I have found cholfact to behave differently (erroneously?) under parallel
processing contexts than under standard settings. What I mean by "parallel
processing" is simply having previously called addprocs(). Here is some
example code that I am running on my mid-2009 MacBook Pro using a somewhat
recent brew of @staticfloat's homebrew distribution:
addprocs(8)
N = 1000
x = 10 * randn(N)
X = zeros(N,N)
for i = 1:N
for j = 1:N
X[i,j] = exp(-.5 * (x[i]-x[j])^2)
end
end
X = X + diagm(.5 * ones(N))
C = cholfact(X)
iC = inv(C)
CiC = cholfact(iC)
I believe this code generates an X which is positive definite by
construction.
If I run this code as-is, I get the following error (or something similar,
the PosDefException sometimes changes):
*ERROR: PosDefException(12)*
* in cholfact! at linalg/factorization.jl:36*
* in cholfact at linalg/factorization.jl:39*
*while loading /Users/tcovert/path_to_code.jl, in expression starting on
line 16*
However, if I comment out the "addprocs(8)" line, everything works fine.
Also, for smaller values of N the problem goes away (N=100,200 is fine,
N=400 is not). Here is my versioninfo() if that helps:
*julia> **versioninfo()*
Julia Version 0.3.0-prerelease+3868
Commit e7a9a7d* (2014-06-24 19:39 UTC)
Platform Info:
System: Darwin (x86_64-apple-darwin13.2.0)
CPU: Intel(R) Core(TM)2 Duo CPU P8700 @ 2.53GHz
WORD_SIZE: 64
BLAS: libopenblas (USE64BITINT NO_AFFINITY)
LAPACK: libopenblas
LIBM: libopenlibm
