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Don't throw in eigs on semidefinite Bs for generalized eigenproblems. #17873

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merged 1 commit into from
Aug 25, 2016

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andreasnoack
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@madeleineudell With this it should be possible to handle semidefinite Bs via explicit shift. See the added test for an example.

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@andreasnoack , this is fantastic. thanks!

This makes it possible to solve problems with semidefinite B via explicit
shift.
@andreasnoack andreasnoack merged commit f95b8b1 into master Aug 25, 2016
@andreasnoack andreasnoack deleted the anj/eigs branch August 25, 2016 04:07
tkelman pushed a commit that referenced this pull request Aug 29, 2016
…#17873)

This makes it possible to solve problems with semidefinite B via explicit
shift.
(cherry picked from commit f95b8b1)
mfasi pushed a commit to mfasi/julia that referenced this pull request Sep 5, 2016
…JuliaLang#17873)

This makes it possible to solve problems with semidefinite B via explicit
shift.
tkelman pushed a commit that referenced this pull request Sep 13, 2016
…#17873)

This makes it possible to solve problems with semidefinite B via explicit
shift.
(cherry picked from commit f95b8b1)
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tkelman commented Sep 20, 2016

similarly, be very careful about your minimum julia version dependency if you rely on this in 0.4.7

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andreasnoack commented Mar 1, 2018

I think we might want to revert this. The behavior reported in JuliaLang/LinearAlgebra.jl#488 is simply too problematic and it is pretty standard to assume that B is PD in the symmetric generalized eigenvalue problem. That is what LAPACK does. @madeleineudell On the mailing list, you mentioned that B was often not positive definite. I assume that this might be the case for optimization problems. Could you explain the properties of A and B for typical and maybe also some less typical optimization problems. Maybe we can find a solution that can work you without opening the door for silent errors like the ones reported in JuliaLang/LinearAlgebra.jl#488.

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3 participants