[Rd] Concerns with SVD -- and the Matrix Exponential

Martin Maechler m@ech|er @end|ng |rom @t@t@m@th@ethz@ch
Wed Aug 16 10:40:13 CEST 2023


>>>>> Durga Prasad G me14d059 
>>>>>     on Wed, 16 Aug 2023 13:36:10 +0530 writes:

    > Dear Martin, I am getting different responses from different officials of
    > R-Software, 

well, well, ..
Here on R-devel, we got two messages in addition to mine,
none by any "official" (even though John C Nash probably gets
the title of most senior professor still active on the R mailing list),
but both to the point,
notably Aidan Lakshman below showing you how you were unaware of
several things about the SVD, and confusing
positive semi definite matrices with arbitrary symmetric matrices.

    > but those statements are contradicting with the statements
    > discussed in your email. 

I don't think so.  I think we all agreed (John Nash, me, Aidan Lakshman),
even though focussing on different aspects of your partly
incorrect claims.

Martin Maechler



    > Kindly go through the previous files and emails,
    > and respond. I personally think, together we can fix the issue which is
    > observed in SVD.

    > Thanks and regards
    > Durga Prasad

    > On Tue, Aug 1, 2023 at 4:51 PM Lakshman, Aidan H <AHL27 using pitt.edu> wrote:

    >> Hi Durga,
    >> 
    >> There’s an error in your calculations here. You mention that for the SVD
    >> of a symmetric matrix, we must have U=V, but this is not a correct
    >> statement. The unitary matrices are only equivalent if the matrix A is
    >> positive semidefinite.
    >> 
    >> In your example, you provide the matrix {{1,4},{4,1}}, which has
    >> eigenvalues 5 and -3. This is not positive semidefinite, and thus there's
    >> no requirement that the unitary matrices be equivalent.
    >> 
    >> If you verify your example with something like wolfram alpha, you’ll find
    >> that R’s solution is correct.
    >> 
    >> -Aidan
    >> 
    >> -----------------------
    >> 
    >> Aidan Lakshman (he/him) <https://www.ahl27.com/>
    >> 
    >> Doctoral Fellow, Wright Lab <https://www.wrightlabscience.com/>
    >> 
    >> University of Pittsburgh School of Medicine
    >> 
    >> Department of Biomedical Informatics
    >> 
    >> ahl27 using pitt.edu
    >> 
    >> (724) 612-9940
    >> 
    >> 
    >> 
    >> ------------------------------
    >> *From:* R-devel <r-devel-bounces using r-project.org> on behalf of Durga Prasad
    >> G me14d059 <me14d059 using smail.iitm.ac.in>
    >> *Sent:* Tuesday, August 1, 2023 4:18:20 AM
    >> *To:* Martin Maechler <maechler using stat.math.ethz.ch>; r-devel using r-project.org
    >> <r-devel using r-project.org>; profjcnash using gmail.com <profjcnash using gmail.com>
    >> *Subject:* Re: [Rd] Concerns with SVD -- and the Matrix Exponential
    >> 
    >> Hi Martin, Thank you for your reply. The response and the links provided by
    >> you helped to learn more. But I am not able to obtain the simple even
    >> powers of a matrix: one simple case is the square of a matrix. The square
    >> of the matrix using direct matrix multiplication operations and svd (A = U
    >> D V') are different. Kindly check the attached file for the complete
    >> explanation. I want to know which technique was used in building the svd in
    >> R-Software. I want to discuss about svd if you schedule a meeting.
    >> 
    >> Thanks and Regards
    >> Durga Prasad
    >> 
    >> 
    >> On Mon, Jul 17, 2023 at 2:13 PM Martin Maechler <
    >> maechler using stat.math.ethz.ch>
    >> wrote:
    >> 
    >> > >>>>> J C Nash
    >> > >>>>>     on Sun, 16 Jul 2023 13:30:57 -0400 writes:
    >> >
    >> >     > Better check your definitions of SVD -- there are several
    >> >     > forms, but all I am aware of (and I wrote a couple of the
    >> >     > codes in the early 1970s for the SVD) have positive
    >> >     > singular values.
    >> >
    >> >     > JN
    >> >
    >> > Indeed.
    >> >
    >> > More generally, the decomposition     A = U D V'
    >> > (with diagonal D and orthogonal U,V)
    >> > is not at all unique.
    >> >
    >> > There are not only many possible different choices of the sign
    >> > of the diagonal entries, but also the *ordering* of the singular values
    >> > is non unique.
    >> > That's why R and 'Lapack', the world-standard for
    >> >   computer/numerical linear algebra, and others I think,
    >> > make the decomposition unique by requiring
    >> > non-negative entries in D and have them *sorted* decreasingly.
    >> >
    >> > The latter is what the help page   help(svd)  always said
    >> > (and you should have studied that before raising such concerns).
    >> >
    >> > -----------------------------------------------------------------
    >> >
    >> > To your second point (in the document), the matrix exponential:
    >> > It is less known, but still has been known among experts for
    >> > many years (and I think even among students of a class on
    >> > numerical linear algebra), that there are quite a
    >> > few mathematically equivalent ways to compute the matrix exponential,
    >> > *BUT* that most of these may be numerically disastrous, for several
    >> > different reasons depending on the case.
    >> >
    >> > This has been known for close to 50 years now:
    >> >
    >> >  Cleve Moler and Charles Van Loan  (1978)
    >> >  Nineteen Dubious Ways to Compute the Exponential of a Matrix
    >> >  SIAM Review Vol. 20(4)
    >> >
    >> https://nam12.safelinks.protection.outlook.com/?url=https%3A%2F%2Fdoi.org%2F10.1137%2F1020098&data=05%7C01%7Cahl27%40pitt.edu%7C8575b77db32345ca544b08db927ceae0%7C9ef9f489e0a04eeb87cc3a526112fd0d%7C1%7C0%7C638264837816871329%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=Y4mlFL%2FggLKd7FoIoY62esiFGUwukRG0YmELsJj7nd0%3D&reserved=0
    >> <https://doi.org/10.1137/1020098>
    >> >
    >> > Where as that publication had been important and much cited at
    >> > the time, the same authors (known world experts in the field)
    >> > wrote a review of that review 25 years later which I think (and
    >> > hope) is even more widely cited  (in R's man/*.Rd syntax) :
    >> >
    >> >   Cleve Moler and Charles Van Loan (2003)
    >> >   Nineteen dubious ways to compute the exponential of a matrix,
    >> >   twenty-five years later. \emph{SIAM Review} \bold{45}, 1, 3--49.
    >> >   \doi{10.1137/S00361445024180}
    >> > i.e.
    >> https://nam12.safelinks.protection.outlook.com/?url=https%3A%2F%2Fdoi.org%2F10.1137%2FS00361445024180&data=05%7C01%7Cahl27%40pitt.edu%7C8575b77db32345ca544b08db927ceae0%7C9ef9f489e0a04eeb87cc3a526112fd0d%7C1%7C0%7C638264837817183809%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=5%2FlssUGC6q7SUy0PY7gZCqWi0%2BXbNwZD0FaAgIcOWdY%3D&reserved=0
    >> <https://doi.org/10.1137/S00361445024180>
    >> >
    >> > It is BTW also cited on the Wikipedia page on the matrix
    >> > exponential:
    >> >
    >> >
    >> > ==> For this reason, Professor Douglas Bates, the initial
    >> > creator of R's Matrix package (which comes with R) has added the
    >> > Matrix exponential very early to the package:
    >> > ------------------------------------------------------------------------
    >> > r461 | bates | 2005-01-29
    >> >
    >> > Add expm function
    >> > ------------------------------------------------------------------------
    >> >
    >> > Later, I've fixed an "infamous" bug :
    >> > ------------------------------------------------------------------------
    >> > r2127 | maechler | 2008-03-07
    >> >
    >> > fix the infamous expm() bug also in "Matrix" (duh!)
    >> > ------------------------------------------------------------------------
    >> >
    >> > Then, Vincent Goulet and Christophe Dutang wanted to provide more
    >> > versions of expm() and we collaborated, also providing expm()
    >> > for complex matrices and created the CRAN package {expm}
    >> >   -->
    >> https://nam12.safelinks.protection.outlook.com/?url=https%3A%2F%2Fcran.r-project.org%2Fpackage%3Dexpm&data=05%7C01%7Cahl27%40pitt.edu%7C8575b77db32345ca544b08db927ceae0%7C9ef9f489e0a04eeb87cc3a526112fd0d%7C1%7C0%7C638264837817183809%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=LlAzmeRZd5tNqAgTuYTTSsSakWEj85%2B%2F%2FP%2FM0DnZNLk%3D&reserved=0
    >> <https://cran.r-project.org/package=expm>
    >> > which already provided half a dozen different expm algorithms.
    >> >
    >> > But research and algorithms did not stop there.  In 2008, Higham
    >> > and collaborators even improved on the best known algorithms
    >> > and I had the chance to co-supervise a smart Master's student
    >> > Michael Stadelmann to implement Higham's algorithm and we even
    >> > allowed to tweak it {with optional arguments} as that was seen
    >> > to be beneficial sometimes.
    >> >
    >> > See e.g.,
    >> >
    >> https://nam12.safelinks.protection.outlook.com/?url=https%3A%2F%2Fwww.rdocumentation.org%2Fpackages%2Fexpm%2Fversions%2F0.999-7%2Ftopics%2Fexpm&data=05%7C01%7Cahl27%40pitt.edu%7C8575b77db32345ca544b08db927ceae0%7C9ef9f489e0a04eeb87cc3a526112fd0d%7C1%7C0%7C638264837817340048%7CUnknown%7CTWFpbGZsb3d8eyJWIjoiMC4wLjAwMDAiLCJQIjoiV2luMzIiLCJBTiI6Ik1haWwiLCJXVCI6Mn0%3D%7C3000%7C%7C%7C&sdata=ZrT%2FYvklccqLCORBMf6nGop5o3n7O2thkknG1UAS2Gc%3D&reserved=0
    >> <https://www.rdocumentation.org/packages/expm/versions/0.999-7/topics/expm>
    >> >
    >> >
    >> >     > On 2023-07-16 02:01, Durga Prasad G me14d059 wrote:
    >> >     >> Respected Development Team,
    >> >     >>
    >> >     >> This is Durga Prasad reaching out to you regarding an
    >> >     >> issue/concern related to Singular Value Decomposition SVD
    >> >     >> in R software package. I am attaching a detailed
    >> >     >> attachment with this letter which depicts real issues
    >> >     >> with SVD in R.
    >> >     >>
    >> >     >> To reach the concern the expressions for the exponential
    >> >     >> of a matrix using SVD and projection tensors are obtained
    >> >     >> from series expansion. However, numerical inconsistency
    >> >     >> is observed between the exponential of matrix obtained
    >> >     >> using the function(svd()) used in R software.
    >> >     >>
    >> >     >> However, it is observed that most of the researchers
    >> >     >> fraternity is engaged in utilising R software for their
    >> >     >> research purposes and to the extent of my understanding
    >> >     >> such an error in SVD in R software might raise the
    >> >     >> concern about authenticity of the simulation results
    >> >     >> produced and published by researchers across the globe.
    >> >     >>
    >> >     >> Further, I am very sure that the R software development
    >> >     >> team is well versed with the happening and they have any
    >> >     >> specific and resilient reasons for doing so. I would
    >> >     >> request you kindly, to guide me through the concern.
    >> >     >>
    >> >     >> Thank you very much.
    >> >
    >> 

    > [[alternative HTML version deleted]]



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