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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009 Jose Aparicio
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/factorreduction.hpp>
#include <ql/math/matrixutilities/symmetricschurdecomposition.hpp>
#include <vector>
namespace QuantLib {
std::vector<Real> factorReduction(Matrix mtrx,
Size maxIters) {
static Real tolerance = 1.e-6;
QL_REQUIRE(mtrx.rows() == mtrx.columns(),
"Input matrix is not square");
const Size n = mtrx.columns();
#if defined(QL_EXTRA_SAFETY_CHECKS)
// check symmetry
for (Size iRow=0; iRow<mtrx.rows(); iRow++)
for (Size iCol=0; iCol<iRow; iCol++)
QL_REQUIRE(mtrx[iRow][iCol] == mtrx[iCol][iRow],
"input matrix is not symmetric");
QL_REQUIRE(*std::max_element(mtrx.begin(), mtrx.end()) <=1 &&
*std::min_element(mtrx.begin(), mtrx.end()) >=-1,
"input matrix data is not correlation data");
#endif
// Initial guess value
std::vector<Real> previousCorrels(n, 0.);
for(Size iCol=0; iCol<n; iCol++) {
for(Size iRow=0; iRow<n; iRow++)
previousCorrels[iCol] +=
mtrx[iRow][iCol] * mtrx[iRow][iCol];
previousCorrels[iCol] =
std::sqrt((previousCorrels[iCol]-1.)/(n-1.));
}
// iterative solution
Size iteration = 0;
Real distance;
do {
// patch Matrix diagonal
for(Size iCol=0; iCol<n; iCol++)
mtrx[iCol][iCol] =
previousCorrels[iCol];
// compute eigenvector decomposition
SymmetricSchurDecomposition ssDec(mtrx);
//const Matrix& eigenVect = ssDec.eigenvectors();
const Array& eigenVals = ssDec.eigenvalues();
Array::const_iterator itMaxEval =
std::max_element(eigenVals.begin(), eigenVals.end());
// We do not need the max value, only the position of the
// corresponding eigenvector
Size iMax = std::distance(eigenVals.begin(), itMaxEval);
std::vector<Real> newCorrels, distances;
for(Size iCol=0; iCol<n; iCol++) {
Real thisCorrel = mtrx[iMax][iCol];
newCorrels.push_back(thisCorrel);
// strictly is:
// abs(\sqrt{\rho}- \sqrt{\rho_{old}})/\sqrt{\rho_{old}}
distances.push_back(
std::abs(thisCorrel - previousCorrels[iCol])/
previousCorrels[iCol]);
}
previousCorrels = newCorrels;
distance = *std::max_element(distances.begin(), distances.end());
}while(distance > tolerance && ++iteration <= maxIters );
// test it did not go up to the max iteration and the matrix can
// be reduced to one factor.
QL_REQUIRE(iteration < maxIters,
"convergence not reached after " <<
iteration << " iterations");
#if defined(QL_EXTRA_SAFETY_CHECKS)
QL_REQUIRE(*std::max_element(previousCorrels.begin(),
previousCorrels.end()) <=1 &&
*std::min_element(previousCorrels.begin(),
previousCorrels.end()) >=-1,
"matrix can not be decomposed to a single factor dependence");
#endif
return previousCorrels;
}
}
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