I wrote a C++ wrapper class to some functions in LAPACK. In order to test the class, I use the Python C Extension, where I call numpy, and do the same operations, and compare the results by taking the difference
For example, for the inverse of a matrix, I generate a random matrix in C++, then pass it as a string (with many, many digits, like 30 digits) to Python's terminal using PyRun_SimpleString, and assign the matrix as numpy.matrix(...,dtype=numpy.double) (or numpy.complex128). Then I use numpy.linalg.inv() to calculate the inverse of the same matrix. Finally, I take the difference between numpy's result and my result, and use numpy.isclose with a specific relative tolerance to see whether the results are close enough.
The problem: The problem is that when I use C++ floats, the relative precision I need to be able to compare is about 1e-2!!! And yet with this relative precision I get some statistical failures (with low probability).
Doubles are fine... I can do 1e-10 and it's statistically safe.
While I know that floats have intrinsic bit precision of about 1e-6, I'm wondering why I have to go so low to 1e-2 to be able to compare the results, and it still fails some times!
So, going so low down to 1e-2 got me wondering whether I'm thinking about this whole thing the wrong way. Is there something wrong with my approach?
Please ask for more details if you need it.
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