Fix QRDecomposition
Bug #1209830 reported by
Richard Gomes
This bug affects 1 person
Affects | Status | Importance | Assigned to | Milestone | |
---|---|---|---|---|---|
JQuantLib |
New
|
Medium
|
Unassigned |
Bug Description
QRDecomposition needs debugging.
QuantLib calls a QR decomposition implemented by MINPACK.
MINPACK was initially implemented in FORTRAN and then translated to Java.
Our code is based on MINPACK/J but adapted to look like other decompositions, which I adapted from JAMA.
Class MatrixTest has a test case for QRDecomposition.
Probably a good strategy to solve this issue would be calling MINPACK/J, mimicking what QuantLib does and compare against our test case. It would free us of having to run QuantLib inside CDT.
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QRDecomposition is important to perform inversion of matrices.
I've adapted QRDecomposition from Apache Commons Math v2.0-RC4
MatrixTest has a number of test cases involving matrix decompositions.
QRDecomposition pass but QRsolve is still failing.