[R] Observations on SVD linpack errors, and a workaround

[Ravi Varadhan]

Dear Prof. Ripley,

You are right.  I failed to pay attention to the following remark in the
help page:

"Note that the storage used by DQRDC and DGEQP3 differs."

Although this does not matter for solving a linear system (i.e. qr.solve()),
the Q and R representations are indeed different.  

Thanks for pointing this out.  

Ravi.

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Ravi Varadhan, Ph.D.

Assistant Professor, The Center on Aging and Health

Division of Geriatric Medicine and Gerontology 

Johns Hopkins University

Ph: (410) 502-2619

Fax: (410) 614-9625

Email: rvaradhan at jhmi.edu

Webpage:  http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html

 

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-----Original Message-----
From: Prof Brian Ripley [mailto:ripley at stats.ox.ac.uk] 
Sent: Thursday, October 18, 2007 1:42 PM
To: Ravi Varadhan
Cc: 'Simon Wood'; r-help at r-project.org
Subject: Re: [R] Observations on SVD linpack errors, and a workaround

On Thu, 18 Oct 2007, Ravi Varadhan wrote:

> Hi,
>
> This is in response to Simon's observation about QR decomp being way too
> slow for the "badx" matrix posted by Art Owen.  This is due to the use of
> LINPACK routine DQRDC.  QR decomp is much faster when LAPACK routine is
> used.
>
>> system.time(qr(badx, LAPACK=T))
> [1] 1.11 0.03 1.14   NA   NA
>
>> system.time(qr(badx))  # Simon's timing
>   user  system elapsed
> 845.896   0.164 846.182
>
> Since LAPACK is more recent and has better routines, I think that it
should
> be the default for QR decomp (as it is already for SVD).

Please look more carefully at the help page: the default was not changed 
for a very good reason, that the LAPACK and LINPACK versions do not solve 
the same problem and the difference is important for typical R uses of 
qr().  (Hint: look at the value section.)

-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595