/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ /* Copyright (C) 2003 Neil Firth This file is part of QuantLib, a free-software/open-source library for financial quantitative analysts and developers - http://quantlib.org/ QuantLib is free software: you can redistribute it and/or modify it under the terms of the QuantLib license. You should have received a copy of the license along with this program; if not, please email <quantlib-dev@lists.sf.net>. The license is also available online at <http://quantlib.org/license.shtml>. This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details. Adapted from the TNT project http://math.nist.gov/tnt/download.html This software was developed at the National Institute of Standards and Technology (NIST) by employees of the Federal Government in the course of their official duties. Pursuant to title 17 Section 105 of the United States Code this software is not subject to copyright protection and is in the public domain. NIST assumes no responsibility whatsoever for its use by other parties, and makes no guarantees, expressed or implied, about its quality, reliability, or any other characteristic. We would appreciate acknowledgement if the software is incorporated in redistributable libraries or applications. */ /*! \file svd.hpp \brief singular value decomposition */ #ifndef quantlib_math_svd_h #define quantlib_math_svd_h #include <ql/math/matrix.hpp> namespace QuantLib { //! Singular value decomposition /*! Refer to Golub and Van Loan: Matrix computation, The Johns Hopkins University Press \test the correctness of the returned values is tested by checking their properties. */ 00054 class SVD { public: // constructor SVD(const Matrix&); // results const Matrix& U() const; const Matrix& V() const; const Array& singularValues() const; Disposable<Matrix> S() const; Real norm2(); Real cond(); Integer rank(); // utilities Disposable<Array> solveFor(const Array&) const; private: Matrix U_, V_; Array s_; Integer m_, n_; bool transpose_; }; } #endif

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