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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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/* |
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Copyright (C) 2003 Neil Firth |
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|
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This file is part of QuantLib, a free-software/open-source library |
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for financial quantitative analysts and developers - http://quantlib.org/ |
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|
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QuantLib is free software: you can redistribute it and/or modify it |
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under the terms of the QuantLib license. You should have received a |
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copy of the license along with this program; if not, please email |
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<quantlib-dev@lists.sf.net>. The license is also available online at |
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<http://quantlib.org/license.shtml>. |
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|
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This program is distributed in the hope that it will be useful, but WITHOUT |
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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FOR A PARTICULAR PURPOSE. See the license for more details. |
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|
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Adapted from the TNT project |
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http://math.nist.gov/tnt/download.html |
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|
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This software was developed at the National Institute of Standards |
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and Technology (NIST) by employees of the Federal Government in the |
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course of their official duties. Pursuant to title 17 Section 105 |
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of the United States Code this software is not subject to copyright |
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protection and is in the public domain. NIST assumes no responsibility |
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whatsoever for its use by other parties, and makes no guarantees, |
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expressed or implied, about its quality, reliability, or any other |
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characteristic. |
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|
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We would appreciate acknowledgement if the software is incorporated in |
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redistributable libraries or applications. |
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|
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*/ |
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/*! \file svd.hpp |
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\brief singular value decomposition |
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*/ |
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|
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#ifndef math_svd_hpp |
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#define math_svd_hpp |
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#include "math/RectMatrix.hpp" |
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namespace oopse { |
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//! Singular value decomposition |
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/*! Refer to Golub and Van Loan: Matrix computation, |
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The Johns Hopkins University Press |
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|
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\test the correctness of the returned values is tested by |
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checking their properties. |
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*/ |
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class SVD { |
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public: |
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// constructor |
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SVD(const RectMatrix&); |
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// results |
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const RectMatrix& U() const; |
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const RectMatrix& V() const; |
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const Vector& singularValues() const; |
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RectMatrix S() const; |
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Real norm2(); |
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Real cond(); |
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Integer rank(); |
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// utilities |
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Vector solveFor(const Vector&) const; |
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private: |
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RectMatrix U_, V_; |
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Vector s_; |
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int m_, n_; |
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bool transpose_; |
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}; |
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} |
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#endif |
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