bug #1528: better use numeric_limits::min() instead of 1/highest() that with underflow.

Author: ggael

Eigen/src/Cholesky/LDLT.h

@@ -569,13 +569,14 @@ void LDLT<_MatrixType,_UpLo>::_solve_impl(const RhsType &rhs, DstType &dst) cons
   // more precisely, use pseudo-inverse of D (see bug 241)
   using std::abs;
   const typename Diagonal<const MatrixType>::RealReturnType vecD(vectorD());
-  // In some previous versions, tolerance was set to the max of 1/highest and the maximal diagonal entry * epsilon
-  // as motivated by LAPACK's xGELSS:
+  // In some previous versions, tolerance was set to the max of 1/highest (or rather numeric_limits::min())
+  // and the maximal diagonal entry * epsilon as motivated by LAPACK's xGELSS:
   // RealScalar tolerance = numext::maxi(vecD.array().abs().maxCoeff() * NumTraits<RealScalar>::epsilon(),RealScalar(1) / NumTraits<RealScalar>::highest());
   // However, LDLT is not rank revealing, and so adjusting the tolerance wrt to the highest
   // diagonal element is not well justified and leads to numerical issues in some cases.
   // Moreover, Lapack's xSYTRS routines use 0 for the tolerance.
-  RealScalar tolerance = RealScalar(1) / NumTraits<RealScalar>::highest();
+  // Using numeric_limits::min() gives us more robustness to denormals.
+  RealScalar tolerance = (std::numeric_limits<RealScalar>::min)();
 
   for (Index i = 0; i < vecD.size(); ++i)
   {