TqrEigenDecomposition Class Reference

tridiag. QR eigen decomposition with explicite shift aka Wilkinson More...

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

Public Types
enum	EigenVectorCalculation { WithEigenVector, WithoutEigenVector, OnlyFirstRowEigenVector }
enum	ShiftStrategy { NoShift, Overrelaxation, CloseEigenValue }

Public Member Functions
	TqrEigenDecomposition (const Array &diag, const Array &sub, EigenVectorCalculation calc=WithEigenVector, ShiftStrategy strategy=CloseEigenValue)
const Array &	eigenvalues () const
const Matrix &	eigenvectors () const
Size	iterations () const

Detailed Description

tridiag. QR eigen decomposition with explicite shift aka Wilkinson

References:

Wilkinson, J.H. and Reinsch, C. 1971, Linear Algebra, vol. II of Handbook for Automatic Computation (New York: Springer-Verlag)

"Numerical Recipes in C", 2nd edition, Press, Teukolsky, Vetterling, Flannery,

Tests:

the correctness of the result is tested by checking it against known good values.