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QuantLib_OrthogonalProjections
Langue: en
Version: 157765 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::OrthogonalProjections -SYNOPSIS
#include <ql/math/matrixutilities/basisincompleteordered.hpp>
Public Member Functions
OrthogonalProjections (const Matrix &originalVectors, Real multiplierCutOff, Real tolerance)
const std::vector< bool > & validVectors () const
const std::vector< Real > & GetVector (Size index) const
Size numberValidVectors () const
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();
Author
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Contenus ©2006-2024 Benjamin Poulain
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