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QuantLib_TqrEigenDecomposition
Langue: en
Version: 373569 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::TqrEigenDecomposition -tridiag. QR eigen decomposition with explicite shift aka Wilkinson
SYNOPSIS
#include <ql/math/matrixutilities/tqreigendecomposition.hpp>
Public Types
enum EigenVectorCalculation { WithEigenVector, WithoutEigenVector, OnlyFirstRowEigenVector }
enum ShiftStrategy { NoShift, Overrelaxation, CloseEigenValue }
Public Member Functions
TqrEigenDecomposition (const Array &diag, const Array &sub, EigenVectorCalculation calc=WithEigenVector, ShiftStrategy strategy=CloseEigenValue)
const Array & eigenvalues () const
const Matrix & eigenvectors () const
Size iterations () const
Detailed Description
tridiag. QR eigen decomposition with explicite shift aka Wilkinson
References:
Wilkinson, J.H. and Reinsch, C. 1971, Linear Algebra, vol. II of Handbook for Automatic Computation (New York: Springer-Verlag)
Tests
- the correctness of the result is tested by checking it against known good values.
Author
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