[jira] [Commented] (MATH-601) SingularValueDecompositionImpl psuedoinverse is not consistent with Rank calculation
[
https://issues.apache.org/jira/browse/MATH-601?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13084559#comment-13084559
]
Gilles commented on MATH-601:
-
Also changed "max(m, n)" to "m" in accordance with Greg's remark on the "dev"
ML for other such occurrences (revision 1157342).
> SingularValueDecompositionImpl psuedoinverse is not consistent with Rank
> calculation
>
>
> Key: MATH-601
> URL: https://issues.apache.org/jira/browse/MATH-601
> Project: Commons Math
> Issue Type: Bug
>Affects Versions: 2.2
> Environment: All
>Reporter: greg sterijevski
>Assignee: Phil Steitz
> Labels: Pseudoinverse
> Fix For: 3.0
>
> Attachments: SingularValueDecompositionImpl.patch
>
> Original Estimate: 24h
> Remaining Estimate: 24h
>
> In the SingularValueDecompositionImpl's internal private class Solver, a
> pseudo inverse matrix is calculated:
> In lines 2600-264 we have:
> if (singularValues[i] > 0) {
> a = 1 / singularValues[i];
> } else {
> a = 0;
> }
> This is not consistent with the manner in which rank is determined (lines 225
> to 233). That is to say a matrix could potentially be rank deficient, yet the
> psuedoinverse would still include the redundant columns...
> Also, there is the problem of very small singular values which could result
> in overflow.
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[jira] [Commented] (MATH-601) SingularValueDecompositionImpl psuedoinverse is not consistent with Rank calculation
[
https://issues.apache.org/jira/browse/MATH-601?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13084556#comment-13084556
]
Phil Steitz commented on MATH-601:
--
I just committed (r1157336) a modified version of Chris' patch. Please review,
test and confirm that it fixes the issue.
Changes to the patch:
0) Incorporated Greg's suggestion to put a floor on tol
1) Made tol final, but not static and explicitly passed it to the Solver
constructor. The value depends on instance data so should not be static.
> SingularValueDecompositionImpl psuedoinverse is not consistent with Rank
> calculation
>
>
> Key: MATH-601
> URL: https://issues.apache.org/jira/browse/MATH-601
> Project: Commons Math
> Issue Type: Bug
>Affects Versions: 2.2
> Environment: All
>Reporter: greg sterijevski
>Assignee: Phil Steitz
> Labels: Pseudoinverse
> Fix For: 3.0
>
> Attachments: SingularValueDecompositionImpl.patch
>
> Original Estimate: 24h
> Remaining Estimate: 24h
>
> In the SingularValueDecompositionImpl's internal private class Solver, a
> pseudo inverse matrix is calculated:
> In lines 2600-264 we have:
> if (singularValues[i] > 0) {
> a = 1 / singularValues[i];
> } else {
> a = 0;
> }
> This is not consistent with the manner in which rank is determined (lines 225
> to 233). That is to say a matrix could potentially be rank deficient, yet the
> psuedoinverse would still include the redundant columns...
> Also, there is the problem of very small singular values which could result
> in overflow.
--
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For more information on JIRA, see: http://www.atlassian.com/software/jira
[jira] [Commented] (MATH-601) SingularValueDecompositionImpl psuedoinverse is not consistent with Rank calculation
[
https://issues.apache.org/jira/browse/MATH-601?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13069983#comment-13069983
]
greg sterijevski commented on MATH-601:
---
Sorry,
Sent the previous inadvertently,
f( FastMath.abs(tol) < FastMath.sqrt( MathUtils.SAFE_MIN) ){
tol = FastMath.sqrt( MathUtils.SAFE_MIN);
}
That should guard against the case of a small matrix with small eigenvalues.
-Greg
On Sat, Jul 23, 2011 at 10:31 AM, Greg Sterijevski
> SingularValueDecompositionImpl psuedoinverse is not consistent with Rank
> calculation
>
>
> Key: MATH-601
> URL: https://issues.apache.org/jira/browse/MATH-601
> Project: Commons Math
> Issue Type: Bug
>Affects Versions: 2.2, 3.0
> Environment: All
>Reporter: greg sterijevski
> Labels: Pseudoinverse
> Attachments: SingularValueDecompositionImpl.patch
>
> Original Estimate: 24h
> Remaining Estimate: 24h
>
> In the SingularValueDecompositionImpl's internal private class Solver, a
> pseudo inverse matrix is calculated:
> In lines 2600-264 we have:
> if (singularValues[i] > 0) {
> a = 1 / singularValues[i];
> } else {
> a = 0;
> }
> This is not consistent with the manner in which rank is determined (lines 225
> to 233). That is to say a matrix could potentially be rank deficient, yet the
> psuedoinverse would still include the redundant columns...
> Also, there is the problem of very small singular values which could result
> in overflow.
--
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For more information on JIRA, see: http://www.atlassian.com/software/jira
[jira] [Commented] (MATH-601) SingularValueDecompositionImpl psuedoinverse is not consistent with Rank calculation
[
https://issues.apache.org/jira/browse/MATH-601?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13069982#comment-13069982
]
greg sterijevski commented on MATH-601:
---
Axel,
You are correct, while the getRank() emthods criterion was changed to:
double tol = FastMath.max(m, n) * singularValues[0] * EPS;
there is nothing happening at line 591. The moore-penrose will still be not
consistent to the ranks calculation.
Line 591 and onwards:
if (singularValues[i] > 0) {
a = 1 / singularValues[i];
} else {
a = 0;
}
So the change of the zero criterion is good, there is one more spot to fix.
I would also put a lower bound on tol:
tol = FastMath.max(m, n) * singularValues[0] * EPS;
if( FastMath.abs(tol) < FastMath.sqrt( MathUtils.SAFE_MIN) ){
}
-Greg
> SingularValueDecompositionImpl psuedoinverse is not consistent with Rank
> calculation
>
>
> Key: MATH-601
> URL: https://issues.apache.org/jira/browse/MATH-601
> Project: Commons Math
> Issue Type: Bug
>Affects Versions: 2.2, 3.0
> Environment: All
>Reporter: greg sterijevski
> Labels: Pseudoinverse
> Attachments: SingularValueDecompositionImpl.patch
>
> Original Estimate: 24h
> Remaining Estimate: 24h
>
> In the SingularValueDecompositionImpl's internal private class Solver, a
> pseudo inverse matrix is calculated:
> In lines 2600-264 we have:
> if (singularValues[i] > 0) {
> a = 1 / singularValues[i];
> } else {
> a = 0;
> }
> This is not consistent with the manner in which rank is determined (lines 225
> to 233). That is to say a matrix could potentially be rank deficient, yet the
> psuedoinverse would still include the redundant columns...
> Also, there is the problem of very small singular values which could result
> in overflow.
--
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For more information on JIRA, see: http://www.atlassian.com/software/jira
[jira] [Commented] (MATH-601) SingularValueDecompositionImpl psuedoinverse is not consistent with Rank calculation
[
https://issues.apache.org/jira/browse/MATH-601?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13069937#comment-13069937
]
Axel Kramer commented on MATH-601:
--
For reference values try wolfram alpha:
N[SingularValueDecomposition[{{1,2},{1,2}}]]
It's still different.
See: MATH-320
> SingularValueDecompositionImpl psuedoinverse is not consistent with Rank
> calculation
>
>
> Key: MATH-601
> URL: https://issues.apache.org/jira/browse/MATH-601
> Project: Commons Math
> Issue Type: Bug
>Affects Versions: 2.2, 3.0
> Environment: All
>Reporter: greg sterijevski
> Labels: Pseudoinverse
> Attachments: SingularValueDecompositionImpl.patch
>
> Original Estimate: 24h
> Remaining Estimate: 24h
>
> In the SingularValueDecompositionImpl's internal private class Solver, a
> pseudo inverse matrix is calculated:
> In lines 2600-264 we have:
> if (singularValues[i] > 0) {
> a = 1 / singularValues[i];
> } else {
> a = 0;
> }
> This is not consistent with the manner in which rank is determined (lines 225
> to 233). That is to say a matrix could potentially be rank deficient, yet the
> psuedoinverse would still include the redundant columns...
> Also, there is the problem of very small singular values which could result
> in overflow.
--
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For more information on JIRA, see: http://www.atlassian.com/software/jira
[jira] [Commented] (MATH-601) SingularValueDecompositionImpl psuedoinverse is not consistent with Rank calculation
[
https://issues.apache.org/jira/browse/MATH-601?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13069628#comment-13069628
]
greg sterijevski commented on MATH-601:
---
Patch looks good to me...
> SingularValueDecompositionImpl psuedoinverse is not consistent with Rank
> calculation
>
>
> Key: MATH-601
> URL: https://issues.apache.org/jira/browse/MATH-601
> Project: Commons Math
> Issue Type: Bug
>Affects Versions: 2.2, 3.0
> Environment: All
>Reporter: greg sterijevski
> Labels: Pseudoinverse
> Attachments: SingularValueDecompositionImpl.patch
>
> Original Estimate: 24h
> Remaining Estimate: 24h
>
> In the SingularValueDecompositionImpl's internal private class Solver, a
> pseudo inverse matrix is calculated:
> In lines 2600-264 we have:
> if (singularValues[i] > 0) {
> a = 1 / singularValues[i];
> } else {
> a = 0;
> }
> This is not consistent with the manner in which rank is determined (lines 225
> to 233). That is to say a matrix could potentially be rank deficient, yet the
> psuedoinverse would still include the redundant columns...
> Also, there is the problem of very small singular values which could result
> in overflow.
--
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