testing for symmetric positive definite matrix in CholeskyDecomposition

• Key: MATH-274
• Type: Bug
• Status: Closed
• Resolution: Fixed
• Priority: Minor
• Assignee: Luc Maisonobe
• Reporter: Manuel Rossetti
• Affects Version/s: 2.0
• Fix Version/s: 2.0

Description

I used this matrix:

double[][] cv = {
{0.40434286, 0.09376327, 0.30328980, 0.04909388},
{0.09376327, 0.10400408, 0.07137959, 0.04762857},
{0.30328980, 0.07137959, 0.30458776, 0.04882449},
{0.04909388, 0.04762857, 0.04882449, 0.07543265}
};

And it works fine, because it is symmetric positive definite

I tried this matrix:

double[][] cv = {
{0.40434286, -0.09376327, 0.30328980, 0.04909388},
{-0.09376327, 0.10400408, 0.07137959, 0.04762857},
{0.30328980, 0.07137959, 0.30458776, 0.04882449},

{0.04909388, 0.04762857, 0.04882449, 0.07543265}

};

And it should throw an exception but it does not. I tested the matrix in R and R's cholesky decomposition method returns that the matrix is not symmetric positive definite.

Obviously your code is not catching this appropriately.

By the way (in my opinion) the use of exceptions to check these conditions is not the best design or use for exceptions. If you are going to force the use to try and catch these exceptions at least provide methods to test the conditions prior to the possibility of the exception.

Comments

[Luc Maisonobe]

fixed in subversion repository as of r 781845
Concerning the exception, it is not possible to check the matrix without trying to decompose it, so providing an external check would be a waste as it would already do almost everything. In fact, it was exactly the reason for the bug: the check was done too early on the raw matrix, not on the matrix after some changes have been made to its elements.
thanks for the report

[Manuel Rossetti]

Luc,

Thanks for fixing the error.

You are missing my point. You should provide the user the opportunity
to check the condition, rather than having to rely on exceptions. The
client can make the decision whether it is a waste or not.

And, we will agree to disagree on how the library is using exceptions.

Regards,
Manuel

-----------------------------------------------------
Manuel D. Rossetti, Ph.D., P.E.
Associate Professor of Industrial Engineering
University of Arkansas
Department of Industrial Engineering
4207 Bell Engineering Center
Fayetteville, AR 72701
Phone: [phone]
Fax: [phone]
email: [e-mail]
www: www.uark.edu/~rossetti

[Luc Maisonobe]

closing resolved issue for 2.0 release