org.jquantlib.math.matrixutilities

Class SymmetricSchurDecomposition

java.lang.Object

org.jquantlib.math.matrixutilities.SymmetricSchurDecomposition

public class SymmetricSchurDecomposition
extends java.lang.Object

Symmetric threshold Jacobi algorithm

Given a real symmetric matrix S, the Schur decomposition finds the eigenvalues and eigenvectors of S. If D is the diagonal matrix formed by the eigenvalues and U the unitarian matrix of the eigenvectors we can write the Schur decomposition as where is the standard matrix product and is the transpose operator.

This class implements the Schur decomposition using the symmetric threshold Jacobi algorithm. For details on the different Jacobi transfomations.

See Also:

"Matrix computation," second edition, by Golub and Van Loan, The Johns Hopkins University Press

Constructor Summary

Constructors

Constructor and Description
SymmetricSchurDecomposition(Matrix m)

Method Summary

Modifier and Type	Method and Description
Array	eigenvalues()
Matrix	eigenvectors()

Methods inherited from class java.lang.Object

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

Constructor Detail

SymmetricSchurDecomposition

public SymmetricSchurDecomposition(Matrix m)

Method Detail

eigenvectors

public Matrix eigenvectors()

eigenvalues

public Array eigenvalues()