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Bug 941 - Lacking accuracy in ColPivHouseholderQR
Lacking accuracy in ColPivHouseholderQR
Status: RESOLVED FIXED
Product: Eigen
Classification: Unclassified
Component: QR
3.2
All All
: Normal Accuracy Problem
Assigned To: Nobody
:
Depends on:
Blocks:
  Show dependency treegraph
 
Reported: 2015-01-29 14:47 UTC by ettersi
Modified: 2015-01-30 19:05 UTC (History)
3 users (show)



Attachments
Matrix causing the problem (236.25 KB, text/plain)
2015-01-29 14:47 UTC, ettersi
no flags Details
MWE (1.15 KB, text/x-c++src)
2015-01-29 14:48 UTC, ettersi
no flags Details

Description ettersi 2015-01-29 14:47:57 UTC
Created attachment 532 [details]
Matrix causing the problem

For the attached matrix, ColPivHouseholderQR yields a decomposition error 

(A*P - Q*R).norm()

of 4.28e-11 (using Scalar = double), i.e. it loses 5 orders of magnitude. 

For comparison, non-pivoting HouseholderQR achieves a decomposition error of 1.98e-16, and also the pivoting QR implementation of Matlab achieves a decomposition error of 4.11e-16.
Comment 1 ettersi 2015-01-29 14:48:35 UTC
Created attachment 533 [details]
MWE
Comment 2 Gael Guennebaud 2015-01-30 19:05:21 UTC
Thank you for the detailed report.

https://bitbucket.org/eigen/eigen/commits/f3ecd92ab19f/
Changeset:   f3ecd92ab19f
User:        ggael
Date:        2015-01-30 18:04:04+00:00
Summary:     Bug 941: fix accuracy issue in ColPivHouseholderQR, do not stop decomposition on a small pivot

3.2:
https://bitbucket.org/eigen/eigen/commits/cb8ac3b2bbd6/

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