| 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) 2012 Klaus Spanderen |
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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 sparsematrix.hpp |
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| 21 | \brief typedef for boost sparse matrix class |
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| 22 | */ |
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| 23 | |
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| 24 | #ifndef quantlib_sparse_matrix_hpp |
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| 25 | #define quantlib_sparse_matrix_hpp |
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| 26 | |
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| 27 | #include <ql/qldefines.hpp> |
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| 28 | #include <ql/math/array.hpp> |
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| 29 | |
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| 30 | #if defined(QL_PATCH_MSVC) |
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| 31 | #pragma warning(push) |
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| 32 | #pragma warning(disable:4180) |
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| 33 | #pragma warning(disable:4127) |
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| 34 | #endif |
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| 35 | |
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| 36 | #if BOOST_VERSION == 106400 |
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| 37 | #include <boost/serialization/array_wrapper.hpp> |
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| 38 | #endif |
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| 39 | |
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| 40 | #include <boost/numeric/ublas/matrix_sparse.hpp> |
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| 41 | |
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| 42 | #if defined(QL_PATCH_MSVC) |
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| 43 | #pragma warning(pop) |
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| 44 | #endif |
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| 45 | |
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| 46 | namespace QuantLib { |
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| 47 | |
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| 48 | typedef boost::numeric::ublas::compressed_matrix<Real> SparseMatrix; |
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| 49 | typedef boost::numeric::ublas::matrix_reference<SparseMatrix> SparseMatrixReference; |
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| 50 | |
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| 51 | inline Array prod(const SparseMatrix& A, const Array& x) { |
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| 52 | QL_REQUIRE(x.size() == A.size2(), |
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| 53 | "vectors and sparse matrices with different sizes (" |
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| 54 | << x.size() << ", " << A.size1() << "x" << A.size2() << |
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| 55 | ") cannot be multiplied" ); |
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| 56 | |
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| 57 | Array b(x.size(), 0.0); |
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| 58 | |
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| 59 | for (Size i=0; i < A.filled1()-1; ++i) { |
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| 60 | const Size begin = A.index1_data()[i]; |
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| 61 | const Size end = A.index1_data()[i+1]; |
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| 62 | Real t=0; |
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| 63 | for (Size j=begin; j < end; ++j) { |
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| 64 | t += A.value_data()[j]*x[A.index2_data()[j]]; |
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| 65 | } |
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| 66 | |
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| 67 | b[i]=t; |
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| 68 | } |
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| 69 | return b; |
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| 70 | } |
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| 71 | } |
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| 72 | |
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| 73 | #endif |
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| 74 | |
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