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Posted to issues@commons.apache.org by "Christopher Nix (JIRA)" <ji...@apache.org> on 2011/07/22 13:02:58 UTC
[jira] [Updated] (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:all-tabpanel ]
Christopher Nix updated MATH-601:
---------------------------------
Attachment: SingularValueDecompositionImpl.patch
getRank() employs a local tolerance value to determine if a singular value should be counted.
I have attached a patch that moves this tolerance value to a static variable in the main class to be accessed by the Solver in working out the pseudo-inverse. This tolerance value will also guard against overflow.
> 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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