Author: tn
Date: Fri Sep 14 21:55:46 2012
New Revision: 1384945
URL: http://svn.apache.org/viewvc?rev=1384945&view=rev
Log:
[MATH-789] Fixed rank calculation in case of dependant columns, added
additional constructor that repaces small parameter.
Modified:
commons/proper/math/trunk/src/main/java/org/apache/commons/math3/linear/RectangularCholeskyDecomposition.java
commons/proper/math/trunk/src/test/java/org/apache/commons/math3/linear/RectangularCholeskyDecompositionTest.java
commons/proper/math/trunk/src/test/java/org/apache/commons/math3/random/CorrelatedRandomVectorGeneratorTest.java
Modified:
commons/proper/math/trunk/src/main/java/org/apache/commons/math3/linear/RectangularCholeskyDecomposition.java
URL:
http://svn.apache.org/viewvc/commons/proper/math/trunk/src/main/java/org/apache/commons/math3/linear/RectangularCholeskyDecomposition.java?rev=1384945&r1=1384944&r2=1384945&view=diff
==============================================================================
---
commons/proper/math/trunk/src/main/java/org/apache/commons/math3/linear/RectangularCholeskyDecomposition.java
(original)
+++
commons/proper/math/trunk/src/main/java/org/apache/commons/math3/linear/RectangularCholeskyDecomposition.java
Fri Sep 14 21:55:46 2012
@@ -52,9 +52,28 @@ public class RectangularCholeskyDecompos
/**
* Decompose a symmetric positive semidefinite matrix.
+ * <p>
+ * <b>Note:</b> this constructor follows the linpack method to detect
dependent
+ * columns by proceeding with the Cholesky algorithm until a nonpositive
diagonal
+ * element is encountered.
+ *
+ * @see <a
href="http://eprints.ma.man.ac.uk/1193/01/covered/MIMS_ep2008_56.pdf";>
+ * Analysis of the Cholesky Decomposition of a Semi-definite Matrix</a>
+ *
+ * @param matrix Symmetric positive semidefinite matrix.
+ * @exception NonPositiveDefiniteMatrixException if the matrix is not
+ * positive semidefinite.
+ */
+ public RectangularCholeskyDecomposition(RealMatrix matrix)
+ throws NonPositiveDefiniteMatrixException {
+ this(matrix, 0);
+ }
+
+ /**
+ * Decompose a symmetric positive semidefinite matrix.
*
* @param matrix Symmetric positive semidefinite matrix.
- * @param small Diagonal elements threshold under which column are
+ * @param small Diagonal elements threshold under which columns are
* considered to be dependent on previous ones and are discarded.
* @exception NonPositiveDefiniteMatrixException if the matrix is not
* positive semidefinite.
@@ -97,7 +116,7 @@ public class RectangularCholeskyDecompos
// check diagonal element
int ir = index[r];
- if (c[ir][ir] < small) {
+ if (c[ir][ir] <= small) {
if (r == 0) {
throw new NonPositiveDefiniteMatrixException(c[ir][ir],
ir, small);
@@ -114,7 +133,6 @@ public class RectangularCholeskyDecompos
// all remaining diagonal elements are close to zero, we
consider we have
// found the rank of the symmetric positive semidefinite matrix
- ++r;
loop = false;
} else {
Modified:
commons/proper/math/trunk/src/test/java/org/apache/commons/math3/linear/RectangularCholeskyDecompositionTest.java
URL:
http://svn.apache.org/viewvc/commons/proper/math/trunk/src/test/java/org/apache/commons/math3/linear/RectangularCholeskyDecompositionTest.java?rev=1384945&r1=1384944&r2=1384945&view=diff
==============================================================================
---
commons/proper/math/trunk/src/test/java/org/apache/commons/math3/linear/RectangularCholeskyDecompositionTest.java
(original)
+++
commons/proper/math/trunk/src/test/java/org/apache/commons/math3/linear/RectangularCholeskyDecompositionTest.java
Fri Sep 14 21:55:46 2012
@@ -81,9 +81,7 @@ public class RectangularCholeskyDecompos
{0.009881156, 0.008196856, 0.019023866, 0.009210099},
{0.010499559, 0.010732709, 0.009210099, 0.019107243}
});
- RealMatrix root1 = new RectangularCholeskyDecomposition(m1,
1.0e-10).getRootMatrix();
- RealMatrix rebuiltM1 = root1.multiply(root1.transpose());
- Assert.assertEquals(0.0, m1.subtract(rebuiltM1).getNorm(), 1.0e-16);
+ composeAndTest(m1, 4);
final RealMatrix m2 = MatrixUtils.createRealMatrix(new double[][]{
{0.0, 0.0, 0.0, 0.0, 0.0},
@@ -92,9 +90,7 @@ public class RectangularCholeskyDecompos
{0.0, 0.009881156, 0.008196856, 0.019023866, 0.009210099},
{0.0, 0.010499559, 0.010732709, 0.009210099, 0.019107243}
});
- RealMatrix root2 = new RectangularCholeskyDecomposition(m2,
1.0e-10).getRootMatrix();
- RealMatrix rebuiltM2 = root2.multiply(root2.transpose());
- Assert.assertEquals(0.0, m2.subtract(rebuiltM2).getNorm(), 1.0e-16);
+ composeAndTest(m2, 4);
final RealMatrix m3 = MatrixUtils.createRealMatrix(new double[][]{
{0.013445532, 0.010394690, 0.0, 0.009881156, 0.010499559},
@@ -103,10 +99,16 @@ public class RectangularCholeskyDecompos
{0.009881156, 0.008196856, 0.0, 0.019023866, 0.009210099},
{0.010499559, 0.010732709, 0.0, 0.009210099, 0.019107243}
});
- RealMatrix root3 = new RectangularCholeskyDecomposition(m3,
1.0e-10).getRootMatrix();
- RealMatrix rebuiltM3 = root3.multiply(root3.transpose());
- Assert.assertEquals(0.0, m3.subtract(rebuiltM3).getNorm(), 1.0e-16);
+ composeAndTest(m3, 4);
}
+
+ private void composeAndTest(RealMatrix m, int expectedRank) {
+ RectangularCholeskyDecomposition r = new
RectangularCholeskyDecomposition(m);
+ Assert.assertEquals(expectedRank, r.getRank());
+ RealMatrix root = r.getRootMatrix();
+ RealMatrix rebuiltMatrix = root.multiply(root.transpose());
+ Assert.assertEquals(0.0, m.subtract(rebuiltMatrix).getNorm(), 1.0e-16);
+ }
}
Modified:
commons/proper/math/trunk/src/test/java/org/apache/commons/math3/random/CorrelatedRandomVectorGeneratorTest.java
URL:
http://svn.apache.org/viewvc/commons/proper/math/trunk/src/test/java/org/apache/commons/math3/random/CorrelatedRandomVectorGeneratorTest.java?rev=1384945&r1=1384944&r2=1384945&view=diff
==============================================================================
---
commons/proper/math/trunk/src/test/java/org/apache/commons/math3/random/CorrelatedRandomVectorGeneratorTest.java
(original)
+++
commons/proper/math/trunk/src/test/java/org/apache/commons/math3/random/CorrelatedRandomVectorGeneratorTest.java
Fri Sep 14 21:55:46 2012
@@ -68,7 +68,7 @@ public class CorrelatedRandomVectorGener
@Test
public void testRank() {
- Assert.assertEquals(3, generator.getRank());
+ Assert.assertEquals(2, generator.getRank());
}
@Test
