sparseilupreconditioner.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
Copyright (C) 2009 Ralph Schreyer
 
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.
*/
 
/*! \file sparseilupreconditioner.hpp
    \brief Preconditioner using the Incomplete LU algorithm and sparse matrices
*/
 
#ifndef quantlib_sparse_ilu_preconditioner_hpp
#define quantlib_sparse_ilu_preconditioner_hpp
 
#include <ql/math/array.hpp>
#include <ql/math/matrixutilities/sparsematrix.hpp>
 
namespace QuantLib {
 
    /*! References:
        Saad, Yousef. 1996, Iterative methods for sparse linear systems,
        http://www-users.cs.umn.edu/~saad/books.html
    */
    class SparseILUPreconditioner  {
      public:
        explicit SparseILUPreconditioner(const SparseMatrix& A, Integer lfil = 1);
 
        const SparseMatrix& L() const;
        const SparseMatrix& U() const;
 
        Array apply(const Array& b) const;
 
      private:
        SparseMatrix L_, U_;
        std::vector<Size> lBands_, uBands_;
 
        Array forwardSolve(const Array& b) const;
        Array backwardSolve(const Array& y) const;
    };
 
}
 
#endif