QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
Loading...
Searching...
No Matches
Public Member Functions | Private Attributes | List of all members
OrthogonalProjections Class Reference

#include <basisincompleteordered.hpp>

+ Collaboration diagram for OrthogonalProjections:

Public Member Functions

 OrthogonalProjections (const Matrix &originalVectors, Real multiplierCutOff, Real tolerance)
 
const std::valarray< bool > & validVectors () const
 
const std::vector< Real > & GetVector (Size index) const
 
Size numberValidVectors () const
 

Private Attributes

Matrix originalVectors_
 inputs More...
 
Real multiplierCutoff_
 
Size numberVectors_
 
Size numberValidVectors_
 
Size dimension_
 
std::valarray< boolvalidVectors_
 outputs More...
 
std::vector< std::vector< Real > > projectedVectors_
 
Matrix orthoNormalizedVectors_
 workspace More...
 

Detailed Description

Given a collection of vectors, w_i, find a collection of vectors x_i such that x_i is orthogonal to w_j for i != j, and <x_i, w_i> = <w_i, w_i>

This is done by performing GramSchmidt on the other vectors and then projecting onto the orthogonal space.

This class is tested in

MatricesTest::testOrthogonalProjection();

Definition at line 54 of file basisincompleteordered.hpp.

Constructor & Destructor Documentation

◆ OrthogonalProjections()

OrthogonalProjections ( const Matrix originalVectors,
Real  multiplierCutOff,
Real  tolerance 
)

Definition at line 111 of file basisincompleteordered.cpp.

Member Function Documentation

◆ validVectors()

const std::valarray< bool > & validVectors ( ) const

Definition at line 208 of file basisincompleteordered.cpp.

+ Here is the caller graph for this function:

◆ GetVector()

const std::vector< Real > & GetVector ( Size  index) const

Definition at line 214 of file basisincompleteordered.cpp.

+ Here is the caller graph for this function:

◆ numberValidVectors()

Size numberValidVectors ( ) const

Definition at line 220 of file basisincompleteordered.cpp.

+ Here is the caller graph for this function:

Member Data Documentation

◆ originalVectors_

Matrix originalVectors_
private

inputs

Definition at line 70 of file basisincompleteordered.hpp.

◆ multiplierCutoff_

Real multiplierCutoff_
private

Definition at line 71 of file basisincompleteordered.hpp.

◆ numberVectors_

Size numberVectors_
private

Definition at line 72 of file basisincompleteordered.hpp.

◆ numberValidVectors_

Size numberValidVectors_
private

Definition at line 73 of file basisincompleteordered.hpp.

◆ dimension_

Size dimension_
private

Definition at line 74 of file basisincompleteordered.hpp.

◆ validVectors_

std::valarray<bool> validVectors_
private

outputs

Definition at line 77 of file basisincompleteordered.hpp.

◆ projectedVectors_

std::vector<std::vector<Real> > projectedVectors_
private

Definition at line 78 of file basisincompleteordered.hpp.

◆ orthoNormalizedVectors_

Matrix orthoNormalizedVectors_
private

workspace

Definition at line 81 of file basisincompleteordered.hpp.