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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Mark Joshi
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#include <ql/math/matrixutilities/basisincompleteordered.hpp>
#include <algorithm>
namespace QuantLib {
BasisIncompleteOrdered::BasisIncompleteOrdered(Size euclideanDimension)
: euclideanDimension_(euclideanDimension) {}
bool BasisIncompleteOrdered::addVector(const Array& newVector1) {
QL_REQUIRE(newVector1.size() == euclideanDimension_,
"missized vector passed to "
"BasisIncompleteOrdered::addVector");
newVector_ = newVector1;
if (currentBasis_.size()==euclideanDimension_)
return false;
for (Size j=0; j<currentBasis_.size(); ++j) {
Real innerProd = std::inner_product(newVector_.begin(),
newVector_.end(),
currentBasis_[j].begin(), 0.0);
for (Size k=0; k<euclideanDimension_; ++k)
newVector_[k] -=innerProd*currentBasis_[j][k];
}
Real norm = sqrt(std::inner_product(newVector_.begin(),
newVector_.end(),
newVector_.begin(), 0.0));
if (norm<1e-12) // maybe this should be a tolerance
return false;
for (Size l=0; l<euclideanDimension_; ++l)
newVector_[l]/=norm;
currentBasis_.push_back(newVector_);
return true;
}
Size BasisIncompleteOrdered::basisSize() const {
return currentBasis_.size();
}
Size BasisIncompleteOrdered::euclideanDimension() const {
return euclideanDimension_;
}
Matrix BasisIncompleteOrdered::getBasisAsRowsInMatrix() const {
Matrix basis(currentBasis_.size(), euclideanDimension_);
for (Size i=0; i<basis.rows(); ++i)
for (Size j=0; j<basis.columns(); ++j)
basis[i][j] = currentBasis_[i][j];
return basis;
}
}
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