| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2009 Ralph Schreyer |
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| 5 | |
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| 6 | This file is part of QuantLib, a free-software/open-source library |
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| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 8 | |
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| 9 | QuantLib is free software: you can redistribute it and/or modify it |
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| 10 | under the terms of the QuantLib license. You should have received a |
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| 11 | copy of the license along with this program; if not, please email |
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| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 13 | <http://quantlib.org/license.shtml>. |
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| 14 | |
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| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 18 | */ |
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| 19 | |
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| 20 | /*! \file sparseilupreconditioner.hpp |
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| 21 | \brief Preconditioner using the Incomplete LU algorithm and sparse matrices |
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| 22 | */ |
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| 23 | |
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| 24 | #ifndef quantlib_sparse_ilu_preconditioner_hpp |
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| 25 | #define quantlib_sparse_ilu_preconditioner_hpp |
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| 26 | |
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| 27 | #include <ql/math/array.hpp> |
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| 28 | #include <ql/math/matrixutilities/sparsematrix.hpp> |
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| 29 | |
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| 30 | namespace QuantLib { |
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| 31 | |
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| 32 | /*! References: |
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| 33 | Saad, Yousef. 1996, Iterative methods for sparse linear systems, |
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| 34 | http://www-users.cs.umn.edu/~saad/books.html |
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| 35 | */ |
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| 36 | class SparseILUPreconditioner { |
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| 37 | public: |
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| 38 | explicit SparseILUPreconditioner(const SparseMatrix& A, Integer lfil = 1); |
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| 39 | |
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| 40 | const SparseMatrix& L() const; |
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| 41 | const SparseMatrix& U() const; |
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| 42 | |
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| 43 | Array apply(const Array& b) const; |
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| 44 | |
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| 45 | private: |
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| 46 | SparseMatrix L_, U_; |
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| 47 | std::vector<Size> lBands_, uBands_; |
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| 48 | |
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| 49 | Array forwardSolve(const Array& b) const; |
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| 50 | Array backwardSolve(const Array& y) const; |
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| 51 | }; |
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| 52 | |
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| 53 | } |
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| 54 | |
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| 55 | #endif |
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| 56 | |
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