gmres.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2017 Klaus Spanderen
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#ifndef quantlib_gmres_hpp
#define quantlib_gmres_hpp
 
#include <ql/math/array.hpp>
#include <ql/functional.hpp>
 
#include <list>
 
namespace QuantLib {
 
    struct GMRESResult {
        std::list<Real> errors;
        Array x;
    };
 
    class GMRES  {
      public:
        typedef ext::function<Array(const Array&)> MatrixMult;
 
        GMRES(MatrixMult A, Size maxIter, Real relTol, MatrixMult preConditioner = MatrixMult());
 
        GMRESResult solve(const Array& b, const Array& x0 = Array()) const;
        GMRESResult solveWithRestart(
            Size restart, const Array& b, const Array& x0 = Array()) const;
 
      protected:
        GMRESResult solveImpl(const Array& b, const Array& x0) const;
 
        const MatrixMult A_, M_;
        const Size maxIter_;
        const Real relTol_;
    };
 
}
 
#endif