[Numpy-discussion] svd error checking vs. speed

[alex]

On Sat, Feb 15, 2014 at 5:08 PM,  <josef.pktd at gmail.com> wrote:
> On Sat, Feb 15, 2014 at 4:56 PM, Sebastian Berg
> <sebastian at sipsolutions.net> wrote:
>> On Sa, 2014-02-15 at 16:37 -0500, alex wrote:
>>> Hello list,
>>>
>>> Here's another idea resurrection from numpy github comments that I've
>>> been advised could be posted here for re-discussion.
>>>
>>> The proposal would be to make np.linalg.svd more like scipy.linalg.svd
>>> with respect to input checking.  The argument against the change is
>>> raw speed; if you know that you will never feed non-finite input to
>>> svd, then np.linalg.svd is a bit faster than scipy.linalg.svd.  An
>>> argument for the change could be to avoid issues reported on github
>>> like crashes, hangs, spurious non-convergence exceptions, etc. from
>>> the undefined behavior of svd of non-finite input.
>>>
>>
>> +1, unless this is a huge speed penalty, correctness (and decent error
>> messages) should come first in my opinion, this is python after all. If
>> this is a noticable speed difference, a kwarg may be an option (but
>> would think about that some more).
>
> maybe -1
>
> statsmodels is using np.linalg.pinv which uses svd
> I never ran heard of any crash (*), and the only time I compared with
> scipy I didn't like the slowdown.
> I didn't do any serious timings just a few examples.

According to https://github.com/statsmodels/statsmodels/blob/master/statsmodels/tools/linalg.py
statsmodels pinv(A) checks isfinite(A) at least twice and also checks
for finiteness of the identity matrix.  Or maybe this is not the pinv
that you meant.

Alex