pseudoSqrt() and rankReducedSqrt()

[Li, Peter]

Hi, Luigi,

in pseudoSqrt.cpp the checking of symmetric matrix may fail due to rounding errors in construction of a matrix.

For safety, line 235 and 343

 

           QL_REQUIRE(matrix[i][j] == matrix[j][i],

                           "matrix not symmetric");

 

should be changed to  QL_REQUIRE(fabs(matrix[i][j] -matrix[j][i])< QL_EPSILON ,

                           "matrix not symmetric");

 

The current check thinks

0.026098788171586292  0.026098788171586288 are different.

 

Thanks.

 

------------------------------------

Peter Li 

 

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[Luigi Ballabio]

On Thu, 2007-03-15 at 10:36 -0400, Li, Peter wrote:
> in pseudoSqrt.cpp the checking of symmetric matrix may fail due to
> rounding errors in construction of a matrix.

Fixed, thanks. Not by me, I must add.

Luigi


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-- Groucho Marx



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[Li, Peter]

Hi,
Here it is to confirm that the symmetric matrix checking failure has
been fixed.

Thanks.

------------------------------------
Peter Li

-----Original Message-----
From: Luigi Ballabio [mailto:[hidden email]]
Sent: Thursday, March 22, 2007 7:57 AM
To: Li, Peter
Cc: [hidden email]
Subject: Re: [Quantlib-dev] pseudoSqrt() and rankReducedSqrt()

On Thu, 2007-03-15 at 10:36 -0400, Li, Peter wrote:
> in pseudoSqrt.cpp the checking of symmetric matrix may fail due to
> rounding errors in construction of a matrix.

Fixed, thanks. Not by me, I must add.

Luigi


----------------------------------------

Anyone who says he can see through women is missing a lot.
-- Groucho Marx



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[Luigi Ballabio]

On Apr 10, 2007, at 1:26 PM, Li, Peter wrote:

> Hi,
> Here it is to confirm that the symmetric matrix checking failure has
> been fixed.

Ok, thanks.

Luigi


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