QuantLib_OrthogonalProjections (3) - Linux Manuals

Command to display QuantLib_OrthogonalProjections manual in Linux: $ man 3 QuantLib_OrthogonalProjections

NAME

QuantLib::OrthogonalProjections -

SYNOPSIS

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

Public Member Functions

OrthogonalProjections (const Matrix &originalVectors, Real multiplierCutOff, Real tolerance)

const std::vector< bool > & validVectors () const

const std::vector< Real > & GetVector (Size index) const

Size numberValidVectors () const

Detailed Description

Given a collection of vectors, w_i, find a collection of vectors x_i such that x_i is orthogonal to w_j for i != j, and <x_i, w_i> = <w_i, w_i>

This is done by performing GramSchmidt on the other vectors and then projecting onto the orthogonal space.

This class is tested in

MatricesTest::testOrthogonalProjection();

Author

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