1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2009 Ralph Schreyer
5 Copyright (C) 2009 Klaus Spanderen
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21/*! \file bicgstab.hpp
22 \brief Biconjugate gradient stabilized method
23*/
24
25#ifndef quantlib_bicgstab_hpp
26#define quantlib_bicgstab_hpp
27
28#include <ql/math/array.hpp>
29#include <ql/functional.hpp>
30
31namespace QuantLib {
32
33 struct BiCGStabResult {
34 Size iterations;
35 Real error;
36 Array x;
37 };
38
39 class BiCGstab {
40 public:
41 typedef ext::function<Array(const Array&)> MatrixMult;
42
43 BiCGstab(MatrixMult A, Size maxIter, Real relTol, MatrixMult preConditioner = MatrixMult());
44
45 BiCGStabResult solve(const Array& b, const Array& x0 = Array()) const;
46
47 protected:
48 const MatrixMult A_, M_;
49 const Size maxIter_;
50 const Real relTol_;
51 };
52}
53
54#endif
55

source code of quantlib/ql/math/matrixutilities/bicgstab.hpp