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[apps/reg] Algorithm more robust against non invertible matrices

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Léa Saviot
2018-06-15 17:27:07 +02:00
committed by Émilie Feral
parent c68cd9d2ba
commit c56652cda9
1 changed files with 16 additions and 1 deletions
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17
apps/regression/model/model.cpp
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@@ -148,8 +148,23 @@ double Model::betaCoefficient(Store * store, int series, double * modelCoefficie
void Model::solveLinearSystem(double * solutions, double * coefficients, double * constants, int solutionDimension, Context * context) {
int n = solutionDimension;
assert(n <= k_maxNumberOfCoefficients);
double coefficientsSave[k_maxNumberOfCoefficients * k_maxNumberOfCoefficients];
for (int i = 0; i < n * n; i++) {
coefficientsSave[i] = coefficients[i];
}
int inverseResult = Matrix::ArrayInverse(coefficients, n, n);
assert(inverseResult >= 0);
if (inverseResult < 0) {
// If the matrix was not invertible, modify it a bit
for (int i = 0; i < n; i ++) {
coefficientsSave[i*n+i] = (1 + ((double)i)/((double)n)) * coefficientsSave[i*n+i];
}
int inverseSecondResult = Matrix::ArrayInverse(coefficientsSave, n, n);
assert(inverseSecondResult >= 0);
for (int i = 0; i < n*n; i++) {
coefficients[i] = coefficientsSave[i];
}
}
Multiplication::computeOnArrays<double>(coefficients, constants, solutions, n, n, 1);
}