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Re: QR vs LU factorisation
From: |
Dmitri A. Sergatskov |
Subject: |
Re: QR vs LU factorisation |
Date: |
Sun, 29 Jun 2008 14:12:45 -0500 |
On Sun, Jun 29, 2008 at 1:24 PM, Jordi Gutiérrez Hermoso
<address@hidden> wrote:
> This isn't specifically an Octave question except tangentially.
>
> I have some matrices that are as bad as can be: largish (1000x1000 or
> so), full, unsymmetric, and ill-conditioned. I notice that Octave uses
> LU factorisation with partial pivoting to invert these matrices as a
> last resort, which has been giving me acceptable results. Someone
> suggested to me that QR factorisation would be better suited. I'm
> reading Golub & Van Loan, but see no clear indication of when to use
> QR or LU.
>
I am not really an expert, but as far as I know
-- LU is a computationally efficient algorithm for "good" matrices, not
suitable for ill-conditioned matrices at all.
-- SVD is a very robust algorithm; gives you the most "useful" results in
the most pathological cases
-- QR seems to be good trade-off between the previous two.
As far as I know this is the default algorithm in both Matlab
and IDl.
> Does anyone have any suggestions?
>
> Thanks,
> - Jordi G. H.
>
Regards,
Dmitri.
--
- QR vs LU factorisation, Jordi Gutiérrez Hermoso, 2008/06/29
- Re: QR vs LU factorisation,
Dmitri A. Sergatskov <=
Re: QR vs LU factorisation, Ben Abbott, 2008/06/29
Re: QR vs LU factorisation, Vic Norton, 2008/06/30