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bug #941: fix accuracy issue in ColPivHouseholderQR, do not stop decomposition on a small pivot

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This commit is contained in:
Gael Guennebaud 2015-01-30 19:04:04 +01:00
parent 9d82f7e30d
commit f1092d2f73
1 changed files with 8 additions and 16 deletions
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24
Eigen/src/QR/ColPivHouseholderQR.h
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@ -476,20 +476,10 @@ ColPivHouseholderQR<MatrixType>& ColPivHouseholderQR<MatrixType>::compute(const
// we store that back into our table: it can't hurt to correct our table.
m_colSqNorms.coeffRef(biggest_col_index) = biggest_col_sq_norm;
// if the current biggest column is smaller than epsilon times the initial biggest column,
// terminate to avoid generating nan/inf values.
// Note that here, if we test instead for "biggest == 0", we get a failure every 1000 (or so)
// repetitions of the unit test, with the result of solve() filled with large values of the order
// of 1/(size*epsilon).
if(biggest_col_sq_norm < threshold_helper * RealScalar(rows-k))
{
// Track the number of meaningful pivots but do not stop the decomposition to make
// sure that the initial matrix is properly reproduced. See bug 941.
if(m_nonzero_pivots==size && biggest_col_sq_norm < threshold_helper * RealScalar(rows-k))
m_nonzero_pivots = k;
m_hCoeffs.tail(size-k).setZero();
m_qr.bottomRightCorner(rows-k,cols-k)
.template triangularView<StrictlyLower>()
.setZero();
break;
}
// apply the transposition to the columns
m_colsTranspositions.coeffRef(k) = biggest_col_index;
@ -518,7 +508,7 @@ ColPivHouseholderQR<MatrixType>& ColPivHouseholderQR<MatrixType>::compute(const
}
m_colsPermutation.setIdentity(PermIndexType(cols));
for(PermIndexType k = 0; k < m_nonzero_pivots; ++k)
for(PermIndexType k = 0; k < size/*m_nonzero_pivots*/; ++k)
m_colsPermutation.applyTranspositionOnTheRight(k, PermIndexType(m_colsTranspositions.coeff(k)));
m_det_pq = (number_of_transpositions%2) ? -1 : 1;
@ -574,13 +564,15 @@ struct Assignment<DstXprType, Inverse<ColPivHouseholderQR<MatrixType> >, interna
} // end namespace internal
/** \returns the matrix Q as a sequence of householder transformations */
/** \returns the matrix Q as a sequence of householder transformations.
* You can extract the meaningful part only by using:
* \code qr.householderQ().setLength(qr.nonzeroPivots()) */
template<typename MatrixType>
typename ColPivHouseholderQR<MatrixType>::HouseholderSequenceType ColPivHouseholderQR<MatrixType>
::householderQ() const
{
eigen_assert(m_isInitialized && "ColPivHouseholderQR is not initialized.");
return HouseholderSequenceType(m_qr, m_hCoeffs.conjugate()).setLength(m_nonzero_pivots);
return HouseholderSequenceType(m_qr, m_hCoeffs.conjugate());
}
#ifndef __CUDACC__