bugGNU Octave - Bugs: bug #33792, default tolerances for quad...

 
 

bug #33792: default tolerances for quad integration routines differ from Matlab

Submitted by:  Ben Abbott <bpabbott>
Submitted on:  Mon 18 Jul 2011 11:37:00 AM UTC  
 
Category: InterpreterSeverity: 3 - Normal
Priority: 5 - NormalItem Group: Matlab Compatibility
Status: ConfirmedAssigned to: None
Originator Name: Ben AbbottOpen/Closed: Closed
Release: devOperating System: Mac OS

Add a New Comment (Rich MarkupRich Markup):
   

You are not logged in

Please log in, so followups can be emailed to you.

 

(Jump to the original submission Jump to the original submission)

Wed 13 Mar 2013 10:56:52 PM UTC, comment #9:

It appears that there is more to this than just tolerance
value changes. There is the rel/abs tol question below.

Also, Matlab's handling of 754 precision is not seen as
helpul by Kahan. See:
http://www.cs.berkeley.edu/~wkahan/MxMulEps.pdf

It seems to me that while Matlab compatibility is a good
general goal, sacrificing available precision to achieve
"compatibility" is not appropriate. Maybe "as good as
or better" would make sense here.

So, at least for now, since the main bug reported below has been
fixed, I would say to close this unless someone has a definite
reason (other than Matlab) to change some tolerances.

Michael Godfrey <godfrey>
Wed 13 Mar 2013 10:24:32 PM UTC, comment #8:

This is quite old now, but should we move Octave integration tolerances to match Matlab's? It just means editing the defaults in the m-files and this bug report contains the values from Matlab.

Rik <rik5>
Project Administrator
Thu 25 Aug 2011 05:01:27 PM UTC, comment #7:

The original error of not working with large tolerances has been fixed in this changeset (http://hg.savannah.gnu.org/hgweb/octave/rev/85dac13a911b). I have re-titled the bug report to reflect the other discussion points raised about default tolerances differing from Matlab.

Rik <rik5>
Project Administrator
Mon 01 Aug 2011 03:52:28 PM UTC, comment #6:

Here is the comparison (oct_ vs. ml_):

*) oct_quad uses abs_tol or [abs_tol,rel_tol] (default [sqrt(eps),sqrt(eps)], ml_quad uses abs_tol (default 1e-6): so, the default in oct_quad should be modified in [1e-6,0]. After that, it is compatible and more general.

*) oct_quadl uses rel_tol (default eps(class(a))), ml_quad uses abs_tol (default 1e-6): in my opinion, oct_quadl should be modified in order to support [abs_tol,rel_tol] with default [1e-6,0]. After that, it is compatible and more general.

*) oct_quadgk uses abs_tol or quadgk(...,'AbsTol',abs_tol,'RelTol',rel_tol,...) (default abs_tol=1e-10, rel_tol=1e-5), ml_quadgk uses only the latter syntax, with different default values depending on the class 'single' or 'double' (in any case, never [1e-6,0]). It means that ml cannot use the common syntax

In this case, I would keep the possibility to give abs_tol, [abs_tol,rel_tol] or quadgk(...,'AbsTol',abs_tol,'RelTol',rel_tol,...). About the default values, I don't know what is best (ml default or [1e-6,0]?)

Marco

Marco Caliari <caliari>
Project Member
Mon 01 Aug 2011 03:12:58 PM UTC, comment #5:

Marco,

Assuming you've looked into it, can you give us a short summary for how the tolerance for Octave's quad, quadl, quadgk differ from ML's?

I assume we'd like to patch each of them so that they are ML compatible.

Ben

Ben Abbott <bpabbott>
Project Member
Mon 01 Aug 2011 02:44:58 PM UTC, comment #4:

Dear Ben,

Matlab passes because it uses the absolute tolerance, whereas Octave the relative. If you try

where 7.6082 is the (quite bad) value used by Octave as magnitude estimate, you get the same result 8.1963 in Matlab. In the Matlab help, it is written that "QUAD may be most efficient for low accuracies": may we also add such a warning in the help?

Now, among the four quadrature formulas quad, quadl, quadgk and quadcc there are four different default values for the tolerances and three types of absolute/relative choices of the tolerance. Isn't it confusing?

Best regards,

Marco

Marco Caliari <caliari>
Project Member
Tue 19 Jul 2011 06:20:14 PM UTC, comment #3:

Up to you whether this test should be in an xtest or not. My only concern is that if it moves in to an xtest it will be forgotten, but maybe that isn't a problem since this bug report will remain.

As for xassert, I'm attaching a trivial implementation. The only issue is that test.m assumes it can call a function xassert which means I needed to add xassert.m to the test/ directory. One could be fancier and strip off the 'x' before calling eval and then restore it when printing and get around needing another function.

(file #23677)

Rik <rik5>
Project Administrator
Tue 19 Jul 2011 04:19:25 PM UTC, comment #2:

Maybe this test (and any others that represent unfixed but known bugs) should be inside xtest blocks?

BTW, since %!assert is just short for %!test assert ..., maybe we should also have %!xassert as a shorter way of saying %!xtest assert ...?

John W. Eaton <jwe>
Project Administrator
Mon 18 Jul 2011 11:17:18 PM UTC, comment #1:

This problem was uncovered during the code sprint and a test was added to highlight the fact. The issue is that at large, sloppy integration tolerances quadl seems to fail completely. The same sloppy tolerances work fine with other integrators such as quadcc and quadv so it is definitely an issue with quadl.

Rik <rik5>
Project Administrator
Mon 18 Jul 2011 11:37:00 AM UTC, original submission:

"make check" on the default branch gives ....

I get the same result with the stable branch (although the test does not part of quadl)

Matlab passes, so I assume the test is correct, but there is some problem with quadl.

Ben

Ben Abbott <bpabbott>
Project Member

 

(Note: upload size limit is set to 16384 kB, after insertion of the required escape characters.)

Attach File(s):
   
   
Comment:
   

Attached Files
file #23677:  xassert.changeset added by rik5 (3kB - application/octet-stream)

 

Depends on the following items: None found

Items that depend on this one: None found

 

Carbon-Copy List
  • -unavailable- added by godfrey (Posted a comment)
  • -unavailable- added by caliari (Posted a comment)
  • -unavailable- added by jwe (Posted a comment)
  • -unavailable- added by rik5 (Posted a comment)
  • -unavailable- added by bpabbott (Submitted the item)
  •  

    Do you think this task is very important?
    If so, you can click here to add your encouragement to it.
    This task has 0 encouragements so far.

    Only project members can vote.

     

    Please enter the title of George Orwell's famous dystopian book (it's a date):

     

     

    Follow 6 latest changes.

    Date Changed By Updated Field Previous Value => Replaced By
    Tue 19 Mar 2013 10:03:16 PM UTCrik5Open/ClosedOpen=>Closed
    Thu 25 Aug 2011 05:01:27 PM UTCrik5Item GroupIncorrect Result=>Matlab Compatibility
      Summaryquadl fails for large integeration tolerances=>default tolerances for quad integration routines differ from Matlab
    Tue 19 Jul 2011 06:20:14 PM UTCrik5Attached File-=>Added xassert.changeset, #23677
    Mon 18 Jul 2011 11:17:18 PM UTCrik5StatusNone=>Confirmed
      Summaryquadl test failure on default branch=>quadl fails for large integeration tolerances

    Back to the top


    Powered by Savane 3.1-cleanup