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Re: chol problem in 2.9.5
From: |
David Bateman |
Subject: |
Re: chol problem in 2.9.5 |
Date: |
Thu, 25 May 2006 20:59:05 +0200 |
User-agent: |
Mozilla Thunderbird 1.0.6-7.6.20060mdk (X11/20050322) |
Dmitri A. Sergatskov wrote:
> octave:1> a=randn(2)
> a =
>
> -0.94562 1.05567
> -0.69245 1.99836
>
> octave:2> x=a'*a
> x =
>
> 1.3737 -2.3820
> -2.3820 5.1079
>
> octave:3> chol(x)
> ans =
>
> 1.17204 -2.03238
> 0.00000 0.98860
> Upper Triangular
>
> octave:4> chol(x)
> error: chol: matrix not positive definite
> octave:4>
> ---
>
> So after calling chol a second time on the same matrix it gives an error.
> That seems breaks chol for good for remaining of the octave session:
This is the old octave-forge chol.cc function being used here. You can
tell since it prints "Upper Triangular". So strictly speaking this is a
bug in octave-forge.
The fact is in the octave CVS I submitted a patch to correctly determine
is a matrix is positive definite and use the LAPACK cholesky
factorization functions. In addition to special cases for upper/lower
triangular functions using the lapack back substitution code rather than
the home rolled version in the octave-forge code, so the version in
octave's core should now be significantly better than the octave-forge
forge.
This completely removes the need for the octave-forge code, and so I
disabled it in octave-forge (though I didn't delete it is a good example
of how to write a user type). It also means I don't see much point in
tracking down this bug...
In 2.9.5+ I get
octave:1> a = [-0.94562 1.05567;-0.69245 1.99836];
octave:2> x=a'*a
x =
1.3737 -2.3820
-2.3820 5.1079
octave:3> chol(x)
ans =
1.17204 -2.03237
0.00000 0.98861
octave:4> chol(x)
ans =
1.17204 -2.03237
0.00000 0.98861
octave:5> matrix_type(x)
ans = Positive Definite
octave:6> matrix_type(chol(x))
ans = Upper
Regards
David
- chol problem in 2.9.5, Dmitri A. Sergatskov, 2006/05/25
- Re: chol problem in 2.9.5, Robert A. Macy, 2006/05/25
- Re: chol problem in 2.9.5, Quentin Spencer, 2006/05/25
- Re: chol problem in 2.9.5,
David Bateman <=
- Re: chol problem in 2.9.5, Quentin Spencer, 2006/05/25
- Re: chol problem in 2.9.5, David Bateman, 2006/05/25
- Re: chol problem in 2.9.5, Quentin Spencer, 2006/05/25
- Re: chol problem in 2.9.5, Przemek Klosowski, 2006/05/26
- Re: chol problem in 2.9.5, Dmitri A. Sergatskov, 2006/05/26
- Re: chol problem in 2.9.5, John W. Eaton, 2006/05/26
- Re: chol problem in 2.9.5, Dmitri A. Sergatskov, 2006/05/26
- Re: chol problem in 2.9.5, Quentin Spencer, 2006/05/26
- Re: chol problem in 2.9.5, Dmitri A. Sergatskov, 2006/05/26
- Re: chol problem in 2.9.5, Dmitri A. Sergatskov, 2006/05/31