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https://issues.apache.org/jira/browse/MATH-1334?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
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Rob Tompkins updated MATH-1334:
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Fix Version/s: 4.X
> Resurrect Dhillon's algorithm for symmetric eigen-decomposition
> ---------------------------------------------------------------
>
> Key: MATH-1334
> URL: https://issues.apache.org/jira/browse/MATH-1334
> Project: Commons Math
> Issue Type: Improvement
> Affects Versions: 3.6
> Reporter: Dario Bahena
> Fix For: 4.X
>
>
> Hi everyone,
> From version 2.0 => 2.1, we seem to have replaced the algorithm for
> calculating the eigen-factorization of symmetric matrices.
> You guys were previously using this specialized algorithm from Mr. Dhillon
> (plus other stuff):
> "This implementation is based on Inderjit Singh Dhillon thesis A New O(n2)
> Algorithm for the Symmetric Tridiagonal Eigenvalue/Eigenvector Problem, on
> Beresford N. Parlett and Osni A. Marques paper An Implementation of the dqds
> Algorithm (Positive Case) and on the corresponding LAPACK routines (DLARRE,
> DLASQ2, DLAZQ3, DLAZQ4, DLASQ5 and DLASQ6)."
> Javadoc:
> https://commons.apache.org/proper/commons-math/javadocs/api-2.0/org/apache/commons/math/linear/EigenDecompositionImpl.html
> but mysteriously, they changed the algorithm on version 2.1; and that seems
> to have started the trend up to current version 3.6:
> "This implementation is based on the paper by A. Drubrulle, R.S. Martin and
> J.H. Wilkinson 'The Implicit QL Algorithm' in Wilksinson and Reinsch (1971)
> Handbook for automatic computation, vol. 2, Linear algebra, Springer-Verlag,
> New-York"
> https://commons.apache.org/proper/commons-math/javadocs/api-2.1/org/apache/commons/math/linear/EigenDecompositionImpl.html
> https://commons.apache.org/proper/commons-math/javadocs/api-3.6/org/apache/commons/math3/linear/EigenDecomposition.html
> I have tested the version 3.6 and 2.0 (with some manual patches you
> published), and the difference is quite significant. For a symmetric matrix
> of 867x867, the times following on my laptop:
> 3.6: around 14 secs
> 2.0: around 3 secs!
> Could we consider bringing back the specialized version for symmetric cases?
> I sort of feel we lost something here ;-|
> Thanks.
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