1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007, 2008 Klaus Spanderen
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
<https://www.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.
*/
/*! \file matrix.hpp
\brief matrix used in linear algebra.
*/
#include <ql/math/matrix.hpp>
#if defined(QL_PATCH_MSVC)
#pragma warning(push)
#pragma warning(disable:4180)
#pragma warning(disable:4127)
#endif
#if BOOST_VERSION == 106400
#include <boost/serialization/array_wrapper.hpp>
#endif
#include <boost/numeric/ublas/vector_proxy.hpp>
#include <boost/numeric/ublas/triangular.hpp>
#include <boost/numeric/ublas/lu.hpp>
#if defined(QL_PATCH_MSVC)
#pragma warning(pop)
#endif
namespace QuantLib {
Matrix inverse(const Matrix& m) {
QL_REQUIRE(m.rows() == m.columns(), "matrix is not square");
boost::numeric::ublas::matrix<Real> a(m.rows(), m.columns());
std::copy(m.begin(), m.end(), a.data().begin());
boost::numeric::ublas::permutation_matrix<Size> pert(m.rows());
// lu decomposition
Size singular = 1;
try {
singular = lu_factorize(a, pert);
} catch (const boost::numeric::ublas::internal_logic& e) {
QL_FAIL("lu_factorize error: " << e.what());
} catch (const boost::numeric::ublas::external_logic& e) {
QL_FAIL("lu_factorize error: " << e.what());
}
QL_REQUIRE(singular == 0, "singular matrix given");
boost::numeric::ublas::matrix<Real>
inverse = boost::numeric::ublas::identity_matrix<Real>(m.rows());
// backsubstitution
try {
boost::numeric::ublas::lu_substitute(a, pert, inverse);
} catch (const boost::numeric::ublas::internal_logic& e) {
QL_FAIL("lu_substitute error: " << e.what());
}
Matrix retVal(m.rows(), m.columns());
std::copy(inverse.data().begin(), inverse.data().end(),
retVal.begin());
return retVal;
}
Real determinant(const Matrix& m) {
QL_REQUIRE(m.rows() == m.columns(), "matrix is not square");
boost::numeric::ublas::matrix<Real> a(m.rows(), m.columns());
std::copy(m.begin(), m.end(), a.data().begin());
// lu decomposition
boost::numeric::ublas::permutation_matrix<Size> pert(m.rows());
/* const Size singular = */ lu_factorize(a, pert);
Real retVal = 1.0;
for (Size i=0; i < m.rows(); ++i) {
if (pert[i] != i)
retVal *= -a(i,i);
else
retVal *= a(i,i);
}
return retVal;
}
}
|
