QuantLib_OrthogonalProjections man page

OrthogonalProjections —


#include <ql/math/matrixutilities/basisincompleteordered.hpp>

Public Member Functions

OrthogonalProjections (const Matrix &originalVectors, Real multiplierCutOff, Real tolerance)

const std::valarray< bool > & validVectors () const

const std::vector< Real > & GetVector (Size index) const

Size numberValidVectors () const

Detailed Description

Given a collection of vectors, w_i, find a collection of vectors x_i such that x_i is orthogonal to w_j for i != j, and <x_i, w_i> = <w_i, w_i>

This is done by performing GramSchmidt on the other vectors and then projecting onto the orthogonal space.

This class is tested in



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Referenced By

GetVector(3), numberValidVectors(3), OrthogonalProjections(3) and validVectors(3) are aliases of QuantLib_OrthogonalProjections(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib