QuantLib_SVD (3) - Linux Man Pages

QuantLib_SVD: Singular value decomposition.


QuantLib::SVD - Singular value decomposition.


#include <ql/math/matrixutilities/svd.hpp>

Public Member Functions

SVD (const Matrix &)

const Matrix & U () const

const Matrix & V () const

const Array & singularValues () const

Disposable< Matrix > S () const

Real norm2 ()

Real cond ()

Integer rank ()

Disposable< Array > solveFor (const Array &) const

Detailed Description

Singular value decomposition.

Refer to Golub and Van Loan: Matrix computation, The Johns Hopkins University Press


the correctness of the returned values is tested by checking their properties.


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