TqrEigenDecomposition Class Reference

tridiag. QR eigen decomposition with explicite shift aka Wilkinson More...

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

Collaboration diagram for TqrEigenDecomposition:

Public Types
enum	EigenVectorCalculation { WithEigenVector , WithoutEigenVector , OnlyFirstRowEigenVector }
enum	ShiftStrategy { NoShift , Overrelaxation , CloseEigenValue }

Public Member Functions
	TqrEigenDecomposition (const Array &diag, const Array &sub, EigenVectorCalculation calc=WithEigenVector, ShiftStrategy strategy=CloseEigenValue)
const Array &	eigenvalues () const
const Matrix &	eigenvectors () const
Size	iterations () const

Private Member Functions
bool	offDiagIsZero (Size k, Array &e)

Private Attributes
Size	iter_ = 0
Array	d_
Matrix	ev_

Detailed Description

tridiag. QR eigen decomposition with explicite shift aka Wilkinson

References:

Wilkinson, J.H. and Reinsch, C. 1971, Linear Algebra, vol. II of Handbook for Automatic Computation (New York: Springer-Verlag)

"Numerical Recipes in C", 2nd edition, Press, Teukolsky, Vetterling, Flannery,

Tests:

the correctness of the result is tested by checking it against known good values.

Definition at line 44 of file tqreigendecomposition.hpp.

Member Enumeration Documentation

EigenVectorCalculation

enum EigenVectorCalculation

Enumerator
WithEigenVector
WithoutEigenVector
OnlyFirstRowEigenVector

Definition at line 46 of file tqreigendecomposition.hpp.

ShiftStrategy

enum ShiftStrategy

Enumerator
NoShift
Overrelaxation
CloseEigenValue

Definition at line 50 of file tqreigendecomposition.hpp.

Constructor & Destructor Documentation

TqrEigenDecomposition()

TqrEigenDecomposition	(	const Array &	diag,
		const Array &	sub,
		EigenVectorCalculation	calc = WithEigenVector,
		ShiftStrategy	strategy = CloseEigenValue
	)

Definition at line 29 of file tqreigendecomposition.cpp.

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Member Function Documentation

eigenvalues()

const Array & eigenvalues

(

)

const

Definition at line 59 of file tqreigendecomposition.hpp.

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eigenvectors()

const Matrix & eigenvectors

(

)

const

Definition at line 60 of file tqreigendecomposition.hpp.

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iterations()

Size iterations

(

)

const

Definition at line 62 of file tqreigendecomposition.hpp.

offDiagIsZero()

bool offDiagIsZero ( Size  k, Array &  e  )

private

Definition at line 144 of file tqreigendecomposition.cpp.

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Member Data Documentation

iter_

Size iter_ = 0

private

Definition at line 67 of file tqreigendecomposition.hpp.

d_

Array d_

private

Definition at line 68 of file tqreigendecomposition.hpp.

ev_

Matrix ev_

private

Definition at line 69 of file tqreigendecomposition.hpp.