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LDLT is not rank-revealing, so we should not attempt to use the biggest diagonal elements as thresholds.

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This commit is contained in:
Gael Guennebaud
2014-07-02 23:04:46 +02:00
parent b18a7ff6be
commit bbe9e22d60
2 changed files with 70 additions and 23 deletions
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41
Eigen/src/Cholesky/LDLT.h
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@@ -274,30 +274,13 @@ template<> struct ldlt_inplace<Lower>
return true;
}
RealScalar cutoff(0), biggest_in_corner;
for (Index k = 0; k < size; ++k)
{
// Find largest diagonal element
Index index_of_biggest_in_corner;
biggest_in_corner = mat.diagonal().tail(size-k).cwiseAbs().maxCoeff(&index_of_biggest_in_corner);
mat.diagonal().tail(size-k).cwiseAbs().maxCoeff(&index_of_biggest_in_corner);
index_of_biggest_in_corner += k;
if(k == 0)
{
// The biggest overall is the point of reference to which further diagonals
// are compared; if any diagonal is negligible compared
// to the largest overall, the algorithm bails.
cutoff = abs(NumTraits<Scalar>::epsilon() * biggest_in_corner);
}
// Finish early if the matrix is not full rank.
if(biggest_in_corner < cutoff)
{
for(Index i = k; i < size; i++) transpositions.coeffRef(i) = i;
break;
}
transpositions.coeffRef(k) = index_of_biggest_in_corner;
if(k != index_of_biggest_in_corner)
{
@@ -333,7 +316,12 @@ template<> struct ldlt_inplace<Lower>
if(rs>0)
A21.noalias() -= A20 * temp.head(k);
}
if((rs>0) && (abs(mat.coeffRef(k,k)) > cutoff))
// In some previous versions of Eigen (e.g., 3.2.1), the scaling was omitted if the pivot
// was smaller than the cutoff value. However, soince LDLT is not rank-revealing
// we should only make sure we do not introduce INF or NaN values.
// LAPACK also uses 0 as the cutoff value.
if((rs>0) && (abs(mat.coeffRef(k,k)) > RealScalar(0)))
A21 /= mat.coeffRef(k,k);
RealScalar realAkk = numext::real(mat.coeffRef(k,k));
@@ -517,13 +505,20 @@ struct solve_retval<LDLT<_MatrixType,_UpLo>, Rhs>
typedef typename LDLTType::Scalar Scalar;
typedef typename LDLTType::RealScalar RealScalar;
const Diagonal<const MatrixType> vectorD = dec().vectorD();
RealScalar tolerance = (max)(vectorD.array().abs().maxCoeff() * NumTraits<Scalar>::epsilon(),
RealScalar(1) / NumTraits<RealScalar>::highest()); // motivated by LAPACK's xGELSS
// In some previous versions, tolerance was set to the max of 1/highest and the maximal diagonal entry * epsilon
// as motivated by LAPACK's xGELSS:
// RealScalar tolerance = (max)(vectorD.array().abs().maxCoeff() *NumTraits<RealScalar>::epsilon(),RealScalar(1) / NumTraits<RealScalar>::highest());
// However, LDLT is not rank revealing, and so adjusting the tolerance wrt to the highest
// diagonal element is not well justified and to numerical issues in some cases.
// Moreover, Lapack's xSYTRS routines use 0 for the tolerance.
RealScalar tolerance = RealScalar(1) / NumTraits<RealScalar>::highest();
for (Index i = 0; i < vectorD.size(); ++i) {
if(abs(vectorD(i)) > tolerance)
dst.row(i) /= vectorD(i);
dst.row(i) /= vectorD(i);
else
dst.row(i).setZero();
dst.row(i).setZero();
}
// dst = L^-T (D^-1 L^-1 P b)