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Merge pull request #1089 from YuhanLiin/fix-svd

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Fix SVD instability bug
This commit is contained in:
Sébastien Crozet 2022-03-10 09:33:45 +01:00 committed by GitHub
commit a46f172fe4
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2 changed files with 46 additions and 7 deletions
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14
src/linalg/svd.rs
View File

@ -98,7 +98,7 @@ where
matrix,
compute_u,
compute_v,
T::RealField::default_epsilon(),
T::RealField::default_epsilon() * crate::convert(5.0),
0,
)
.unwrap()
@ -888,13 +888,13 @@ fn compute_2x2_uptrig_svd<T: RealField>(
v_t = Some(csv.clone());
}
if compute_u {
let cu = (m11.scale(csv.c()) + m12 * csv.s()) / v1.clone();
let su = (m22 * csv.s()) / v1.clone();
let (csu, sgn_u) = GivensRotation::new(cu, su);
let cu = (m11.scale(csv.c()) + m12 * csv.s()) / v1.clone();
let su = (m22 * csv.s()) / v1.clone();
let (csu, sgn_u) = GivensRotation::new(cu, su);
v1 *= sgn_u.clone();
v2 *= sgn_u;
v1 *= sgn_u.clone();
v2 *= sgn_u;
if compute_u {
u = Some(csu);
}
}

39
tests/linalg/svd.rs
View File

@ -460,3 +460,42 @@ fn svd_sorted() {
epsilon = 1.0e-5
);
}
#[test]
// Exercises bug reported in issue #983 of nalgebra (https://github.com/dimforge/nalgebra/issues/983)
fn svd_regression_issue_983() {
let m = nalgebra::dmatrix![
10.74785316637712f64, -5.994983325167452, -6.064492921857296;
-4.149751381521569, 20.654504205822462, -4.470436210703133;
-22.772715014220207, -1.4554372570788008, 18.108113992170573
]
.transpose();
let svd1 = m.clone().svd(true, true);
let svd2 = m.clone().svd(false, true);
let svd3 = m.clone().svd(true, false);
let svd4 = m.svd(false, false);
assert_relative_eq!(svd1.singular_values, svd2.singular_values, epsilon = 1e-9);
assert_relative_eq!(svd1.singular_values, svd3.singular_values, epsilon = 1e-9);
assert_relative_eq!(svd1.singular_values, svd4.singular_values, epsilon = 1e-9);
assert_relative_eq!(
svd1.singular_values,
nalgebra::dvector![3.16188022e+01, 2.23811978e+01, 0.],
epsilon = 1e-6
);
}
#[test]
// Exercises bug reported in issue #1072 of nalgebra (https://github.com/dimforge/nalgebra/issues/1072)
fn svd_regression_issue_1072() {
let x = nalgebra::dmatrix![-6.206610118536945f64, -3.67612186839874; -1.2755730783423473, 6.047238193479124];
let mut x_svd = x.svd(true, true);
x_svd.singular_values = nalgebra::dvector![1.0, 0.0];
let y = x_svd.recompose().unwrap();
let y_svd = y.svd(true, true);
assert_relative_eq!(
y_svd.singular_values,
nalgebra::dvector![1.0, 0.0],
epsilon = 1e-9
);
}