org.jquantlib.math.matrixutilities

Class QRDecomposition

java.lang.Object

org.jquantlib.math.matrixutilities.QRDecomposition

public class QRDecomposition
extends java.lang.Object

QR decompoisition

This implementation is based on MINPACK/J

This subroutine uses householder transformations with optional column pivoting to compute a QR factorization of the by matrix .

That is, Minpack_f77#qrfac determines an orthogonal matrix , a permutation matrix , and an upper trapezoidal matrix with diagonal elements of nonincreasing magnitude, such that .

Return value ipvt is an integer array of length , which defines the permutation matrix such that .

Column of is column ipvt[j] of the identity matrix.

See lmdiff.cpp for further details.

See Also:

MathWorld, Wikipedia, MINPACK/J, MINPACK

Constructor Summary

Constructors

Constructor and Description
QRDecomposition(Matrix matrix) Calculates the QR-decomposition of the given matrix.
QRDecomposition(Matrix A, boolean pivot) Calculates the QR-decomposition of the given matrix.

Method Summary

Modifier and Type	Method and Description
boolean	isNonSingular()
Matrix	P()
Matrix	Q()
Matrix	R()
Array	solve(Array b, boolean pivot, Array d)

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

QRDecomposition

public QRDecomposition(Matrix matrix)

Calculates the QR-decomposition of the given matrix.

Parameters:

A - The matrix to decompose.

QRDecomposition

public QRDecomposition(Matrix A,
                       boolean pivot)

Calculates the QR-decomposition of the given matrix.

Parameters:

M - The matrix to decompose.

Method Detail

Q

public Matrix Q()

R

public Matrix R()

P

public Matrix P()

isNonSingular

public boolean isNonSingular()

solve

public Array solve(Array b,
                   boolean pivot,
                   Array d)