Author: psteitz
Date: Sat Aug 13 06:20:12 2011
New Revision: 1157336
URL: http://svn.apache.org/viewvc?rev=1157336&view=rev
Log:
Made pseudo-inverse consistent with rank computation in
SingularValueDecompositionImpl.
JIRA: MATH-601
Reported by Chris Nix
Patched by Chris Nix and Greg Sterijevxki
Modified:
commons/proper/math/trunk/src/main/java/org/apache/commons/math/linear/SingularValueDecompositionImpl.java
commons/proper/math/trunk/src/site/xdoc/changes.xml
Modified:
commons/proper/math/trunk/src/main/java/org/apache/commons/math/linear/SingularValueDecompositionImpl.java
URL:
http://svn.apache.org/viewvc/commons/proper/math/trunk/src/main/java/org/apache/commons/math/linear/SingularValueDecompositionImpl.java?rev=1157336&r1=1157335&r2=1157336&view=diff
==============================================================================
---
commons/proper/math/trunk/src/main/java/org/apache/commons/math/linear/SingularValueDecompositionImpl.java
(original)
+++
commons/proper/math/trunk/src/main/java/org/apache/commons/math/linear/SingularValueDecompositionImpl.java
Sat Aug 13 06:20:12 2011
@@ -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 SingularValueDecompositionI
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 SingularValueDecompositionI
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 SingularValueDecompositionI
}
}
+ // 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 SingularValueDecompositionI
/** {@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 SingularValueDecompositionI
/** {@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 SingularValueDecompositionI
* @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;
Modified: commons/proper/math/trunk/src/site/xdoc/changes.xml
URL:
http://svn.apache.org/viewvc/commons/proper/math/trunk/src/site/xdoc/changes.xml?rev=1157336&r1=1157335&r2=1157336&view=diff
==============================================================================
--- commons/proper/math/trunk/src/site/xdoc/changes.xml (original)
+++ commons/proper/math/trunk/src/site/xdoc/changes.xml Sat Aug 13 06:20:12 2011
@@ -52,6 +52,9 @@ The <action> type attribute can be add,u
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>
