Apache/commons-math
1
0
Fork 0
mirror of https://github.com/apache/commons-math.git synced 2025-02-08 02:59:36 +00:00
Code Issues Packages Projects Releases Wiki Activity

Made pseudo-inverse consistent with rank computation in

Browse Source 
SingularValueDecompositionImpl.
JIRA: MATH-601
Reported by Chris Nix
Patched by Chris Nix and Greg Sterijevxki

git-svn-id: https://svn.apache.org/repos/asf/commons/proper/math/trunk@1157336 13f79535-47bb-0310-9956-ffa450edef68
This commit is contained in:
Phil Steitz 2011-08-13 06:20:12 +00:00
parent 58faa3eeb7
commit 2dc556649e
2 changed files with 15 additions and 5 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

17
src/main/java/org/apache/commons/math/linear/SingularValueDecompositionImpl.java
View File

@ -19,6 +19,7 @@ package org.apache.commons.math.linear;
import org.apache.commons.math.exception.NumberIsTooLargeException;
import org.apache.commons.math.exception.util.LocalizedFormats;
import org.apache.commons.math.util.FastMath;
import org.apache.commons.math.util.MathUtils;
/**
* Calculates the compact Singular Value Decomposition of a matrix.
@ -56,6 +57,8 @@ public class SingularValueDecompositionImpl implements SingularValueDecompositio
private final RealMatrix cachedV;
/** Cached value of transposed V matrix. */
private RealMatrix cachedVt;
/** Tolerance value for small singular values, calculated once we have populated singularValues **/
private final double tol;
/**
* Calculates the compact Singular Value Decomposition of the given matrix.
@ -77,7 +80,7 @@ public class SingularValueDecompositionImpl implements SingularValueDecompositio
m = matrix.getRowDimension();
n = matrix.getColumnDimension();
}
singularValues = new double[n];
final double[][] U = new double[m][n];
final double[][] V = new double[n][n];
@ -442,6 +445,10 @@ public class SingularValueDecompositionImpl implements SingularValueDecompositio
}
}
// Set the small value tolerance used to calculate rank and pseudo-inverse
tol = FastMath.max(FastMath.max(m, n) * singularValues[0] * EPS,
FastMath.sqrt( MathUtils.SAFE_MIN));
if (!transposed) {
cachedU = MatrixUtils.createRealMatrix(U);
cachedV = MatrixUtils.createRealMatrix(V);
@ -537,7 +544,6 @@ public class SingularValueDecompositionImpl implements SingularValueDecompositio
/** {@inheritDoc} */
public int getRank() {
final double tol = m * singularValues[0] * EPS;
int r = 0;
for (int i = 0; i < singularValues.length; i++) {
if (singularValues[i] > tol) {
@ -549,7 +555,7 @@ public class SingularValueDecompositionImpl implements SingularValueDecompositio
/** {@inheritDoc} */
public DecompositionSolver getSolver() {
return new Solver(singularValues, getUT(), getV(), getRank() == m);
return new Solver(singularValues, getUT(), getV(), getRank() == m, tol);
}
/** Specialized solver. */
@ -566,13 +572,14 @@ public class SingularValueDecompositionImpl implements SingularValueDecompositio
* @param uT U<sup>T</sup> matrix of the decomposition.
* @param v V matrix of the decomposition.
* @param nonSingular Singularity indicator.
* @param tol tolerance for singular values
*/
private Solver(final double[] singularValues, final RealMatrix uT,
final RealMatrix v, final boolean nonSingular) {
final RealMatrix v, final boolean nonSingular, final double tol) {
final double[][] suT = uT.getData();
for (int i = 0; i < singularValues.length; ++i) {
final double a;
if (singularValues[i] > 0) {
if (singularValues[i] > tol) {
a = 1 / singularValues[i];
} else {
a = 0;

3
src/site/xdoc/changes.xml
View File

@ -52,6 +52,9 @@ The <action> type attribute can be add,update,fix,remove.
If the output is not quite correct, check for invisible trailing spaces!
-->
<release version="3.0" date="TBD" description="TBD">
<action dev="psteitz" type="fix" issue="MATH-601" due-to="Chris Nix and Greg Serijevski">
Made pseudo-inverse consistent with rank computation in SingularValueDecompositionImpl.
</action>
<action dev="psteitz" type="update" issue="MATH-624" due-to="Greg Sterijevski">
Added methods to solve upper and lower triangular systems to MatrixUtils.
</action>