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Re: st: Hilbert matrices Mata testing


From   M.Delprato@westminster.ac.uk
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Hilbert matrices Mata testing
Date   Fri, 4 May 2007 18:23:56 +0100

Thanks for the example Bill.

Marcos

Quoting "William Gould, Stata" <wgould@stata.com>:

> Marcos <M.Delprato@westminster.ac.uk> writes,
>
> > I found in the Mata manual Hilbert matrices. They are defined as a matrix H
> > with elements H[i,j]=1/(i+j-1). As it says in the help (type help
> > mf_hilbert):  Hilbert matrices are notoriously ill conditioned, with near
> > zero determinants.
> >
> > The help also adds Hilbert(n) and invHilbert(n) are used in testing Mata.
> I
> > think that is intuitive as since they are ill matrices with very low
> > determinants and nearly singular you could use them to test the quality of,
> > for instance, Mata's solver (e.g., qrsolve, lusolve, qrinv) and different
> > inverters (e.g., cholinv, invsym).
> >
> > Am I right?  Could anybody supply an example of how Hilbert matrices are
> > used to test Mata?
>
> We at StataCorp have do-files used for testing Stata.  One of the do-files
> simply serves to call all othe others.  Currently, there are 3,103 do-files
> totalling 568,032 lines.
>
> The part that tests Mata includes 325 files comprising 45,626 lines.
> Here are a few lines from one of the files:
>
>         ...
>         assert(reldif(1/det(Hilbert(2)), 12)<1e-16)
>         assert(reldif(1/det(Hilbert(3)), 2160)<1e-14)
>         assert(reldif(1/det(Hilbert(4)), 6048000)<1e-13)
>         assert(reldif(1/det(Hilbert(5)), 266716800000)<1e-12)
>         ...
> 	assert(mreldif(pinv(pinv(Hilbert(4))), Hilbert(4))<1e-12))
> 	assert(mreldif(pinv(pinv(Hilbert(5))), Hilbert(5))<1e-11))
> 	...
>
> -- Bill
> wgould@stata.com
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