TqrEigenDecomposition Class Reference
#include <ql/Math/tqreigendecomposition.hpp>
Detailed Description
tridiag. QR eigen decomposition with explicite shift aka WilkinsonReferences:
Wilkinson, J.H. and Reinsch, C. 1971, Linear Algebra, vol. II of Handbook for Automatic Computation (New York: Springer-Verlag)
"Numerical Recipes in C", 2nd edition, Press, Teukolsky, Vetterling, Flannery,
- Tests:
- the correctness of the result is tested by checking it against known good values.
Public Types | |
| enum | EigenVectorCalculation { WithEigenVector, WithoutEigenVector, OnlyFirstRowEigenVector } |
| enum | ShiftStrategy { NoShift, Overrelaxation, CloseEigenValue } |
Public Member Functions | |
| TqrEigenDecomposition (const Array &diag, const Array &sub, EigenVectorCalculation calc=WithEigenVector, ShiftStrategy strategy=CloseEigenValue) | |
| const Array & | eigenvalues () const |
| const Matrix & | eigenvectors () const |
| Size | iterations () const |