CODEWITHSUNDEEP
c++rrcpparmadillorcpparmadillo
Andrew Ying
Andrew Ying

Reputation: 3

RcppArmadillo returns pinv(): svd failed

I have a matrix A and a vector b, I want to solve the linear system Ax = b for x. The problem is that frequently A will be singular. I used RcppArmadillo package in R to do this. Basically I do

arma::mat A = something;
arma::vec b = something;
arma::mat tmp_pinv = arma::pinv(X, 0.001);
arma::mat tmp_res = tmp_pinv * b;

However, I got error message "pinv(): svd failed". Is there any way to solve this? Either I can maybe use different package? Or I can try catch this error and let the problem keeps going? Any thoughts?

Upvotes: 0

Views: 342

Answers (1)

hbrerkere
hbrerkere

Reputation: 1615

If the solution can be approximate, one approach is to iteratively add a small scalar to the diagonal of A to make the matrix non-singular and keep retrying to find the solution.

The solve() function is generally more robust and efficient than pinv() for solving linear systems.

arma::mat A = something;
arma::vec b = something;
arma::mat tmp_res;

bool done = arma::solve(tmp_res,A,b);
int iter = 0;

while(!done) {
  A.diag() += 100.0 * arma::datum::eps;
  done = arma::solve(tmp_res,A,b);
  if(iter > 1000)  break;  // give up when maximum number of iterations is reached
  iter++;
  }

Upvotes: 0

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