QuantLib
: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
Loading...
Searching...
No Matches
ql
experimental
math
moorepenroseinverse.hpp
1
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3
/*
4
Copyright (C) 2016 Peter Caspers
5
6
This file is part of QuantLib, a free-software/open-source library
7
for financial quantitative analysts and developers - http://quantlib.org/
8
9
QuantLib is free software: you can redistribute it and/or modify it
10
under the terms of the QuantLib license. You should have received a
11
copy of the license along with this program; if not, please email
12
<quantlib-dev@lists.sf.net>. The license is also available online at
13
<http://quantlib.org/license.shtml>.
14
15
This program is distributed in the hope that it will be useful, but WITHOUT
16
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17
FOR A PARTICULAR PURPOSE. See the license for more details.
18
*/
19
24
#ifndef quantlib_moore_penrose_inverse
25
#define quantlib_moore_penrose_inverse
26
27
#include <ql/math/matrixutilities/svd.hpp>
28
29
namespace
QuantLib
{
30
35
inline
Matrix
moorePenroseInverse
(
const
Matrix
&A,
36
const
Real
tol =
Null<Real>
()) {
37
38
Size
m = A.
rows
();
39
Size
n = A.
columns
();
40
41
SVD
svd(A);
42
43
Real
tol0 = tol;
44
if
(tol0 ==
Null<Real>
()) {
45
tol0 = std::max(m, n) *
QL_EPSILON
* std::abs(svd.
singularValues
()[0]);
46
}
47
48
Matrix
sp(n, n, 0.0);
49
for
(
Size
i = 0; i < n; ++i) {
50
if
(std::abs(svd.
singularValues
()[i]) > tol0) {
51
sp(i, i) = 1.0 / svd.
singularValues
()[i];
52
}
53
}
54
55
Matrix
res = svd.
V
() * sp *
transpose
(svd.
U
());
56
return
res;
57
};
58
59
}
// namespace QuantLib
60
61
#endif
// include guard
QuantLib::Matrix
Matrix used in linear algebra.
Definition:
matrix.hpp:41
QuantLib::Matrix::rows
Size rows() const
Definition:
matrix.hpp:504
QuantLib::Matrix::columns
Size columns() const
Definition:
matrix.hpp:508
QuantLib::Null
template class providing a null value for a given type.
Definition:
null.hpp:76
QuantLib::SVD
Singular value decomposition.
Definition:
svd.hpp:54
QuantLib::SVD::V
const Matrix & V() const
Definition:
svd.cpp:489
QuantLib::SVD::singularValues
const Array & singularValues() const
Definition:
svd.cpp:493
QuantLib::SVD::U
const Matrix & U() const
Definition:
svd.cpp:485
QL_EPSILON
#define QL_EPSILON
Definition:
qldefines.hpp:178
QuantLib::Real
QL_REAL Real
real number
Definition:
types.hpp:50
QuantLib::Size
std::size_t Size
size of a container
Definition:
types.hpp:58
QuantLib
Definition:
any.hpp:35
QuantLib::moorePenroseInverse
Matrix moorePenroseInverse(const Matrix &A, const Real tol=Null< Real >())
Definition:
moorepenroseinverse.hpp:35
QuantLib::transpose
Matrix transpose(const Matrix &m)
Definition:
matrix.hpp:700
Generated by
Doxygen
1.9.5