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From: | ionone |
Subject: | Re: Octave/C++ matrix Inv() comparison |
Date: | Wed, 10 Jul 2013 02:59:09 -0700 (PDT) |
Hello,
before starting to invest your time into comparing algorithms and toolboxes ... first look at your data. Perform a singular value decomposition, look at the ratio of the biggest singular value (top left of the S matrix) to the smallest one (bottom right). A ratio greater than 1/sqrt(eps), around 1e8, is calling for rounding issues. If this is the case, try understanding why this ratio is so low: it is the symptom that some of your columns are strongly linearly correlated. Common cures: compute pseudo-inverse (pinv), i.e. neglecting "directions" where noise sensitivity is great; or minimal-norm solutions.
Regards
Pascal
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