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bug #1528: better use numeric_limits::min() instead of 1/highest() that with underflow.

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Gael Guennebaud 2018-04-03 16:49:35 +02:00
parent 8d0ffe3655
commit c5b56f1fb2
1 changed files with 4 additions and 3 deletions
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7
Eigen/src/Cholesky/LDLT.h
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@ -569,13 +569,14 @@ void LDLT<_MatrixType,_UpLo>::_solve_impl(const RhsType &rhs, DstType &dst) cons
// more precisely, use pseudo-inverse of D (see bug 241)
using std::abs;
const typename Diagonal<const MatrixType>::RealReturnType vecD(vectorD());
// 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:
// In some previous versions, tolerance was set to the max of 1/highest (or rather numeric_limits::min())
// and the maximal diagonal entry * epsilon as motivated by LAPACK's xGELSS:
// RealScalar tolerance = numext::maxi(vecD.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 leads to numerical issues in some cases.
// Moreover, Lapack's xSYTRS routines use 0 for the tolerance.
RealScalar tolerance = RealScalar(1) / NumTraits<RealScalar>::highest();
// Using numeric_limits::min() gives us more robustness to denormals.
RealScalar tolerance = (std::numeric_limits<RealScalar>::min)();
for (Index i = 0; i < vecD.size(); ++i)
{