow-up Comment #11, bug #38875 (project octave):
We could using the trick that I just proposed in recursive manner, as
follows:
function R = robust_chol (H)
n = size (H, 1); fprintf ('n = %d --> ', n);
[R, p] = chol (H);
if p == 0
fprintf ('OKn');
else
fprintf ('chol failed, deflating...n');
% 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 = robust_chol (H1);
% Reconstruct a Cholesky factor for H
R = (sqrt (D)) * V * V' + W * R1 * W';
end
end
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