QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Singular value decomposition. More...
#include <svd.hpp>
Public Member Functions | |
SVD (const Matrix &) | |
const Matrix & | U () const |
const Matrix & | V () const |
const Array & | singularValues () const |
Matrix | S () const |
Real | norm2 () const |
Real | cond () const |
Size | rank () const |
Array | solveFor (const Array &) const |
Private Attributes | |
Matrix | U_ |
Matrix | V_ |
Array | s_ |
Integer | m_ |
Integer | n_ |
bool | transpose_ |
Singular value decomposition.
Refer to Golub and Van Loan: Matrix computation, The Johns Hopkins University Press
const Matrix & U | ( | ) | const |
const Matrix & V | ( | ) | const |
const Array & singularValues | ( | ) | const |
Size rank | ( | ) | const |