QuantLib: a free/open-source library for quantitative finance
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Public Member Functions | Private Member Functions | Private Attributes | List of all members
SparseILUPreconditioner Class Reference

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

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Public Member Functions

 SparseILUPreconditioner (const SparseMatrix &A, Integer lfil=1)
 
const SparseMatrixL () const
 
const SparseMatrixU () const
 
Array apply (const Array &b) const
 

Private Member Functions

Array forwardSolve (const Array &b) const
 
Array backwardSolve (const Array &y) const
 

Private Attributes

SparseMatrix L_
 
SparseMatrix U_
 
std::vector< SizelBands_
 
std::vector< SizeuBands_
 

Detailed Description

References: Saad, Yousef. 1996, Iterative methods for sparse linear systems, http://www-users.cs.umn.edu/~saad/books.html

Definition at line 36 of file sparseilupreconditioner.hpp.

Constructor & Destructor Documentation

◆ SparseILUPreconditioner()

SparseILUPreconditioner ( const SparseMatrix A,
Integer  lfil = 1 
)
explicit

Definition at line 29 of file sparseilupreconditioner.cpp.

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Member Function Documentation

◆ L()

const SparseMatrix & L ( ) const

Definition at line 148 of file sparseilupreconditioner.cpp.

◆ U()

const SparseMatrix & U ( ) const

Definition at line 152 of file sparseilupreconditioner.cpp.

◆ apply()

Array apply ( const Array b) const

Definition at line 156 of file sparseilupreconditioner.cpp.

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◆ forwardSolve()

Array forwardSolve ( const Array b) const
private

Definition at line 160 of file sparseilupreconditioner.cpp.

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◆ backwardSolve()

Array backwardSolve ( const Array y) const
private

Definition at line 176 of file sparseilupreconditioner.cpp.

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Member Data Documentation

◆ L_

SparseMatrix L_
private

Definition at line 46 of file sparseilupreconditioner.hpp.

◆ U_

SparseMatrix U_
private

Definition at line 46 of file sparseilupreconditioner.hpp.

◆ lBands_

std::vector<Size> lBands_
private

Definition at line 47 of file sparseilupreconditioner.hpp.

◆ uBands_

std::vector<Size> uBands_
private

Definition at line 47 of file sparseilupreconditioner.hpp.