SVD

NAME

SVD − Singular value decomposition.

SYNOPSIS

#include <ql/math/matrixutilities/svd.hpp>

Public Member Functions

SVD (const Matrix &)
const Matrix & U () const
const Matrix & V () const
const Array & singularValues () const
Disposable< Matrix > S () const
Real norm2 () const
Real cond () const
Size rank () const
Disposable< Array > solveFor (const Array &) const

Detailed Description

Singular value decomposition.

Refer to Golub and Van Loan: Matrix computation, The Johns Hopkins University Press

Tests

the correctness of the returned values is tested by checking their properties.

Author

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