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https://issues.apache.org/jira/browse/MATH-1110?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
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Thomas Neidhart resolved MATH-1110.
-----------------------------------
Resolution: Fixed
Fix Version/s: 3.3
In r1591624, added a new constructor to be able to specify a custom singularity
threshold.
> OLSMultipleLinearRegression needs a way to specify non-zero singularity
> threshold when instantiating QRDecomposition
> --------------------------------------------------------------------------------------------------------------------
>
> Key: MATH-1110
> URL: https://issues.apache.org/jira/browse/MATH-1110
> Project: Commons Math
> Issue Type: Bug
> Affects Versions: 3.2
> Environment: Windows 7, jdk1.6.0_45
> Reporter: Edward Segall
> Fix For: 3.3
>
>
> OLSMultipleLinearRegression uses QRDecomposition to perform a least-squares
> solution. QRDecomposition has the capability to use a non-zero threshold for
> detecting when the design matrix is singular (see
> https://issues.apache.org/jira/browse/MATH-665,
> https://issues.apache.org/jira/browse/MATH-1024,
> https://issues.apache.org/jira/browse/MATH-1100,
> https://issues.apache.org/jira/browse/MATH-1101) but
> OLSMultipleLinearRegression does not use this capability and therefore always
> uses the default singularity test threshold of 0. This can lead to bad
> solutions (see in particular
> https://issues.apache.org/jira/browse/MATH-1101?focusedCommentId=13909750&page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel#comment-13909750)
> when a SingularMatrixException should instead be thrown.
> When I encountered this situation, I noticed it because the solution values
> were extremely large (in the range 1e09 - 1e12). Normal values in the domain
> I am working with are on the order of 1e-3. To find out why the values are so
> large, I traced through the source and found that an rDiag value was on the
> order of 1e-15, and that this passed the threshold test. I then noticed that
> two columns of the design matrix are linearly dependent (one column is all
> 1's because I want an intercept value in the solution, and another is also
> all 1's because that's how the data worked out). Thus the matrix is
> definitely singular.
> If I could specify a non-zero threshold, this situation would result in a
> SingularMatrixException, but without that, the bad solution values would be
> blindly propagated. That is a problem because this solution is intended for
> controlling a physical system, and damage could result from a bad solution.
> Unfortunately, I see no way to change the threshold value from outside -- I
> would have to in effect re-implement OLSMultipleLinearRegression to do this
> as a user of the package.
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