QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
Loading...
Searching...
No Matches
bicgstab.hpp
Go to the documentation of this file.
1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2009 Ralph Schreyer
5 Copyright (C) 2009 Klaus Spanderen
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21/*! \file bicgstab.hpp
22 \brief Biconjugate gradient stabilized method
23*/
24
25#ifndef quantlib_bicgstab_hpp
26#define quantlib_bicgstab_hpp
27
28#include <ql/math/array.hpp>
29#include <ql/functional.hpp>
30
31namespace QuantLib {
32
37 };
38
39 class BiCGstab {
40 public:
41 typedef ext::function<Array(const Array&)> MatrixMult;
42
43 BiCGstab(MatrixMult A, Size maxIter, Real relTol, MatrixMult preConditioner = MatrixMult());
44
45 BiCGStabResult solve(const Array& b, const Array& x0 = Array()) const;
46
47 protected:
50 const Real relTol_;
51 };
52}
53
54#endif
1-D array used in linear algebra.
1-D array used in linear algebra.
Definition: array.hpp:52
const MatrixMult A_
Definition: bicgstab.hpp:48
const Real relTol_
Definition: bicgstab.hpp:50
const MatrixMult M_
Definition: bicgstab.hpp:48
const Size maxIter_
Definition: bicgstab.hpp:49
BiCGStabResult solve(const Array &b, const Array &x0=Array()) const
Definition: bicgstab.cpp:37
ext::function< Array(const Array &)> MatrixMult
Definition: bicgstab.hpp:41
ext::function< Real(Real)> b
Maps function, bind and cref to either the boost or std implementation.
QL_REAL Real
real number
Definition: types.hpp:50
std::size_t Size
size of a container
Definition: types.hpp:58
Definition: any.hpp:35