Precision in R
On Jan 15, 2009, at 12:25 PM, Charles C. Berry wrote:
This is what I get on windows XP:
tcp1-tcp2
[,1] [,2] [,3] [1,] -2.861023e-06 -4.768372e-07 -4.768372e-07 [2,] -4.768372e-07 -3.814697e-06 2.622604e-06 [3,] -4.768372e-07 2.622604e-06 -5.960464e-08
but on my Gentoo Linux Intel Core 2 Duo:
print(tcp1-tcp2,digits=20)
[,1] [,2] [,3]
[1,] 0 0 0
[2,] 0 0 0
[3,] 0 0 0
So, it would seem to be that the floating point calcs on my Windows box, David's Mac, and whatever system you are using are not as accurate as they might be.
For the record; on an Intel Mac (Leopard) with Urbanek's compilation
of R 2.8.1
> print(tcp1-tcp2,digits=20)
[,1] [,2] [,3]
[1,] 0 0 0
[2,] 0 0 0
[3,] 0 0 0
David Winsemius > > > It is well known that rounding error can play havoc with > crossproducts (particularly when the range of magnitudes of the > numbers is wide as it is here), which is why matrix decompositions > are generally used for solving least squares problems. > > The internal code for crossprod and tcrossprod is different, so the > computations are likely done in a different order, which would account > for the difference in tcp1 and tcp2 . Ultimately, array.c and blas.f > SUBROUTINE > DSYRK have the code if you want to dig into it. > > So to summarize: the difference is not due to R per se, but in the > limited accuracy of floating point calcs on the system used. > > HTH, > > Chuck snip