Replace Laguerre solver with eigenvalue solver

Question

Replace Laguerre solver with eigenvalue solver

Opened this issue 8 years ago · 2 comments

Laguerre solver does a poor job in practice. I used it for a closed-source Arima implementation and felt compelled to replace it with this PolynomialRootFinder class that uses a companion matrix and its eigenvalues: http://stackoverflow.com/questions/13805644/finding-roots-of-polynomial-in-java

The only downside is the need to add EJML as a dependency, although I suppose apache commons linear algebra library (slower than EJML, but we're dealing with very small matrices here) could be swapped in for it.

Answer 1 · 2016-09-06T03:04:17.000Z

Hi @jrachiele, if you're interested in making this change, I'd be happy to review it!

Answer 2 · 2016-09-10T21:13:42.000Z

Pull request made. Adapted for commons-math3 so no need to bring in EJML. Only downside to that is that EJML is known to be faster, but since we're dealing with such small matrices it probably won't matter.