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https://issues.apache.org/jira/browse/MATH-664?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13184041#comment-13184041
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Gilles commented on MATH-664:
-----------------------------
Slight problem: {{QRDecomposition}} does not provide for setting a singularity
threshold. Allowing the user to set this value was recently added in
{{AbstractLeastSquares}} (cf. above discussion).
Currently the singularity check in {{QRDecomposition}} is done through a strict
comparison with zero (thus, the threshold is zero). Should that be changed,
i.e. should the threshold be user-defined (and defaults to zero in order to not
change the behaviour w.r.t previous releases)?
Or, with "QR", is it fine to always treat any value, however small, as
non-singular? In that case the setting of a threshold in
{{AbstractLeastSquares}} should be removed.
> Replace "LUDecompostionImpl" with "QRDecompositionImpl" in
> "AbstractLeastSquaresOptimizer"
> ------------------------------------------------------------------------------------------
>
> Key: MATH-664
> URL: https://issues.apache.org/jira/browse/MATH-664
> Project: Commons Math
> Issue Type: Improvement
> Reporter: Gilles
> Assignee: Gilles
> Priority: Minor
> Fix For: 3.0
>
>
> In some cases, the "getCovariances()" method throws a
> "SingularMatrixException". This can be avoided by using "QR" instead of "LU"
> decomposition.
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