SVD Class Reference

Singular value decomposition. More...

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

Collaboration diagram for SVD:

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_

Detailed Description

Singular value decomposition.

Refer to Golub and Van Loan: Matrix computation, The Johns Hopkins University Press

Tests:

the correctness of the returned values is tested by checking their properties.

Definition at line 54 of file svd.hpp.

Constructor & Destructor Documentation

SVD()

SVD ( const Matrix &  M )

explicit

Definition at line 59 of file svd.cpp.

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Member Function Documentation

U()

const Matrix & U

(

)

const

Definition at line 485 of file svd.cpp.

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V()

const Matrix & V

(

)

const

Definition at line 489 of file svd.cpp.

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singularValues()

const Array & singularValues

(

)

const

Definition at line 493 of file svd.cpp.

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S()

Matrix S

(

)

const

Definition at line 497 of file svd.cpp.

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norm2()

Real norm2

(

)

const

Definition at line 508 of file svd.cpp.

cond()

Real cond

(

)

const

Definition at line 512 of file svd.cpp.

rank()

Size rank

(

)

const

Definition at line 516 of file svd.cpp.

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solveFor()

Array solveFor

(

const Array &

b

)

const

Definition at line 528 of file svd.cpp.

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Member Data Documentation

U_

Matrix U_

private

Definition at line 69 of file svd.hpp.

V_

Matrix V_

private

Definition at line 69 of file svd.hpp.

s_

Array s_

private

Definition at line 70 of file svd.hpp.

m_

Integer m_

private

Definition at line 71 of file svd.hpp.

n_

Integer n_

private

Definition at line 71 of file svd.hpp.

transpose_

bool transpose_

private

Definition at line 72 of file svd.hpp.