[Octave-bug-tracker] [bug #33347] lsqnonneg should have tolerance option for convergence

[anonymous]

URL:
  <http://savannah.gnu.org/bugs/?33347>

                 Summary: lsqnonneg should have tolerance option for
convergence
                 Project: GNU Octave
            Submitted by: None
            Submitted on: Thu 19 May 2011 05:30:19 AM UTC
                Category: Libraries
                Severity: 3 - Normal
                Priority: 5 - Normal
              Item Group: Improvement/Optimization
                  Status: None
             Assigned to: None
         Originator Name: Sean Pieper
        Originator Email: address@hidden
             Open/Closed: Open
         Discussion Lock: Any
                 Release: 3.4.0
        Operating System: GNU/Linux

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Details:

running lsqnonneg using a matrix with a large range of exact solutions, I see
that it takes about 20s to solve for points that should have 0 error and much
less for points that have some error-- apparently the full 10000 iterations
are used trying to get to exactly 0 distance (end result is ~10^26 distance).
The worst case performance can be considerably reduced if we modify the code
around here:



   144     ## compute the gradient.
   145     w = c'*(d - c*x);
   146     w(p) = [];
   147     if (! any (w > 0))
   148       if (useqr)
   149         ## verify the solution achieved using qr updating.


so that line 147 reads



   147     if (! any (w > 0.001))



Obviously, the right value for the tolerance isn't always going to be 0.001,
but it should be easy enough to add a tolerance parameter to the option set,
and possibly to additionally have some sort of auto tolerance calculation
based on the max values of points, some static value of epsilon, etc.






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