TqrEigenDecomposition (3) Linux Manual Page

QuantLib::TqrEigenDecomposition – tridiag. QR eigen decomposition with explicite shift aka Wilkinson

Synopsis

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

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

Detailed Description

tridiag. QR eigen decomposition with explicite shift aka Wilkinson

References:

Wilkinson, J.H. and Reinsch, C. 1971, Linear Algebra, vol. II of Handbook for Automatic Computation (New York: Springer-Verlag)

Tests

the correctness of the result is tested by checking it against known good values.

Author

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