| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
|---|
| 2 | |
|---|
| 3 | /* |
|---|
| 4 | Copyright (C) 2007, 2008 Mark Joshi |
|---|
| 5 | |
|---|
| 6 | This file is part of QuantLib, a free-software/open-source library |
|---|
| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
|---|
| 8 | |
|---|
| 9 | QuantLib is free software: you can redistribute it and/or modify it |
|---|
| 10 | under the terms of the QuantLib license. You should have received a |
|---|
| 11 | copy of the license along with this program; if not, please email |
|---|
| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
|---|
| 13 | <http://quantlib.org/license.shtml>. |
|---|
| 14 | |
|---|
| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
|---|
| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
|---|
| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
|---|
| 18 | */ |
|---|
| 19 | |
|---|
| 20 | |
|---|
| 21 | #ifndef quantlib_basis_incomplete_ordered_hpp |
|---|
| 22 | #define quantlib_basis_incomplete_ordered_hpp |
|---|
| 23 | |
|---|
| 24 | #include <ql/math/matrix.hpp> |
|---|
| 25 | #include <valarray> |
|---|
| 26 | |
|---|
| 27 | namespace QuantLib { |
|---|
| 28 | |
|---|
| 29 | class BasisIncompleteOrdered { |
|---|
| 30 | public: |
|---|
| 31 | BasisIncompleteOrdered(Size euclideanDimension); |
|---|
| 32 | //! return value indicates if the vector was linearly independent |
|---|
| 33 | bool addVector(const Array& newVector); |
|---|
| 34 | Size basisSize() const; |
|---|
| 35 | Size euclideanDimension() const; |
|---|
| 36 | Matrix getBasisAsRowsInMatrix() const; |
|---|
| 37 | private: |
|---|
| 38 | std::vector<Array> currentBasis_; |
|---|
| 39 | Size euclideanDimension_; |
|---|
| 40 | Array newVector_; |
|---|
| 41 | }; |
|---|
| 42 | |
|---|
| 43 | /*! Given a collection of vectors, w_i, find a collection of vectors x_i such that |
|---|
| 44 | x_i is orthogonal to w_j for i != j, and <x_i, w_i> = <w_i, w_i> |
|---|
| 45 | |
|---|
| 46 | This is done by performing GramSchmidt on the other vectors and then projecting onto |
|---|
| 47 | the orthogonal space. |
|---|
| 48 | |
|---|
| 49 | This class is tested in |
|---|
| 50 | |
|---|
| 51 | MatricesTest::testOrthogonalProjection(); |
|---|
| 52 | */ |
|---|
| 53 | |
|---|
| 54 | class OrthogonalProjections |
|---|
| 55 | { |
|---|
| 56 | public: |
|---|
| 57 | OrthogonalProjections(const Matrix& originalVectors, |
|---|
| 58 | Real multiplierCutOff, |
|---|
| 59 | Real tolerance ); |
|---|
| 60 | |
|---|
| 61 | const std::valarray<bool>& validVectors() const; |
|---|
| 62 | const std::vector<Real>& GetVector(Size index) const; |
|---|
| 63 | |
|---|
| 64 | Size numberValidVectors() const; |
|---|
| 65 | |
|---|
| 66 | |
|---|
| 67 | private: |
|---|
| 68 | |
|---|
| 69 | //! inputs |
|---|
| 70 | Matrix originalVectors_; |
|---|
| 71 | Real multiplierCutoff_; |
|---|
| 72 | Size numberVectors_; |
|---|
| 73 | Size numberValidVectors_; |
|---|
| 74 | Size dimension_; |
|---|
| 75 | |
|---|
| 76 | //!outputs |
|---|
| 77 | std::valarray<bool> validVectors_; |
|---|
| 78 | std::vector<std::vector<Real> > projectedVectors_; |
|---|
| 79 | |
|---|
| 80 | //!workspace |
|---|
| 81 | Matrix orthoNormalizedVectors_; |
|---|
| 82 | |
|---|
| 83 | |
|---|
| 84 | }; |
|---|
| 85 | |
|---|
| 86 | } |
|---|
| 87 | |
|---|
| 88 | #endif |
|---|
| 89 | |
|---|
