QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
math
matrixutilities
bicgstab.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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Copyright (C) 2009 Klaus Spanderen
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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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/*! \file bicgstab.hpp
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\brief Biconjugate gradient stabilized method
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*/
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#ifndef quantlib_bicgstab_hpp
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#define quantlib_bicgstab_hpp
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#include <
ql/math/array.hpp
>
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#include <
ql/functional.hpp
>
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namespace
QuantLib
{
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struct
BiCGStabResult
{
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Size
iterations
;
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Real
error
;
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Array
x
;
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};
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class
BiCGstab
{
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public
:
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typedef
ext::function<
Array
(
const
Array
&)>
MatrixMult
;
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BiCGstab
(
MatrixMult
A,
Size
maxIter,
Real
relTol,
MatrixMult
preConditioner =
MatrixMult
());
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BiCGStabResult
solve
(
const
Array
&
b
,
const
Array
& x0 =
Array
())
const
;
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protected
:
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const
MatrixMult
A_
,
M_
;
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const
Size
maxIter_
;
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const
Real
relTol_
;
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};
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}
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#endif
array.hpp
1-D array used in linear algebra.
QuantLib::Array
1-D array used in linear algebra.
Definition:
array.hpp:52
QuantLib::BiCGstab
Definition:
bicgstab.hpp:39
QuantLib::BiCGstab::A_
const MatrixMult A_
Definition:
bicgstab.hpp:48
QuantLib::BiCGstab::relTol_
const Real relTol_
Definition:
bicgstab.hpp:50
QuantLib::BiCGstab::M_
const MatrixMult M_
Definition:
bicgstab.hpp:48
QuantLib::BiCGstab::maxIter_
const Size maxIter_
Definition:
bicgstab.hpp:49
QuantLib::BiCGstab::solve
BiCGStabResult solve(const Array &b, const Array &x0=Array()) const
Definition:
bicgstab.cpp:37
QuantLib::BiCGstab::MatrixMult
ext::function< Array(const Array &)> MatrixMult
Definition:
bicgstab.hpp:41
b
ext::function< Real(Real)> b
Definition:
extendedornsteinuhlenbeckprocess.cpp:30
functional.hpp
Maps function, bind and cref to either the boost or std implementation.
QuantLib::Real
QL_REAL Real
real number
Definition:
types.hpp:50
QuantLib::Size
std::size_t Size
size of a container
Definition:
types.hpp:58
QuantLib
Definition:
any.hpp:35
QuantLib::BiCGStabResult
Definition:
bicgstab.hpp:33
QuantLib::BiCGStabResult::iterations
Size iterations
Definition:
bicgstab.hpp:34
QuantLib::BiCGStabResult::x
Array x
Definition:
bicgstab.hpp:36
QuantLib::BiCGStabResult::error
Real error
Definition:
bicgstab.hpp:35
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