Could you be contaminating the cross product matrix when you do your accumulation? I noticed one of the utility classes has methods for doing safe accumulations. I know that this was part of the problem when I was trying to estimate the Wampler data with the MillerRegression. Just a thought...
On Thu, Sep 8, 2011 at 10:22 AM, Gilles Sadowski < gil...@harfang.homelinux.org> wrote: > On Thu, Sep 08, 2011 at 09:49:12AM -0500, Greg Sterijevski wrote: > > Cholesky, in my opinion, is not robust as you have discovered. When it > > encounters a non-psd matrix it gives up. Maybe that is the correct course > of > > action, but I still think that when you are using the getCovariance to > > estimate the curvature in the neighborhood of a point it would be okay to > > take the generalized inverse and not worry too much about why your matrix > is > > bordering on non-PSDness... If your optimization stops on that point, > that > > is another story and should be flagged. > > > > In fact, in my current case (which is a unit test), the point is supposed > to > be the minimum, by construction. I'm trying to figure out where the > problem comes from (namely, whether the Jacobian matrix is correct)... > > Gilles > > > > > > A possibly more robust option here is to use Cholesky decomposition, > > > > which is known to be stable for symmetric positive definite > > > > matrices, which the covariance matrix being inverted here should > > > > be. The exceptions thrown will be different; but they will give > > > > more specific information about what is wrong with the covariance > > > > matrix. > > > > > > I've tried it with my problem, and it also throws an exception. > > > However, I would like to obtain the covariance matrix anyway, because > I've > > > no other clue as to what might be wrong. > > > So I think that, at least, users should be able to set the positive > > > definiteness threshold in order to avoid raising an exception. > > > > > > > > > > > --------------------------------------------------------------------- > To unsubscribe, e-mail: dev-unsubscr...@commons.apache.org > For additional commands, e-mail: dev-h...@commons.apache.org > >
