QuantLib
: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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ql
math
matrixutilities
sparseilupreconditioner.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2009 Ralph Schreyer
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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#ifndef quantlib_sparse_ilu_preconditioner_hpp
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#define quantlib_sparse_ilu_preconditioner_hpp
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#include <ql/math/array.hpp>
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#include <ql/math/matrixutilities/sparsematrix.hpp>
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namespace
QuantLib
{
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class
SparseILUPreconditioner
{
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public
:
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explicit
SparseILUPreconditioner
(
const
SparseMatrix
& A,
Integer
lfil = 1);
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const
SparseMatrix
&
L
()
const
;
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const
SparseMatrix
&
U
()
const
;
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Array
apply
(
const
Array
& b)
const
;
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private
:
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SparseMatrix
L_
,
U_
;
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std::vector<Size>
lBands_
,
uBands_
;
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Array
forwardSolve
(
const
Array
& b)
const
;
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Array
backwardSolve
(
const
Array
& y)
const
;
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};
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}
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#endif
QuantLib::Array
1-D array used in linear algebra.
Definition:
array.hpp:52
QuantLib::SparseILUPreconditioner
Definition:
sparseilupreconditioner.hpp:36
QuantLib::SparseILUPreconditioner::U_
SparseMatrix U_
Definition:
sparseilupreconditioner.hpp:46
QuantLib::SparseILUPreconditioner::L_
SparseMatrix L_
Definition:
sparseilupreconditioner.hpp:46
QuantLib::SparseILUPreconditioner::lBands_
std::vector< Size > lBands_
Definition:
sparseilupreconditioner.hpp:47
QuantLib::SparseILUPreconditioner::backwardSolve
Array backwardSolve(const Array &y) const
Definition:
sparseilupreconditioner.cpp:176
QuantLib::SparseILUPreconditioner::apply
Array apply(const Array &b) const
Definition:
sparseilupreconditioner.cpp:156
QuantLib::SparseILUPreconditioner::uBands_
std::vector< Size > uBands_
Definition:
sparseilupreconditioner.hpp:47
QuantLib::SparseILUPreconditioner::forwardSolve
Array forwardSolve(const Array &b) const
Definition:
sparseilupreconditioner.cpp:160
QuantLib::SparseILUPreconditioner::U
const SparseMatrix & U() const
Definition:
sparseilupreconditioner.cpp:152
QuantLib::SparseILUPreconditioner::L
const SparseMatrix & L() const
Definition:
sparseilupreconditioner.cpp:148
QuantLib::Integer
QL_INTEGER Integer
integer number
Definition:
types.hpp:35
QuantLib
Definition:
any.hpp:35
QuantLib::SparseMatrix
boost::numeric::ublas::compressed_matrix< Real > SparseMatrix
Definition:
sparsematrix.hpp:48
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