QuantLib_TqrEigenDecomposition man page

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)

'Numerical Recipes in C', 2nd edition, Press, Teukolsky, Vetterling, Flannery,

Tests

the correctness of the result is tested by checking it against known good values.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

iterations(3) and TqrEigenDecomposition(3) are aliases of QuantLib_TqrEigenDecomposition(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib