QuantLib_OrthogonalProjections (3) - Linux Man Pages
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
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
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