[Octave-bug-tracker] [bug #38875] strange errors using sqp

[Julien Bect]

Follow-up Comment #13, bug #38875 (project octave):

Robust in the sense of getting an answer more often that's fore sure

How "reasonable" is that answer? Can we claim that it will more robust in
terms of numerical stability? I can't tell. To answer that theoretically you
would have to know what's under the hood of eigs and null (and be much more
knowledgeable in numerical analysis than I am).

Another approach would be to set up a large-scale numerical benchmark on
Cholesky factorization and then (hopefully) demonstrate empirically that this
trick improves the results.

I would recommend the following:  a) First see if this trick (insert somewhere
in sqp or _qp_) solves the original problem identified in this bug report. I
can prepare a patch for that. If it does solve the problem, apply it.  b)
Create a new bug report clearly focused on trying to improve chol for
ill-conditionned matrices.

Finally, there *is* a stopping condition in my code.  Recursion stops as soon
as a plain chol succeeds.  For nice matrices, there is no iteration at all.



    _______________________________________________________

Reply to this item at:

  <http://savannah.gnu.org/bugs/?38875>

_______________________________________________
  Message posté via/par Savannah
  http://savannah.gnu.org/