Commit Graph

53 Commits

Author SHA1 Message Date
Benoit Jacob
2b618a2c16 make jacobi SVD more robust after experimenting with very nasty matrices...
it turns out to be better to repeat the jacobi steps on a given (p,q) pair until it
is diagonal to machine precision, before going to the next (p,q) pair. it's also
an optimization as experiments show that in a majority of cases this allows to find out
that the (p,q) pair is already diagonal to machine precision.
2009-08-12 18:23:39 -04:00
Benoit Jacob
22d65d47d0 finally, the good approach was two-sided Jacobi. Indeed, it allows
to guarantee the precision of the output, which is very valuable.
Here, we guarantee that the diagonal matrix returned by the SVD is
actually diagonal, to machine precision.

Performance isn't bad at all at 50% of the current householder SVD
performance for a 200x200 matrix (no vectorization) and we have
lots of room for improvement.
2009-08-12 02:35:07 -04:00
Benoit Jacob
3ed83fa681 * add Jacobi transformations
* add Jacobi (Hestenes) SVD decomposition for square matrices
* add function for trivial Householder
2009-08-09 16:58:13 +02:00